Volume of Trading in Stock Derivatives on MICEX Increased 20 Times
OREANDA-NEWS. On 02 June 2009 was announced, that in the first half of May 2009, despite the small number of trading days, the volume of trading in stock derivatives on the MICEX grew more than 20 times against the average monthly volume of trading for the entire year 2008 and the first quarter of 2009 and amounted to 19797 contracts (717.5 mln rubles).
Trading activity in the MICEX stock derivatives market grew as a result of the implementation of a number of measures aimed at stimulating the growth of market liquidity.
These measures included:
the coming into effect, as from March 17, 2009, of the new version of the Specification for the setllement MICEX Index futures, which provides for the 5-fold increase in the contract volume and the 2.5-fold decrease in the minimum price tick;
the adoption, as from March 25, 2009, of new conditions of work of market makers for the setllement MICEX Index futures;
the implementation, as from April 13, 2009, of a new risk management system based on the portfolio margining technology which itself is based on SPAN® methodology and the use of the MICEX guarantee funds, including the Reserve Fund (2 billion rubles) to cover risks in the MICEX derivatives market, which is formed from the MICEX funds;
the launch, as from April 27, of delivery futures on common shares in Gazprom and Sberbank and the beginning of work of market makers for these contracts from the first day of trading;
establishing, as from April 27, marketing periods during which the amount of the commission fee will be 0.20 rubles per 1 the contract for transactions in the MICEX Index futures and 0.04 rubles per 1 contract for transactions in shares futures.
As a result of the implementation of these measures:
the MICEX Index futures became very attractive for scalper and arbitrage deals: the profitability of the price tick, considering the reduction rate of the commission rate during the marketing period, increased 10 times;
participants’ costs decreased as a result of the reduction of deposit margin rates by up to 30% for isolated positions and up to 5 times for spreads;
the trading system has regular bilateral quotations with a narrow spread for all main contracts, provided and maintained by market makers (3-5 market makers for each contract).
A significant increase in liquidity in the stock derivatives market which has taken place recently confirms the success of the measures taken to promote the development of the MICEX Group’s derivatives market and the positive attitude of market participants to these measures.
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