OREANDA-NEWS. December 20, 2012. For the week of December 03 - 07, 2012 the MICEX Index was up 2.25% to 1,441.47 (1,405.97 points as of November 23, 2012).

The RTS Index grew by 2.40% to 1,471.09 (1,436.55 points as of November 30, 2012). The US dollar depreciated by 0.47% against the ruble last week.

The stock market volatility decreased last week with the Russian Volatility Index falling by 2.46% to 21.81 points (22.36 points as of November 30, 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 industrials with the relevant sector index rising by 2.95%. A significant decrease was also shown by the oil & gas sector and the telecommunications with the relevant sector indices up 2.66% and 1.79% respectively.

The MICEX Innovation Index lost 1.77%.

The largest upturn was shown by the large cap companies. The MICEX Large Cap Index gained 2.76%. The MICEX Small Cap Index and the MICEX Mid Cap Index were up 0.37% and 0.84% respectively.

For the week of December 03 - 07, 2012 the Russian stock market showed a positive trend. The MICEX Index was up 2.52% to 1,441.47 (1,405.97 points as of November 30, 2012).

At the end of the week the MICEX Index was 1.27% higher than a month ago (1,423.36 points as of November 07, 2012) and 0.48% lower than a year ago (1,448.39 as of December 07, 2011).

Trading volume of securities included into the MICEX Index constituents list traded on the Main market equaled RUB138.22 billion. By the end of the week the market capitalization of the Index component stocks amounted to RUB18,543.65 billion.

23 constituents of the MICEX Index list were pushing the Index up (plus 2.56%) and 7 constituents behaved negatively (minus 0.04%).

On the sector level the major positive impact was made by oil & gas sector (plus 1.32%) and the metallurgy (plus 0.59%).

The most positive impact on the MICEX Index was mainly due to the rising prices for ordinary shares of Norilsk Nickel (plus 0.57%) followed by LUKOIL (plus 0.41%) and Sberbank (plus 0.24%).

The oil & gas sector accounted for 53.09% of the MICEX Index total capitalization. The other large weight sectors were the financials (16.51%) and the metallurgy (10.17%).

For the week of December 03 - 07, 2012 the RTS Index grew by 2.40% to 1,471.09 (1,436. 55 as of November 30, 2012). At the end of the week the RTS Index was 3.09% higher than a month ago (1,426.94 as of November 07, 2012) and 6.77% lower than a year ago (1,540.81 as of November 07, 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 2.46%.

The US dollar depreciated by 0.47%.

34 constituents of the RTS Index list were pulling the Index up (plus 2.46%), 16 constituents behaved negatively (minus 0.06%).

On the sector level the positive impact was caused by the oil & gas (plus 1.19%) and the financials (plus 0.48%).

The positive impact was mainly related to the rising prices of ordinary shares of Norilsk Nickel (plus 0.47%), LUKOIL (plus 0.47%) and Sberbank (plus 0.28%).

Debt Market

The Russian Government Bond Index (RGBI, total return) was up 0.42% to 137.51 points last week (136.93 points as of November 30, 2012). The weighted average return of the securities being the part of the calculation formula was down 12 basis points to 6.71%.

The Municipal Bond Index (MICEX MBI TR, total return) showed the positive trend and reached 165.19 basis points growing by 0.32% (164.67 as of November 30, 2012).

The total return value of the MICEX Corporate Bond Index (MICEX CBI TR) was up 0.20% to 222.07 points.

The conservative investment strategy tracking the last week’s pension index could have resulted in a gain of 0.20% per week. The aggressive investment strategy based on the pension index could have brought a profit of 0.84% per week.

The bond overnight repo rate was down 15 basis points (from 6.41% to 6.26%).The equity overnight repo rate was down 12 basis points and equaled 5.95%.

Index Derivatives

For the week of December 03 - 07, 2012 the total trading volume in index futures and options on the FORTS Derivatives Market equaled RUB536.43 billion representing 5.96 million contracts.

Last week’s trading volume for the most liquid contract on FORTS, futures contract on the RTS Index, amounted to RUB478.80 billion representing 5.32 million contracts.

The RTS Index futures contract traded in backwardation last week. By the end of the week the RTS Index gained 2.40%, while the December and March futures contracts were up 2.39% and 2.53% respectively.

The total investor’s open interest measured in RTS Index futures decreased by 6.90%.

During the week FORTS trading volume in futures contract on the MICEX Index was RUB2.00 billion representing 13.97 thousand contracts. Open interest in the contract on the MICEX Index increased by 18.54% for the week.

Trading volume in options on RTS Index futures totaled RUB55.71 billion representing 626.25 thousand contracts. Open interest of RUB120.37 billion or 1.37 million contracts was fixed. Call options made up 45.80% 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 7.49%.