MICEX-RTS Released Russian Equity Indices Review (2 May - 5 May, 2012)
OREANDA-NEWS. May 12, 2012. For the week of May 2-5, 2012 the MICEX Index dived 5.91% to 1,386.41 points from 1,473.50 points as of April 28, 2012.
The RTS Index calculated based on prices in US dollar slumped 6.55% to reach 1,489.55 points (1,593.97 points as of April 28, 2012). The US dollar appreciated by 0.58% against the ruble. The stock market volatility rose last week, with the Russian Volatility Index increasing by 6.09% to 30.84 points (29.07 points as of April 28, 2012).
Last week most of the key economy sectors represented on the Russian stock market demonstrated a negative trend. The largest downturn was reported by the industrial sector, with the relevant sector index falling by 9.71%. A significant decrease was also shown by the power and metals & mining sectors, with the MICEX PWR\RTSeu Index and MICEX M&M\RTSmm Index shedding 7.99% and 6.97% respectively. The MICEX TLC\RTStl Index showed the smallest downturn of 3.57%.
The MICEX Innovation Index lost 3.85%.
Mid cap companies were most affected by the last week's market decline, with the MICEX Mid Cap Index being down by 6.40%. The MICEX Small Cap Index and MICEX Large Cap Index lost 6.21% and 6.03% respectively.
For the week of May 2-5, 2012 the Russian stock market showed a decline of prices.
The MICEX Index was down to 1,386.41 points (5.91%) from 1,473.50 points as of April 28, 2012. At the end of the week the MICEX Index was 9.09% lower than a month ago (1,525.11 points as of April 5, 2012) and 5.72% lower than a year ago (1,644.92 points as of May 5, 2011).
Trading volume of securities included into the MICEX Index constituents list and traded on the Main market equaled RUB125.21 billion. By the end of the week the market capitalization of the Index component stocks amounted to RUB18,572.96 billion.
Out of 31 constituents of the MICEX Index 30 were pulling the Index down (down 5.91%).
On the sector level the major negative contributors were the oil & gas (down 3.44%) and financial sectors (down 0.76%).
The most negative impact was mainly due to the falling prices for ordinary shares of JSC "NOVATEK" (down 1.08%), followed by JSC "LUKOIL" (down 0.70%) and Sberbank (down 0.53%).
The positive effect leaders were ordinary shares of Mechel ОАО (plus 0.004%).
The oil & gas sector accounted for 55.1% of the MICEX Index' total capitalization. The other large-weight sectors were financial (18.6%) and metallurgy (8.4%).
For the week of May 2-5, 2012 the RTS Index slumped 6.55% to 1,489.55 points from 1,593.97 points as of April 28, 2012. At the end of the week the RTS Index was 9.32% lower than a month ago (1,642.62 points as of April 5, 2012) and 22.27% lower than a year ago (1,916.33 points as of May 5, 2011).
Last week's decrease of the RTS Index was accompanied by an increase of volatility levels when the Russian Volatility Index RTSVX was up by 6.09%.
The US dollar appreciated by 0.58% against the ruble.
Out of 50 Index constituents 29 were pulling the Index down (down 6.56%), whereas one security had a positive impact (plus 0.01%). The price for 20 securities remained unchanged.
On the sector level the major negative contributors were the oil & gas (down 3.91%) and financial sectors (down 1.00%).
The negative impact was mainly related to the lowering prices for ordinary shares of JSC "NOVATEK" (down 0.1.03%) followed by JSC "LUKOIL" (down 0.89%) and Sberbank (down 0.71%).
The positive effect leaders were ordinary shares of OJSC MTS (plus 0.01%).
For the week of May 2-5, 2012 the total trading volume on the derivatives market FORTS equaled RUB427.27 billion rubles representing 4.81 million contracts.
Last week's trading volume for the most liquid contract on FORTS, futures contracts on the RTS Index, amounted to RUB378.80 billion representing 4.28 million contracts.
The RTS Index futures contract traded in backwardation last week. By the end of the week the RTS Index lost 6.55%, while the June and September futures contracts shed 7.23% and 7.17% respectively.
The total investor's open interest measured in RTS Index futures increased by 37.64%.
During the week, trading volume in futures contract on the MICEX Index was RUB1.49 billion representing 10.57 thousand contracts. Open interest in the contract decreased by 4.79%.
Trading volume in options on RTS Index futures totaled RUB44.13 billion representing 491.06 thousand contracts. By the end of the week, open interest of RUB83.08 billion or 887.58 thousand contracts was fixed. Call options made up 61.75% of the total open interest for these contracts. The 170,000 strike calls had the highest open interest, as the 135,000 strike puts.
The total investor's open interest measured in options on the RTS index futures increased by 10.21%.
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