OREANDA-NEWS. October 16, 2012. In September 2012 the MICEX Index went up by 2.48% to 1 458.26 points (1 422.91 on August 31, 2012).

The RTS dollar Index went up by 6.19% to 1 475.70 points (1 389.72 on August 31, 2012). For the last month, the U.S. Dollar went down by 3.38% against the Ruble.

The Russian stock market showed volatility increase: the Russian volatility index (RTSVX) went up by 0.51% to 31.67 points (31.51 points on August 31, 2012).

All key sectors represented on the Russian stock market showed a positive trend in the last month. Leading the growth was the Power Sector - the sectoral Index went up by 8.71%. A considerable growth was also demonstrated by the Metallurgy and Engineering sectors - the Metals & Mining Index went up by 7.48%, and the Industrials Index went up by 7.17%. The major falling was demonstrated by the Consumer and Retail sector - the sectoral Index went down by 4.46%.

The MICEX Innovation Index went down by 3.19%.

The stock market’s growing primarily affected mid-cap companies - MICEX Mid Cap Index went up by 5.95%, while MICEX Large Cap Index and MICEX Small Cap Index went up by 1.91% and 0.17%, respectively.

As a result of the described dynamics, by the end of the month the MICEX Index was 6.71% higher compared to its closing level one year ago (1 366.54 on September 30, 2011).

Trading in Index-based securities on an overall basis amounted to RUR 775.57 billion in the last month, and the total Index-based securities capitalization by the end of the month amounted to RUR 18 668.86 billion.

At month end, 22 stocks out of MICEX Index’s total 31 constituents, had a positive impact on its dynamics (+3.16%), while 9 securities moved negatively (-0.68%).

In September, the major positive contributors in the MICEX Index growing were the securities of the Oil & Gas (+1.55%) and Power (+0.43%) Sectors.

The most positive impact on the MICEX Index dynamics came from the price increase of ordinary shares of JSC "Lukoil" (+0.82%), JSC "Rosneft" (+0,58%) and JSC "Uralkali" (+0,31%).

The most negative impact on the MICEX Index dynamics was coming from the price decline of the ordinary shares of JSC "Sberbank" (-0.22%).

52.7% of the MICEX Index total capitalization concentrated in the Oil & Gas Sector. The other large-weight sectors were Finance (16.3%) and Metallurgy (9.9%).

RTS Index

As a result of the described dynamics, in September 2012 the RTS Index was 10.04% higher compared to its closing level one year ago (1 341.09 points on September 30, 2011).

The growth of the RTS Index in the previous month was accompanied by a volatility increase. The Russian volatility index (RTSVX) went up by 0.51%.

In September 2012, 42 stocks out of RTSI’s total 54 constituents had positive impact on the index’s dynamics (+6.38%), while 12 securities moved negatively (-0.19%).

In the previous month the major positive contributors were the securities of Oil & Gas Sector (+3.49%) and Metals and Mining Sector (+0.75%).

The most positive impact on RTSI came from increasing prices of ordinary shares of JSC "LUKOIL" (+1.17%), JSC "Rosneft" (+0.72%) and JSC "Gazprom" (+0.56%).

The most negative impact on RTSI dynamics came from the decreasing prices of the preferred shares of JSC "Mechel" (-0.04%).

Debt Market

For the last month Russian Government Bond price Index (RGBI) went up by 0.30% to 132.40 points (132.00 on August 31, 2012). The Index calculated on the basis of the total returns method went up by 0.87% and reached 294.90 points. While weighted average return on bonds included in the RGBI calculation base went down by 9 points and amounted to 7.42%.

Municipal Bond Index (MICEX MBI TR Index, total returns) went up by 1.71% to 162.76 points (160.87 on August 31, 2012). MICEX MBI CP Index, calculated on the basis of clean prices, for the last month went up by 0.69% and amounted to 96.76 points.

In the Corporate Bonds Sector, the Index calculated on the basis of the total returns method (MICEX CBI TR) went up by 0.68% and reached 218.29 points; the price index was 92.37 points, showing growth of 0.28%. Weighted average return went down by 7 points and amounted to 8.61%.

Conservative investment strategy in pension indices would provide growth of 0.51% during the month, and aggressive strategy would provide growth of 2.07% during the month.

Overnight bonds REPO rate went up for 94 points, from 5.37% to 6.31% during the last month. Overnight stocks REPO rate amounted to 5.95% (94 points increase).

Index Derivatives

In September trading in Index-based derivatives on FORTS amounted to RUR 2 712.67 billion or 29.13 million contracts.

Futures based on RTSI remained the most liquid derivative contracts on the FORTS market. The volume of trading on these contracts in the last month amounted to RUR 2 367.89 billion or 25.44 million contracts.

In the last month, all the RTSI-based futures traded in backwardation. The RTSI went up by 6.19%, while the December and March futures went up by 6.59% and 6.99% respectively. The September contracts on RTSI-index were exercised on Tuesday, September 18th. The price of exercise was determined on September 17th and amounted to 158 480 points.

The total volume of opened positions in the RTSI-based futures went down by 12.22% against the end of the previous month.

Trading in MICEX Index-based derivatives on FORTS in the last month amounted to RUR 15.61 billion, or 104.65 thousand contracts. For the last month, the volume of opened positions on MICEX- based futures went down by 75.07%.

Trading in RTSI-based options in the previous month amounted to RUR 324.69 billion or 3.54 million contracts. The volume of opened positions as of the end of the month amounted to rUr 92.00 billion or 1.04 million contracts, while the share of call options in the total open interest made up 56.23%. The major open interest on call options was concentrated at the strike of 110 000, while the maximum on put options was observed at the strike of 170 000.

For the last month, the volume of opened positions in the RTSI-based futures went down by 4.30%.