In May, the turnover of trade in the US dollar futures in the MICEX Derivatives Market Section amounted to 17.8 billion rubles (637 million USD), the maximum monthly trading volume over the period from 2000 till May 2005, and exceeded 2.5 times the previous record figure of December 2004 (7.1 billion rubles). Since the beginning of 2005, the total volume of trades has reached 36 billion rubles (1.3 billion USD), which exceeds 2.8 times the turnover of the whole year of 2004.
The increased activity of participants in trading in the US dollar futures in the MICEX Derivatives Market Section in the first half of May lead to further increase of the number of open positions. At the close of the 14 May trading session, the number of open positions reached the record figure of 425 020 contracts (425 million USD). At the end of May, the volume of open positions exceeded 504 thousand contracts (504 million USD), which is the maximum volume of open positions in the US dollar futures for the last five years. It exceeds 3.6 times the same figure for the end of 2004.
Participants’ planning horizon is gradually shifting from contracts to be executed in June-July to contracts to be executed in September. Thus, on 31 May 2005, futures with execution in September accounted for the maximum number of open positions: 181000 (36%). Futures with execution in June and July accounted for 19% each, futures with execution in August accounted for 9%, futures with execution in November accounted for 8%, futures with execution in October accounted for 7% and futures with execution in March 2006 accounted for 2%.
The rapid growth of turnovers and of the volume of open positions impels the MICEX to further improve the risk management system. The last meeting of the MICEX stockholders decided to increase the Derivatives Market Section’s reserve fund from 110 to 200 million rubles. Besides, the MICEX experts jointly with the Council of the Derivatives Market Section are developing new measures to improve the MICEX system of risk management.
