OREANDA-NEWS. August 14, 2012. For the week of July 23-27, 2012 the MICEX Index declined by 0.64% to 1,406.30 points from 1,415.38 points as of July 20, 2012.

The RTS Index calculated based on prices in US dollar dropped by 0.63% to reach 1,382.82 points (1,391.55 points as of July 20, 2012). The US dollar appreciated by 1.70% against the ruble.

The stock market volatility rose last week, with the Russian Volatility Index increasing by 1.05% to 30.68 points (30.36 points as of July 20, 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 financial sector, with the relevant sector index falling by 1.64%. A significant decrease was also shown by the power and industrial sectors, with the MICEX PWR\RTSeu Index and MICEX MNF\RTSin Index shedding 1.50% and 1.31% respectively. The largest growth was reported by the consumer & retail sector with the MICEX CGS\RTScr Index adding 2.04%.

The MICEX Innovation Index lost 1.07%.

Large cap companies were most affected by the last week’s market decline, with the MICEX Large Cap Index being down by 1.18%. The MICEX Small Cap Index lost 1.16% whilst the MICEX Mid Cap Index grew by 1.33%.

For the week of July 23-27, 2012 the Russian stock market showed a decline of prices.

The MICEX Index was down to 1,406.3 points (0.64%) from 1,415.38 points as of July 20, 2012. At the end of the week the MICEX Index was 2.96% higher than a month ago (1,365.93 points as of June 27, 2012) and 17.58% lower than a year ago (1,706.28 points as of July 27, 2011).

Trading volume of securities currently in the MICEX Index and traded on the Main market equaled RUB176.69 billion. By the end of the week the market capitalization of the Index component stocks amounted to RUB18,612.98 billion.

18 securities out of the MICEX Index constituents were pulling the Index down (down 1.18%). 12 securities behaved positively (plus 0.54%).

On the sector level the major negative contributors were the oil & gas (down 0.40%) and chemical sectors (down 0.15%).

The most negative impact was mainly due to the falling prices for ordinary shares of NOVATEK (down 0.31%), followed by Rosneft (down 0.23%) and Uralkali (down 0.15%).

The oil & gas sector accounted for 55.07% of the MICEX Index’ total capitalization. The other large- weight sectors were financial (17.57%) and metallurgy (8.17%).

For the week of July 23-27, 2012 the RTS Index dropped by 0.63% to 1,382.82 points from 1,391.55 points as of July 20, 2012. At the end of the week the RTS Index was 5.82% higher than a month ago (1,306.82 points as of June 27, 2012) and 30.03% lower than a year ago (1,976.18 points as of July 27, 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 1.05%.

The US dollar appreciated by 1.7% against the ruble.

Out of 50 Index constituents 30 were pulling the Index down (down 1.22%) while 19 securities moved it up (plus 0.59%). The price for one security remained unchanged.

On the sector level the major negative contributors were the oil & gas (down 0.43%) and chemical sectors (down 0.12%).

The negative impact was mainly related to the lowering prices for ordinary shares of Rosneft (down 0.21%) followed by NOVATEK (down 0.19%) and Uralkali (down 0.13%).

The Russian Government Bond Index (RGBI) was down 0.26% to 131.24 points last week (131.58 points as of July 20, 2012). The RGBI total return value dropped by 0.11% to 288.74 points. Last week’s trading volume of bonds currently in the Index amounted to RUB9.25 billion.

The total return value of the MICEX Corporate Bond Index (MICEX CBI TR) was up 0.01% to 214.62 points, while the clean price value of the index lost 0.15% to reach 91.96 points.

The Municipal Bond Indices also rose last week with the MICEX MBI total return adding 0.12% to 159.63 points (159.44 points as of July 20, 2012). The conservative investment strategy tracking the last week’s pension index could have resulted in a weekly gain of 0.07%. Following the aggressive investment strategy based on the pension index could have brought a weekly loss of 0.25%.

The bond overnight repo rate was up 17 basis points to 6.04% in value. The equity overnight repo rate added 28 basis points to 5.80% in value.

For the week of July 23-27, 2012 the total trading volume in index futures and options on the FORTS derivatives market equaled RUB708.26 billion rubles representing 8.2 million contracts.

Last week’s trading volume for the most liquid contract on FORTS, futures contracts on the RTS Index, amounted to RUB630.41 billion representing 7.3 million contracts.

The RTS Index futures contract traded in backwardation last week. By the end of the week the RTS Index lost 0.63%, while the September and December futures contracts shed 0.53% and 0.64% respectively.

The total investor’s open interest measured in RTS Index futures increased by 7.41%.

During the week, trading volume in futures contract on the MICEX Index was RUB3.18 billion representing 22.96 thousand contracts. Open interest in the contract increased by 2.59%.

Trading volume in options on RTS Index futures totaled RUB73.06 billion representing 858.99 thousand contracts. By the end of the week, open interest of RUB79.51 billion or 943.94 thousand contracts was fixed. Call options made up 57.08% of the total open interest for these contracts. The 135,000 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 27.29%.