Moscow Exchange (MOEX) has just released its monthly equity and bond indices volumes report for the month of September.
In September, Moscow Exchange’s Indices reflected the positive trend on the Russian stock market. The MICEX Index was up 2.72% to 2,077.19 (from 2,022.22 on 31 August), while the dollar-denominated RTS Index rose 3.73% to 1,136.75 (from 1,095.84).
The dollar depreciated 0.52% against the rouble.
Volatility decreased, with the Russian Volatility Index falling 9.60% to 17.9 (from 19.8).
The most of the key sectors made gains. The largest upturn was in Telecommunication, the sector index of which rose 5.93%. Oil & gas and Financials climbed a respective 5.20% and 2.99%. The largest fell in Electric Utilities is 1.85%.
The Blue Chip Index increased 3.08% to 13,417.52 (from 13,016.65).
The Second Tier Index appreciated 0.55% to 7,030.95 (from 6,992.63). The Broad Market Index rose 2.67% to 1,485.01 (from 1,446.44).
The total trading volume in index futures and options on Moscow Exchange’s Derivatives Market in September 2017 was RUB 1,814.93 bln, or 14.66 mln contracts.
Last month’s trading volume in RTS Index futures, which is one of the most liquid contract on FORTS, was RUB 1,336.95 bln, or 10,38 mln contracts.
The RTS Index futures contract traded in backwardation last month. The RTS Index rose 3.73% MoM, while the December and the March futures were up a respective 4.27% and 3.96%.
On September 21, the RTS Index September futures contracts were settled. The settlement price equaled 112,008 points.
Open interest in RTS Index futures decreased 29.22%.
Turnover in MICEX Index futures was RUB 72.42 bln, or 325.21 thousand contracts. Open interest in MICEX Index futures decreased 25.89%.
The trading volume in options on RTS Index futures totaled RUB 389.10 bln. or 3.12 mln contracts. Open interest was RUB 222.31 bln. or 1.79 mln contracts. Puts made up 40.01% of the total open interest. The 125.000 strike calls and 90.000 strike puts had the highest open interest.
The open interest in options on RTS index futures fell 36.73%.
The complete volumes report can be seen here.