.jpg)
Two years ago on the Derivatives market of RTS (FORTS) there started trading on futures contracts on RTS Index. These contracts became the first derivative instruments, which underlying asset is the main indicator of the Russian stock market – RTS Index, which is calculated in the real-time mode on the basis of 50 most liquid Russian companies. At the moment futures contract on RTS Index is one of the most liquid instruments of the Russian stock market.
Thanks to the fact that the purchase of the futures contract on RTS Index is equal to purchase of the portfolio consisting of 50 securities, which make up the calculation basis of the Index, and thanks to the fact that for the purchase of this contract it is enough only to deposit 10% of its price as Initial margin, this contract became very soon popular among investors.
On the first trading day, on August 3, 2005, there were 117 trades made with the futures contract on RTS Index, and a year later, on August 3, 2006 there were already 3,8 thousand trades made, which is 32,5 times more.
On August 3, 2007 the number of trades made up 16,1 thousand, which is 137,8 times more than on the first day of circulation.
| August 3, 2005 | August 3, 2006 | August 3, 2007 | Growth, % comparing to 2006 |
|
|---|---|---|---|---|
| Number of trades | 117 | 3 808 | 16 130,00 | 376 |
| Number of contracts | 1 759 | 41 526 | 128 554,00 | 210 |
| Turnover, rub | 81 564 037 | 3 552 545 872 | 4 396 520 832,00 | 24 |
| Number of open interest, pieces | 1 050 | 67 616 | 258 033,00 | 281 |
| Number of open interest, rub | 48 473 190 | 5 872 832 515 | 24 613 611 263,00 | 319 |
In August 2005 the trading volume of futures contracts on RTS Index made 25,3 billion rub or 524,8 contracts. A year later this indicator was 74,6 billion rub, which is three times more than during the first month of trading. The trading volume in contracts grew in a year 1,7 times up to 913,1 thousand contracts.
In the period from January to July 2007 the turnover of the futures contracts on RTS Index made up 920, 8 billion rub.
| Month | Number of trades | Volume, contracts | Volume, rubles |
|---|---|---|---|
| 2005/08 | 9 386,00 | 524 764 | 25 288 718 106,29 |
| 2005/09 | 13 246,00 | 545 162 | 28 101 646 938,71 |
| 2005/10 | 16 276,00 | 439 668 | 23 299 856 291,91 |
| 2005/11 | 17 088,00 | 466 044 | 26 342 692 260,80 |
| 2005/12 | 11 031,00 | 272 513 | 16 895 428 721,33 |
| 2006/01 | 17 182,00 | 348 168 | 24 622 337 730,56 |
| 2006/02 | 31 157,00 | 569 569 | 43 561 338 302,65 |
| 2006/03 | 46 637,00 | 772 846 | 61 427 361 059,84 |
| 2006/04 | 46 133,00 | 657 118 | 57 849 005 863,61 |
| 2006/05 | 64 693,00 | 924 838 | 78 145 579 873,69 |
| 2006/06 | 62 604,00 | 884 618 | 66 799 369 854,54 |
| 2006/07 | 66 462,00 | 918 983 | 75 161 997 072,75 |
| 2006/08 | 68 566,00 | 740 292 | 64 373 960 694,74 |
| 2006/09 | 71 434,00 | 678 112 | 56 644 603 200,65 |
| 2006/10 | 101 507,00 | 1 053 947 | 90 530 561 358,73 |
| 2006/11 | 83 712,00 | 881 051 | 79 857 007 704,79 |
| 2006/12 | 66 554,00 | 572 629 | 55 595 514 787,56 |
| 2007/01 | 77 251,00 | 823 781 | 80 167 163 650,84 |
| 2007/02 | 106 103,00 | 1 005 777 | 100 420 936 043,79 |
| 2007/03 | 144 184,00 | 1 542 660 | 146 889 519 818,26 |
| 2007/04 | 107 522,00 | 1 239 311 | 124 756 908 529,32 |
| 2007/05 | 151 028,00 | 1 311 011 | 123 768 476 193,23 |
| 2007/06 | 194 482,00 | 1 456 686 | 141 001 401 187,55 |
| 2007/07 | 262 793,00 | 1 977 597 | 203 770 696 030,56 |
| Total | 20 607 145 | 1 795 272 081 276,70 |
Main records of futures contract on RTS Index were reached in July of the current year. Average daily open interest volume made at that time 200 thousand contracts. And an average daily turnover of the futures contract on RTS Index reached 90 thousand contracts or 9,3 billion rubles.
On July 27, 2007 on the Derivatives market FORTS there was registered a record trading volume of futures and options contracts on RTS Index. By the day results the trading volume of the index derivatives made up 231 541 contracts or 25 billion rubles, which exceeds the previous record by 20%. On July 27, 2007 open interest on these contracts reached 615 816 contracts or 59,4 billion rubles, which is also a record figure.
Derivatives market of RTS – FORTS is a leading trading ground in trading on futures and options in Russia. Trading on FORTS started in September 2001. At present FORTS has the widest range of financial instruments. These are 56 contracts (37 futures and 19 options) on the shares of Russian companies, bonds, short-term interest rates, currency, RTS Index, oil, gold and gas oil. Trading volume on FORTS in 2006 exceeded 100 billion dollars. All in all in 2006 on FORTS there were more than 5 million trades made with 89,6 million contracts. Average daily open interest on standard contracts in 2006 grew by 259,5% in rubles and in December reached 5 billion dollars.
