OREANDA-NEWS. October 3, 2011. Starting from September 30, 2011 within the framework of the integration of the Russia's two major exchanges, MICEX and RTS, FORTS will start trading in a cash-settled futures contract on the MICEX Index (the code of the contract in the trading system is MX) and an option on the futures contract on the MICEX Index.

These contracts have become the first on-exchange instruments developed and introduced in close collaboration of the specialists of the two exchanges.  The launch of derivatives on the main ruble index of the Russian stock market on the basis of the FORTS platform will facilitate further qualitative development of the whole RTS derivatives market range of instruments and help investors to build more effective strategies in the indices and spot segments of the derivatives market.

"Indices derivatives denominated in local currencies are marked by high volatility levels on many emergency markets. Ruble indices are demanded on the Russian market as well. The MICEX Index acts as the main benchmark for Russian mutual and non-state pension funds. We also see strong demand for derivatives on ruble indices among foreign market participants. They will gain an opportunity to create new products using these contracts", said Evgeny Serdyukov, Derivatives Market Director at RTS Stock Exchange.

According to Mr. Serdyukov, a range of trading strategies which involve the new futures contract is extremely wide.  "It includes hedging stock portfolios, speculative trading, arbitrage between the index futures and a basket of shares or futures as well as index arbitrage. In addition, futures and options on the MICEX Index will allow management companies and large foreign participants to benefit from the indices derivatives advantages with no need to hedge against currency risks."  

According to the specifications for the futures on the MICEX Index, the contract volume amounts to a value of the MICEX Index multiplied by 100 rubles. The basic size of initial margin sets at 10%. The contract’s settlement price is determined on the basis of the average value of the MICEX Index for a period from 3.00 pm MSK to 4.00 pm MSK on the last trading day multiplied by 100 rubles. Contract’s settlement periods are March, June, September and December. Deliverable American option on this futures contract with volume of 1 futures on the MICEX Index and expiration in the last month of each quarter, i.e. in March, June, September and December, will be introduced to trading simultaneously. 

MICEX Index is a capital-weighted price index consisted of 30 stocks of the major and rapidly developing Russian issuers from the main sectors of Russian economy represented on the MICEX Stock Exchange.  

FORTS, the derivatives market of RTS, is the leading trading venue for futures and options in Russia. Trading on FORTS started in September 2001. According to the Futures Industry Association the derivatives market of RTS is among the TOP-10 global derivatives exchanges based on the results of 2010. At present FORTS has the widest range of instruments in Russia. These are 56 contracts (41 futures and 15 options) on RTS Index, MICEX Index, RTS Standard Index, shares of Russian companies, short term interest rates, currency, oil, gasoil, power, gold, silver, and sugar.