OREANDA-NEWS. December 7, 2012. For the week of November 19 - 23, 2012 the MICEX Index was up 2.13% to 1,413.15 (1,383.66 points as of November 16, 2012).

The RTS Index grew by 4.08% to 1,432.24 (1,376.10 points as of November 16, 2012). The US dollar depreciated by 1.70% against the ruble last week.

The stock market volatility decreased last week with the Russian Volatility Index falling by 12.30% to 22.75 points (25.94 points as of November 16, 2012).

Last week most of the key economy sectors represented on the Russian stock market demonstrated a positive trend. The largest upturn was reported by the electric utilities with the relevant sector index rising by 5.01%. A significant decrease was also shown by the chemicals & petrochemicals and the metallurgy with the relevant sector indices up 2.25% and 2.05% respectively.

The MICEX Innovation Index lost 2.33%.

The largest upturn was shown by the mid cap companies. The MICEX Mid Cap Index gained 3.74%. The MICEX Large Cap Index and the MICEX Small Cap Index were up 1.73% and 1.10% respectively.

For the week of November 19 - 23, 2012 the Russian stock market showed a positive trend. The MICEX Index was up 2.13% to 1,413.15 (1,383.66 as of November 16, 2012).

At the end of the week the MICEX Index was 2.90% lower than a month ago (1,455.31 points as of October 23, 2012) and 0.63% higher than a year ago (1,404.26 as of November 23, 2011).

Trading volume of securities included into the MICEX Index constituents list traded on the Main market equaled RUB105.09 billion. By the end of the week the market capitalization of the Index component stocks amounted to RUB18,189.04 billion.

28 constituents of the MICEX Index list were pushing the Index up (plus 2.36%) and 2 constituents behaved negatively (minus 0.23%).

On the sector level the major positive impact was made by the oil & gas (plus 0.80%) and the financials (plus 0.56%). The most positive impact on the MICEX Index was mainly due to the rising prices for ordinary shares of Sberbank (plus 0.45%) followed by LUKOIL (plus 0.27%) and NOVATEK (plus 0.20%).

The oil & gas sector accounted for 53.01% of the MICEX Index total capitalization. The other large weight sectors were the financials (16.30%) and the metallurgy (9.66%).

For the week of November 19 - 23, 2012 the RTS Index grew by 4.08% to 1,432. 24 (1,376.10 as of November 16, 2012). At the end of the week the RTS Index was 1.68% lower than a month ago (1,456.73 as of October 23, 2012) and 0.72% higher than a year ago (1,422.00 as of November 23, 2011).

Last week’s increase of the RTS Index was accompanied by the decrease of volatility levels, when the Russian Volatility Index RTSVX was down 12.30%.

The US dollar depreciated by 1.70%.

45 constituents of the RTS Index list were pulling the Index up (plus 4.17%), 5 constituents behaved negatively (minus 0.09%).

On the sector level the positive impact was caused by the oil & gas (plus 1.88%) and the financials (plus 0.97%).

The positive impact was mainly related to the rising prices of ordinary shares of Sberbank (plus 0.76%), LUKOIL (plus 0.65%) and Gazprom (minus 0.43%).

Index Derivatives

For the week of November 19 - 23, 2012 the total trading volume in index futures and options on the FORTS derivatives market equaled rUb446.20 billion representing 5.06 million contracts.

Last week’s trading volume for the most liquid contract on FORTS, futures contract on the RTS Index, amounted to RUB407.18 billion representing 4.63 million contracts.

The RTS Index futures contract traded in backwardation last week. By the end of the week the RTS Index gained 4.08%, while the March and December futures contracts were up 4.19% and 4.16% respectively. The total investor’s open interest measured in RTS Index futures decreased by 8.12%.

During the week FORTS trading volume in futures contract on the MICEX Index was RUB2.26 billion representing 16.10 thousand contracts. Open interest in the contract on the MICEX Index increased by 31.28% for the week.

Trading volume in options on RTS Index futures totaled RUB35.66 billion representing 407.94 thousand contracts. Open interest of RUB95.40 billion or 1.09 million contracts was fixed. Call options made up 47.46% of the total open interest for these contracts.

The 160.000 strike calls and 135.000 strike puts had the highest open interest. The total investor’s open interest measured in options on the RTS index futures increased by 15.60%.