OREANDA-NEWS. December 19, 2012. In November 2012 the MICEX Index went down by 1.38% to 1 405.97 points (1 425.70 on October 31, 2012).

The RTS dollar Index went up by 0.18% to 1 436.55 points (1 433.96 on October 31, 2012). For the last month, the U.S. Dollar went down by 1.49% against the Ruble.

The Russian stock market showed volatility decrease: the Russian volatility index (RTSVX) went down by 16.66% to 22.36 points (26.83 points on October 31, 2012).

A number of key sectors represented on the Russian stock market showed a negative trend in the last month. The leader of falling was the Finance Sector - the sectoral Index went down by 4.82%. A considerable decrease was also demonstrated by the Industry and Telecommunication sectors - the Industrials Index went down by 2.75%, and the Telecommunication Index went down by 1.56%.

Leading the growth was the Consumer Goods & Trading Sector - the Consumer & Retail Index went up by 1.48%.

The MICEX Innovation Index went down by 7.76%.

The stock market’s falling primarily affected small-cap companies - MICEX Small Cap Index went down by 1.75%, while MICEX Large Cap Index and MICEX Mid Cap Index went down by 1.73% and 0.17%, respectively.

As a result of the described dynamics, by the end of the month the MICEX Index was 6.24% lower compared to its closing level one year ago (1 499.62 on November 30, 2011).

Trading in Index-based securities on an overall basis amounted to RUR 560.43 billion in the last month, and the total Index-based securities capitalization by the end of the month amounted to RUR 18 115.26 billion.

At month end, 17 stocks out of MICEX Index’s total 30 constituents, had a negative impact on its dynamics (-2.40%), while 13 securities moved positively (+1.02%).

In November, the major negative contributors in the MICEX Index growing were the securities of the Chemicals and Petrochemicals (-0.45%) and Telecommunication (-0.43%) Sectors.

The most negative impact on the MICEX Index dynamics was coming from the price decline of the ordinary shares of JSC “Gazprom” (-0.58%), JSC “Rostelecom” (-0.47%) and JSC “Uralkali” (-0.45%).

The most positive impact on the MICEX Index dynamics came from the price increase of the ordinary shares of JSC “Rosneft” (+0.36%).

53.12% of the MICEX Index total capitalization concentrated in the Oil & Gas Sector. The other large-weight sectors were Finance (16.62%) and Metallurgy (9.83%).

As a result of the described dynamics, in November 2012 the RTS Index was 6.77% lower compared to its closing level one year ago (1 540.81 points on November 30, 2011).

The growth of the RTS Index in the previous month was accompanied by a volatility decrease. The Russian volatility index (RTSVX) went down by 16.66%.

In November 2012, 30 stocks out of RTSI’s total 50 constituents had positive impact on the index’s dynamics (+1.91%), while 20 securities moved negatively (-1.73%).

In the previous month the major positive contributors were the securities of Oil & Gas Sector (+0.66%) and Metals and Mining Sector (+0.09%).

The most positive impact on RTSI came from increasing prices of ordinary shares of JSC “LUKOIL” (+0.51%), JSC “Rosneft” (+0.44%) and JSC “Sberbank” (+0.13%).

The most negative impact on RTSI dynamics came from the decreasing prices of the ordinary shares of JSC “Uralkali” (-0.39%).

Debt Market

For the last month Russian Government Bond price Index (RGBI) went up by 2.00% to 136.93 points (134.37 on October 31, 2012). The Index calculated on the basis of the total returns method went up by 2.58% and reached 308.57 points. While weighted average return on bonds included in the RGBI calculation base went down by 30 points and amounted to 6.83%.

Municipal Bond Index (MICEX MBI TR Index, total returns) went up by 0.49% to 164.67 points (163.83 on October 31, 2012). MICEX MBI CP Index, calculated on the basis of clean prices, for the last month went down by 0.20% and amounted to 96.52 points.

In the Corporate Bonds Sector, the Index calculated on the basis of the total returns method (MICEX CBI TR) went up by 0.78% and reached 221.62 points; the price index was 92.39 points, showing growth of 0.04%. Weighted average return went up by 23 points and amounted to 8.86%.

Conservative investment strategy in pension indices would provide growth of 0.60% during the month, and aggressive strategy would provide growth of 0.50% during the month.

Overnight bonds REPO rate went up for 4 points, from 6.39% to 6.41% during the last month. Overnight stocks REPO rate amounted to 6.07% (15 points decrease).

Index Derivatives

In November trading in Index-based derivatives on FORTS amounted to RUR 2 469.22 billion or 27.96 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 2 223.51 billion or 25.22 million contracts.

In the last month, all the RTSI-based futures traded in backwardation. The RTSI went up by 0.18%, while the December and March futures went up by 0.76% and 0.88% respectively.

The total volume of opened positions in the RTSI-based futures went up by 0.68% against the end of the previous month.

Trading in MICEX Index-based derivatives on FORTS in the last month amounted to RUR 8.69 billion, or 62.98 thousand contracts. For the last month, the volume of opened positions on MICEX- based futures went up by 9.91%.

Trading in RTSI-based options in the previous month amounted to RUR 232.23 billion or 2.62 million contracts. The volume of opened positions as of the end of the month amounted to RUR 111.20 billion or 1.28 million contracts, while the share of call options in the total open interest made up 45.80%. 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 2.65%.