OREANDA-NEWS. June 1, 2012. In April 2012 the MICEX Index went down by 2.89% to 1 473.5 points (1 517.34 on March 30, 2012).

The RTS dollar Index went down by 2.67% to 1 593.97 points (1 637.73 on March 30, 2012). For the last month, the U.S. Dollar went up by 0.47% against the Ruble.

The Russian stock market showed minor volatility decrease: the Russian volatility index, RTSVX, went down by 10.80% to 29.07 points (32.59 points on March 30, 2012).

All key sectors represented on the Russian stock market showed a negative trend in the last month. The leader of falling was the Power Sector - the sectoral Index went down by 10.98%. A considerable falling was also demonstrated by the Finance and Telecommunications sectors - the Index of Financials lost 5.30%, and the Index of Telecommunications lost 4.75%. The MICEX Innovation Index went up by 1.65%.

The stock market's falling primarily affected mid-cap companies - MICEX Mid Cap Index lost 5.08% while MICEX Small Cap Index and MICEX Large Cap Index went down by 4.54% and 2.41%, respectively.

MICEX Index

As a result of the described dynamics, by the end of the month the MICEX Index was 15.41% lower compared to its closing level one year ago (1 741.84 on April 29, 2011).

Trading in Index-based securities on an overall basis amounted to RUR 834.64 billion in the last month, and the total Index-based securities capitalization by the end of the month amounted to RUR 19 740.39 billion.

At month end, 23 stocks out of MICEX Index's total 31 constituents, had a negative impact on its dynamics (-3.13%), while 8 securities moved positively (+0.24%).

In April, the major negative contributors in the MICEX Index falling were the securities of the Oil & Gas (-1.47%) and Power (-0.56%) sectors.

The most negative impact on the MICEX Index dynamics was coming from the price decline of the ordinary shares of JSC "Gazprom" (-0.93%), JSC "Novatek" (-0.23%) and JSC "FSK UES" (-0.22%).

The most positive impact on the MICEX Index dynamics came from the price increase of ordinary shares of JSC "LUKOIL" (+0.12%).

55.3% of the MICEX Index total capitalization concentrated in the Oil & Gas Sector. The other large-weight sectors were Finance (18.3%) and Metallurgy (8.5%).

RTS Index

As a result of the described dynamics, in April 2012 the RTS Index was 21.36% lower compared to its closing level one year ago (2 026.94 points on April 29, 2011).

The falling of the RTS Index in the previous month was accompanied by a volatility decrease. The Russian volatility index RTSVX went down by 10.80%.

In April 2012, 33 stocks out of RTSI's total 50 constituents had negative impact on the index's dynamics (-3.02%), 13 securities had positive impact (+0.35%) and the price of 4 stocks remained unchanged.

In the previous month the major negative contributors were the securities of Oil & Gas Sector (­1.41%) and Finance (-0.48%).

The most negative impact on RTSI dynamics came from the decreasing prices of the ordinary shares of JSC "Gazprom" (-0.93%), JSC "FSK UES" (-0.20%) and JSC "Novatek" (-0.19%).

The most positive impact on RTSI came from increasing prices of ordinary shares of JSC "LUKOIL" (+0.13%).

Index Derivatives

In April trading in Index-based derivatives on FORTS amounted to RUR 3 154.37 billion or 34.15 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 2 900 billion or 31.45 million contracts.

In the last month, all the RTSI-based futures traded in backwardation. The RTSI lost 2.67%, while the June futures went down by 2.31% and the September futures went down by 1.93%.

The total volume of opened positions in the RTSI-based futures went down by 5.36% against the end of the previous month.

Trading in MICEX Index-based derivatives on FORTS in the last month amounted to RUR 10 billion, or 68.17 thousand contracts. For the last month, the volume of opened positions on MICEX- based futures went down by 9.40%.

Trading in RTSI-based options in the previous month amounted to RUR 235.95 billion or 2.54 million contracts. The volume of opened positions as of the end of the month amounted to rUr 75.20 billion or 805.32 thousand contracts, while the share of call options in the total open interest made up 61.99%. The major open interest on call options was concentrated at the strike of 170 000, while the maximum on put options was observed at the strike of 155 000.

For the last month, the volume of opened positions in the RTSI-based futures went down by 4.57%.