MICEX Reviewed Russian Equity and Bond Indices (3-7 September, 2012)
OREANDA-NEWS. September 18, 2012. For the week of September 3-7, 2012 the MICEX Index rose by 3.63% to 1,474.58 (1,422.91 points as of August 31, 2012).
The RTS Index calculated based on prices in US dollar was up 5.91% to 1,471.80 (1,389.72 as of August 31, 2012). The US dollar depreciated by 0.29% against the ruble.
The stock market volatility dropped last week, with the Russian Volatility Index decreasing by 24.66% to 23.74 points (31.5’ points as of August 31, 2012).
Last week most of the key economy sectors represented on the Russian stock market demonstrated a positive trend. The larges’ upturn was reported by the metals & mining sector, with the relevant sector index rising by 5.74%. A significant increase was also shown by the power, chemical & petrochemica industries, with the relevant sector indices adding to 4.71% and 3.87% respectively.
The MICEX Innovation Index lost 1.28%.
The largest upturn was reported by the mid cap companies. The MICEX Mid Cap Index gained 4.84%, as well as the MICEX Large Cap Index (3.42%) and the MICEX Small Cap Index (1.11%).
For the week of September 3-7, 2012 the Russian stock market showed a positive trend. The MICEX Index was up 3.63% to 1,474.58 (1,422.91 points as of August 31, 2012).
At the end of the week the MICEX Index was 1.64% higher than a month ago (1,450.74 points as of August 07, 2012), but 4.65% lower than a year ago (1,546.52 as of September 07, 2011).
Trading volume of securities included into the MICEX Index constituents list and traded on the Main market equaled RUB155.08 billion. By the end of the week the market capitalization of the Index component stocks amounted to RUB19,454.78 billion.
30 constituents of the MICEX Index list were pushing the Index upwards (plus 3.63%).
On the sector level the major positive contributors were the oil & gas (plus 2.15%) and financial sectors (plus 0.39%).
The most positive impact was mainly due to the rising prices for ordinary shares of LUKOIL ( plus 0.73%), followed by Gazprom (plus 0.57%) and Uralkali (plus 0.30%).
The oil & gas sector accounted for 55.66% of the MICEX Index’ total capitalization. The other largeweight sectors were financial (18.10%) and metallurgy (7.95%).
For the week of September 3-7, 2012 the RTS Index added 5.91% to 1,471.80 (1,389.72 as of August 31, 2012). At the end of the week the RTS Index was 1.83% higher than a month ago (1,445.34 as of August 07, 2012) and 11.86% lower than a year ago (1,669.75 as of September, 07 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 24.66%.
The US dollar depreciated by 0.29%.
50 constituents of the RTS Index list were pulling the Index upwards (plus 5.91%).
On the sector level the major positive contributors were the oil & gas (plus 3.38%) and financial (plus 0.72%).
The positive impact was mainly related to the rising prices of ordinary shares of LUKOIL (plus 1.00%), Gazprom (plus 0.87%) and Sberbank (plus 0.41%).
The Russian Government Bond Index (RGBI) was up 0.43% to 132.57 points last week (132.00 points as of August 31, 2012). RGBI total return value added 0.57% to 294.37 points. The average return value of the MICEX Government Bond Index lost 12 basis points and amounted to 7.39%.
The Municipal Bond Index (MICEX MBI TR) showed the positive trend and reached 161.24 basis points growing by 0.23% (160.87 as of August 31, 2012).
The total return value of the MICEX Corporate Bond Index (MICEX CBI TR) was up 0.12% to 217.08 points; while the clean price value of the index reached 92.07 points, losing 0.04%. The weighted average return value grew by 9 basis points to 8.77%.
The conservative investment strategy tracking the last week’s pension index could have resulted in a weekly gain of 0.09% per week. The aggressive investment strategy based on the pension index could have brought a weekly profit of 1.69% per week.
The bond overnight repo rate was down 10 basis points (5.37% to 5.27%). The equity overnight repo rate lost 5 basis points to 4.96% in value.
For the week of September 3-7, 2012 the total trading volume in index futures and options on the FORTS derivatives market equaled RUB643.59 billion representing 7.06 million contracts.
Last week’s trading volume for the most liquid contract on FORTS, futures contract on the RTS Index, amounted to RUB568.04 billion representing 6.23 million contracts.
The RTS Index futures contract traded in backwardation last week. By the end of the week the RTS Index gained 5.91%, while the September and December futures contracts went up by 6.42% and 6.33% respectively.
The total investor’s open interest measured in RTS Index futures increased by 23.73%
During the week, FORTS trading volume in futures contract on the MICEX Index was RUB2.33 billion representing 16.04 thousand contracts. Open interest in the contract on the MICEX Index increased by 8.18% for the week.
Trading volume in options on RTS Index futures totaled RUB71.56 billion representing 791.23 thousand contracts. Open interest of RUB101.81 billion or 1.19 million contracts was fixed. Call options made up 55.66% of the total open interest for these contracts. The 150.000 strike calls and 140.000 strike puts had the highest open interest.
The total investor’s open interest measured in options on the RTS index futures increased by 9.14%.
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