OREANDA-NEWS. July 03, 2012. For the week of June 18-22, 2012 the MICEX Index declined by 2.04% to 1,347.15 points from 1,375.23 points as of June 15, 2012.

The RTS Index calculated based on prices in US dollar dropped by 4.16% to reach 1,281.88 points (1,337.50 points as of June 15, 2012). The US dollar appreciated by 1.01% against the ruble.

The stock market volatility fell last week, with the Russian Volatility Index decreasing by 0.78% to 38.18 points (38.48 points as of June 15, 2012). Last week most of the key economy sectors represented on the Russian stock market demonstrated a negative trend. The largest downturn was reported by the power sector, with the relevant sector index falling by 6.14%. A significant decrease was also shown by the consumer & retail and metals & mining sectors, with the MICEX CGS\RTScr Index and MICEX M&M\RTSmm Index shedding 4.75% and 3.36% respectively.

The MICEX Innovation Index lost 0.37%.

Mid cap companies were most affected by the last week's market decline, with the MICEX Mid Cap Index being down 4.67%. The MICEX Large Cap Index and MICEX Small Cap Index lost 1.55% and 1.03% respectively.

MICEX Index

For the week of June 18-22, 2012 the Russian stock market showed a decline of prices.

The MICEX Index was down 2.04% to 1,347.15 points from 1,375.23 points as of June 15, 2012. At the end of the week the MICEX Index was 3.54% higher than a month ago (1,301.09 points as of May 22, 2012) and 17.86% lower than a year ago (1,640.13 points as of June 22, 2011).

Trading volume of securities included into the MICEX Index constituents list and traded on the Main market equaled RUB167.98 billion. By the end of the week the market capitalization of the Index component stocks amounted to RUB18,112.15 billion. 27 MICEX Index constituents were pulling the Index down (down 2.19%) whereas three securities had a positive impact (plus 0.15%).

On the sector level the major negative contributors were the oil & gas (down 0.95%) and power sectors (down 0.40%).

The most negative impact was mainly due to the falling prices for ordinary shares of Uralkali (down 0.30%), followed by NOVATEK (down 0.29%) and RusHydro (down 0.16%).

The oil & gas sector accounted for 55.81% of the MICEX Index' total capitalization. The other large- weight sectors were financial (17.78%) and metallurgy (8.80%).

RTS Index

For the week of June 18-22, 2012 the RTS Index dropped by 4.16% to 1,281.88 points from 1,337.50 points as of June 15, 2012. At the end of the week the RTS Index was 3.03% lower than a month ago (1,321.87 points as of May 22, 2012) and 31.76% lower than a year ago (1,878.38 points as of June 22, 2011).

Last week's decrease of the RTS Index was accompanied by a decrease of volatility levels when the Russian Volatility Index RTSVX was down by 0.78%.

The US dollar appreciated by 1.01 % against the ruble.

Out of 50 Index constituents 48 were pulling the Index down (down 4.40%). The price for two securities moved positively (plus 0.24%).

On the sector level the major negative contributors were the oil & gas (down 2.08%), financial (down 0.49%) and power sectors (down 0.48%).

The negative impact was mainly related to the lowering prices for ordinary shares of Sberbank (down 0.62%) followed by Gazprom (down 0.50%) and JSC  "LUKOIL"(down 0.45%).

Index Derivatives

For the week of June 18-22, 2012 the total trading volume in index futures and options on the FORTS derivatives market equaled RUB585.25 billion rubles representing 6.77 million contracts.

Last week's trading volume for the most liquid contract on FORTS, futures contracts on the RTS Index, amounted to RUB540.35 billion representing 6.25 million contracts.

The RTS Index futures contract traded in backwardation last week. By the end of the week the RTS Index lost 4.16%, while the September and December futures contracts shed 4.03% and 3.78% respectively.

The total investor's open interest measured in RTS Index futures decreased by 35.87%.

During the week, trading volume in futures contract on the MICEX Index was RUB3.19 billion representing 22.94 thousand contracts. Open interest in the contract decreased by 18.99%.

Trading volume in options on RTS Index futures totaled RUB40.45 billion representing 476.4 thousand contracts. By the end of the week, open interest of RUB42.39 billion or 492.23 thousand contracts was fixed. Call options made up 49.18% of the total open interest for these contracts. The 130,000 strike calls had the highest open interest, similar to the 135,000 strike puts.

The total investor's open interest measured in options on the RTS index futures decreased by 66.48%.