OREANDA-NEWS. July 17, 2012. For the week of June 25-29, 2012 the MICEX Index rose by 3.00% to 1,387.52 points from 1,347.15 points as of June 22, 2012.

The RTS Index calculated based on prices in US dollar was up 5.35% to reach 1,350.51 points (1,281.88 points as of June 22, 2012). The US dollar appreciated by 0.11% against the ruble.

The stock market volatility dropped last week, with the Russian Volatility Index diving by 12.91% to 33.25 points (38.18 points as of June 22, 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 telecommunication sector, with the relevant sector index rising by 3.60%. A significant increase was also shown by the industrial, chemical and petrochemical sectors, with the MICEX MNF\RTSin Index and MICEX CHM adding 3.57% and 3.38% respectively.

The MICEX Innovation Index lost 0.21%.

Large cap companies were most affected by the last week's market growth, with the MICEX Large Cap Index being up by 3.02%. The MICEX Mid Cap Index and MICEX Small Cap Index grew by 2.74% and 1.81% respectively.

MICEX Index

For the week of June 25-29, 2012 the Russian stock market showed a positive trend. The MICEX Index was up 3.00% to 1,387.52 points from 1,347.15 points as of June 22, 2012. At the end of the week the MICEX Index was 4.55% higher than a month ago (1,327.08 points as of May 29, 2012) and 16.41% lower than a year ago (1,660.00 points as of June 29, 2011).

Trading volume of securities included into the MICEX Index constituents list and traded on the Main market equaled RUB152.17 billion. By the end of the week the market capitalization of the Index component stocks amounted to RUB18,511.22 billion. Out of 30 MICEX Index's constituents 23 were pushing the Index upwards (plus 3.19%), whereas seven securities behaved negatively (down 0.19%).

On the sector level the major positive contributors were the oil & gas (plus 1.27%), chemical (plus 0.57%) and financial sectors (plus 0.56%).

The most positive impact was mainly due to the rising prices for ordinary shares of JSC  "LUKOIL" (plus 0.79%), followed by Uralkali (plus 0.57%) and Sberbank (plus 0.43%).

The oil & gas sector accounted for 55.81% of the MICEX Index' total capitalization. The other large- weight sectors were financial (17.78%) and metallurgy (8.80%).

RTS Index

For the week of June 25-29, 2012 the RTS Index added 5.35% to 1,350.51 points from 1,281.88 points as of June 22, 2012. At the end of the week the RTS Index was 3.33% higher than a month ago (1,307.03 points as of May 29, 2012) and 28.72% lower than a year ago (1,894.58 points as of June 29, 2011).

Last week's increase of the RTS Index was accompanied by a decrease of volatility levels when the Russian Volatility Index RTSVX was down 12.91%.

The US dollar appreciated by 0.11% against the ruble.

Out of 50 Index constituents 46 were pulling the Index upwards (plus 5.37%), whereas four securities behaved negatively (down 0.02%).

On the sector level the major positive contributors were the oil & gas (plus 2.49%), financial (plus 0.97%) and chemical sectors (plus 0.70%).

The positive impact was mainly related to the rising prices of ordinary shares of JSC  "LUKOIL" (plus 1.05%) followed by Sberbank (plus 0.74%) and Uralkali (plus 0.69%).

The Russian Government Bond Index (RGBI) was up 0.33% to 128.81 points last week (128.39 points as of June 22, 2012). The RGBI total return value rose by 0.46% to 281.92 points. Last week's trading volume of bonds being currently in the Index amounted to RUB8.57 billion, up 17.4% from the previous week. The total return value of the MICEX Corporate Bond Index (MICEX CBI TR) was up 0.32% to 212.6 points, while the clean price value of the index added 0.15% to reach 91.65 points.

The Municipal Bond Indices also rose last week with the MICEX MBI total return adding 0.20% to 158.2 points (157.88 points as of June 22, 2012). The conservative investment strategy tracking the last week's pension index could result in a weekly loss of 0.04%. Following the aggressive investment strategy based on the pension index could bring a weekly profit of 1.34%.

The bond overnight repo rate was up 2.44% to 6.3% in value. The equity overnight repo rate added 5.73% to 6.27% in value.

Index Derivatives

For the week of June 25-29, 2012 the total trading volume in index futures and options on the FORTS derivatives market equaled RUB550.27 billion rubles representing 6.47 million contracts.

Last week's trading volume for the most liquid contract on FORTS, futures contracts on the RTS Index, amounted to RUB504.35 billion representing 5.95 million contracts.

The RTS Index futures contract traded in backwardation last week. By the end of the week the RTS Index added 5.35%, while the September and December futures contracts were up 5.39% and 5.11% respectively.

The total investor's open interest measured in RTS Index futures increased by 16.87%.

During the week, trading volume in futures contract on the MICEX Index was RUB3.56 billion representing 26.02 thousand contracts. Open interest in the contract increased by 81.57%.

Trading volume in options on RTS Index futures totaled RUB40.91 billion representing 485.53 thousand contracts. Open interest of RUB626.28 billion or 626.28 thousand contracts was fixed as of the day preceding the contract's settlement day. Call options made up 50.10% of the total open interest for these contracts. The 130,000 strike calls had the highest open interest, similar to the 135,000 strike puts.

The total investor's open interest measured in options on the RTS index futures increased by 27.23%.