OREANDA-NEWS. October 17, 2012. For the week of October 8 - 12, 2012 the MICEX Index was down 2.14% to 1,446.01 (1,447.60 points as of October 05, 2012).

The RTS Index calculated based on prices in US dollar fell by 2.41% to 1,472.36 (1,508.72 points as of October 05, 2012). The US dollar appreciated by 0.15% against the ruble.

The stock market volatility increased last week with the Russian Volatility Index rising by 11.63% to 28.79 points (25.79 points as of October 05, 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 metallurgy sector with the relevant sector index falling by 3.63%. A significant decrease was also shown by the electric utilities and the financials with the relevant sector indices down 3.10% and 2.20% respectively.

The MICEX Innovation Index lost 1.57%.

The largest downturn was reported by the mid cap companies. The MICEX Mid Cap Index lost 2.74% as well as the MICEX Large Cap Index (2.01%) and the MICEX Small Cap Index (1.80%).

For the week of October 8 - 12, 2012 the Russian stock market showed a negative trend. The MICEX Index was down 2.14% to 1,446.01 (1,477.60 as of October 05, 2012).

At the end of the week the MICEX Index was 2.20% lower than a month ago (1,478.54 points as of September 12, 2012) and 3.54% higher than a year ago (1,396.51 as of October 12, 2011).

Trading volume of securities included into the MICEX Index constituents list traded on the Main market equaled RUB119.06 billion.

By the end of the week the market capitalization of the Index component stocks amounted to RUB18,457.08 billion.

28 constituents of the MICEX Index list were pushing the Index downwards (minus 2.18%) and 2 constituents behaved positively (plus 0.04%).

On the sector level the major negative contributors were the oil & gas (minus 1.15%) and metallurgy (minus 0.31%).

The most negative impact was mainly due to the falling prices for ordinary shares of Gazprom (minus 0.26%) followed by Sberbank (minus 0.19%) and Norilsk Nickel (minus 0.18%).

The oil & gas sector accounted for 52.33% of the MICEX Index total capitalization. The other large weight sectors were financial (16.30%) and metallurgy (9.70%).

For the week of October 8 - 12, 2012 the RTS Index fell by 2.41% to 1,472.36 (1,508.72 as of October 05, 2012). At the end of the week the RTS Index was 0.68% lower than a month ago (1,482.51 as of September 12, 2012) and 4.59% higher than a year ago (1,407.77 as of October 12, 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 11.63%.

The US dollar appreciated by 0.15%.

46 constituents of the RTS Index list were pulling the Index downwards (minus 2.41%), 4 constituents behaved positively (plus 0.03%).

On the sector level the negative impact was caused by the oil & gas (minus 1.31%) and financial (minus 0.38%) sectors.

The negative impact was mainly related to the falling prices of ordinary shares of Gazprom (minus 0.65%), Sberbank (minus 0.26%) and Norilsk Nickel (minus 0.16%).

The Russian Government Bond Index (RGBI) was up 0.59% to 133.69 points last week (132.90 points as of October 05, 2012). RGBI total return value grew by 0.71% to 296.53 points.

The weighted average return of the securities being the part of the calculation formula fell by 13 basis points to 7.20%.

The Municipal Bond Index (MICEX MBI TR, weighted average return) showed the positive trend and reached 163.24 basis points growing by 0.10% (163.07 as of October 05, 2012).

The total return value of the MICEX Corporate Bond Index (MICEX CBI TR) was up 0.19% to 219.01 points.

The conservative investment strategy tracking the last week’s pension index could have resulted in a gain of 0.20% per week. The aggressive investment strategy based on the pension index could have brought a fall of 0.69% per week.

The bond overnight repo rate was up 42 basis points (from 5.91% to 6.33%).The equity overnight repo rate gained 68 basis points and amounted to 6.06%.

For the week of October 8 - 12, 2012 the total trading volume in index futures and options on the FORTS derivatives market equaled RUB599.34 billion representing 6.52 million contracts.

Last week’s trading volume for the most liquid contract on FORTS, futures contract on the RTS Index, amounted to RUB523.96 billion representing 5.70 million contracts.

The RTS Index futures contract traded in backwardation last week. By the end of the week the RTS Index lost 2.41%, while the March and December futures contracts were down 2.31%.

The total investor’s open interest measured in RTS Index futures increased by 2.72%.

During the week FORTS trading volume in futures contract on the MICEX Index was RUB2.01 billion representing 13.66 thousand contracts. Open interest in the contract on the MICEX Index increased by 36.39% for the week.

Trading volume in options on RTS Index futures totaled RUB72.87 billion representing 801.06 million contracts. Open interest of RUB120.40 billion or 1.35 million contracts was fixed. Call options made up 51.42% of the total open interest for these contracts. The 160.000 strike calls and 135.000 strike puts had the highest open interest.

The total investor’s open interest measured in options on the RTS index futures increased by 21.97%.