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The trading volume in the MICEX derivatives market in August-08 totaled 396,4 billion RUB ( 16 million contracts). The total open interest at the end of the month — 228,1 billion RUB (9 million contracts).
|
|
August-08 |
Change to |
July-08 |
June-08 |
|
USD/RUB
futures |
||||
|
Trading
volume (contracts)* |
15
950 533 |
43% |
11
169 082 |
8 216 933 |
|
Trading volume (RUB
mln) |
391 126 |
49% |
262 487 |
195 614 |
|
Quantity of
transactions |
611 |
52% |
403 |
278 |
|
Open interest, end of month ((contracts)* |
8 987 204 |
19% |
7 548 182 |
8 973 097 |
|
Open interest, end of month (RUB mln) |
223 182 |
26% |
177 696 |
211 457 |
|
Interest
rates futures |
||||
|
Trading
volume (contracts)** |
530 |
96% |
270 |
290 |
|
Trading volume (RUB
mln) |
5 287 |
96% |
2 695 |
2 889 |
|
Quantity of
transactions |
27 |
145% |
11 |
20 |
|
Open interest, end of month (contracts)** |
490 |
145% |
200 |
300 |
|
Open interest, end of month (RUB mln) |
4 888 |
145% |
1 993 |
2 991 |
|
MICEX
Index Futures |
||||
|
Trading
volume (contracts)*** |
1
240 |
-48% |
2
385 |
1 715 |
|
Trading volume (RUB
mln) |
34 |
-58% |
80 |
63 |
|
Quantity of
transactions |
120 |
-52% |
252 |
383 |
|
Open interest, end of month (contracts)*** |
190 |
-50% |
378 |
175 |
|
Open interest, end of month (RUB mln) |
5 |
-55% |
11 |
6 |
|
Total |
||||
|
Trading
volume (contracts) |
15
952 303 |
43% |
11
171 737 |
8 218 938 |
|
Trading volume (RUB
mln) |
396 447 |
49% |
265 262 |
198 566 |
|
Quantity of
transactions |
758 |
14% |
666 |
681 |
|
Open interest, end of month (contracts) |
8 987 884 |
19% |
7 548 760 |
8 973 572 |
|
Open interest, end of month (RUB mln) |
228 074 |
27% |
179 701 |
214
454 |
*
Trading unit — $1000. ** Trading unit — RUB 10 mln. ***
Trading unit — RUB 20 times MICEX Index
The
largest trading volume in August-08 was in USD/RUB futures totaling 15 950
533 contracts per month.
|
Code |
Contract
month |
Trading
volume (1000 RUB ) |
Trading
volume (contracts) |
Share in trading volume |
|
FSUSD88 |
August-08 |
10 646 101 |
442 190 |
3% |
|
FSUSD89 |
September-08 |
93 459 423 |
3 854 680 |
24% |
|
FSUSD8A |
October-08 |
68 082 216 |
2 779 800 |
17% |
|
FSUSD8B |
November-08 |
28 935 260 |
1 184 000 |
7% |
|
FSUSD8C |
December-08 |
41 801 826 |
1 708 001 |
11% |
|
FSUSD91 |
January-09 |
12 211 425 |
490 000 |
3% |
|
FSUSD92 |
February-09 |
0 |
0 |
0% |
|
FSUSD93 |
March-09 |
42 214 622 |
1 714 060 |
11% |
|
FSUSD96 |
June-09 |
82 760 364 |
3 327 802 |
21% |
|
FSUSD99 |
September-09 |
11 014 500 |
450 000 |
3% |
|
FSUSD9C |
December-09 |
0 |
0 |
0% |
|
FSUSD03 |
March-10 |
0 |
0 |
0% |
|
FSUSD06 |
June-10 |
0 |
0 |
0% |
|
Total: |
391 125 736 |
15 950 533 |
100% |
|
The
largest OI at the end of the month was in USD/RUB futures totaling 8 987
204 contracts.
|
Code |
Contract month |
Open
interest, end of month (1000 RUB) |
Open
interest, end of month (contracts) |
Share in open
interest |
|
FSUSD88 |
August-08 |
0 |
0 |
0% |
|
FSUSD89 |
September-08 |
57 102 291 |
2 317 228 |
26% |
|
FSUSD8A |
October-08 |
32 818 303 |
1 327 800 |
15% |
|
FSUSD8B |
November-08 |
23 180 988 |
935 000 |
10% |
|
FSUSD8C |
December-08 |
41 928 345 |
1 691 000 |
19% |
|
FSUSD91 |
January-09 |
7 752 397 |
311 200 |
3% |
|
FSUSD92 |
February-09 |
0 |
0 |
0% |
|
FSUSD93 |
March-09 |
35 000 383 |
1 398 477 |
16% |
|
FSUSD96 |
June-09 |
24 129 409 |
956 499 |
11% |
|
FSUSD99 |
September-09 |
1 269 500 |
50 000 |
1% |
|
FSUSD9C |
December-09 |
0 |
0 |
0% |
|
FSUSD03 |
March-10 |
0 |
0 |
0% |
|
FSUSD06 |
June-10 |
0 |
0 |
0% |
|
Total: |
223 181 615 |
8 987 204 |
100% |
|
****
Volume of trading and open interest figures are counted by single side. That
means that each transaction (position) is counted as one contract, so one buy
(long position) and one sell (short position) is equal to one contract. This
is to avoid double counting and to meet general practice.
