OREANDA-NEWS. November 19, 2012. In October 2012 the MICEX Index went down by 2.23% to 1 425.70 points (1 458.26 on September 28, 2012).

The RTS dollar Index went down by 2.83% to 1 425.70 points (1 475.70 on September 28, 2012). For the last month, the U.S. Dollar went up by 1.06% against the Ruble.

The Russian stock market showed volatility decrease: the Russian volatility index (RTSVX) went down by 15.28% to 26.83 points (31.67 points on September 28, 2012).

All key sectors represented on the Russian stock market showed a negative trend in the last month. The leader of falling was the Power Sector - the sectoral Index went down by 8.87%. A considerable decrease was also demonstrated by the Metallurgy and Telecommunication sectors - the Metals & Mining Index went down by 6.74%, and the Telecommunication Index went down by 3.32%.

The MICEX Innovation Index went down by 6.27%.

The stock market’s falling primarily affected mid-cap companies - MICEX Mid Cap Index went down by 7.03%, while MICEX Small Cap Index and MICEX Large Cap Index went down by 3.05% and 1.46%, respectively.

MICEX Index

As a result of the described dynamics, by the end of the month the MICEX Index was 4.86% lower compared to its closing level one year ago (1 498.6 on October 31, 2011).

Trading in Index-based securities on an overall basis amounted to RUR 634.04 billion in the last month, and the total Index-based securities capitalization by the end of the month amounted to RUR 18 291.71 billion.

At month end, 24 stocks out of MICEX Index’s total 30 constituents, had a negative impact on its dynamics (-3.52%), while 6 securities moved positively (+1.29%).

In October, the major negative contributors in the MICEX Index growing were the securities of the Oil & Gas (-0.91%) and Power (-0.63%) Sectors.

The most negative impact on the MICEX Index dynamics was coming from the price decline of the ordinary shares of JSC “Gazprom” (-1.22%), JSC “Rostelecom” (-0.33%) and JsC “Uralkali” (-0.27%).

The most positive impact on the MICEX Index dynamics came from the price increase of ordinary shares of JSC “Rosneft” (+0.69%).

52.63% of the MICEX Index total capitalization concentrated in the Oil & Gas Sector. The other large-weight sectors were Finance (16.61%) and Metallurgy (9.71%).

As a result of the described dynamics, in October 2012 the RTS Index was 8.27% lower compared to its closing level one year ago (1 563.28 points on October 31, 2011).

The falling of the RTS Index in the previous month was accompanied by a volatility decrease. The Russian volatility index RTSVX went down by 15.28%.

In October 2012, 41 stocks out of RTSI’s total 50 constituents had negative impact on the index’s dynamics (-3.85%), while 9 securities moved positively (+1.02%).

In the previous month the major negative contributors were the securities of Oil & Gas Sector (-1.41%) and Power Sector (-0.53%).

The most negative impact on the RTS Index dynamics was coming from the price decline of the ordinary shares of JSC “Gazprom” (-1.26%), JSC “Uralkali” (-0.31%) and JSC “Rostelecom” (-0.27%).

The most positive impact on the RTS Index dynamics came from the price increase of ordinary shares of JSC “Rosneft” (+0.61%).

Index Derivatives

In October trading in Index-based derivatives on FORTS amounted to RUR 2 996.19 billion or 32.68 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 2 691.52 billion or 29.37 million contracts.

In the last month, all the RTSI-based futures traded in backwardation. The RTSI went down by 2.83%, while the December and March futures went down by 2.95% and 2.97% respectively.

The total volume of opened positions in the RTSI-based futures went up by 13.45% against the end of the previous month.

Trading in MICEX Index-based derivatives on FORTS in the last month amounted to RUR 11.15 billion, or 75.94 thousand contracts. For the last month, the volume of opened positions on MICEX- based futures went up by 75.94%.

Trading in RTSI-based options in the previous month amounted to RUR 289.68 billion or 3.20 million contracts. The volume of opened positions as of the end of the month amounted to RUR 112.02 billion or 1.24 million contracts, while the share of call options in the total open interest made up 47.03%. The major open interest on call options was concentrated at the strike of 160 000, while the maximum on put options was observed at the strike of 135 000.

For the last month, the volume of opened positions in the RTSI-based futures went up by 18.97%.