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Record-high trade volume and open interest were reached in all segments of the MICEX Group’s derivatives market in August 2007. During the month the total trade volume amounted to about 510 billion rubles, while open interest exceeded 110 billion rubles at the end of the month. Currency futures accounted for the greater part of the trade volume.
Recently, a difficult situation on world financial markets and the growth of interest rates have resulted in a considerable increase in the volatility of exchange rates. This has caused the growth of demand for currency risk hedging instruments and, correspondingly, growth of the MICEX market for currency futures. In August the total volume of trading in US dollar futures amounted to about 19.5 million contracts or 499.6 billion rubles. This exceeds more than 2 times the volume of trading in these contracts reached in July (9.1 million contracts). In August 2007 the daily average volume of trading in US dollar futures also reached its historical maximum (847.5 thousand contracts). Thus, in August the US dollar futures strengthened its position as the best seller on the Russian derivatives market.
August saw several record-high daily volumes of trading in US dollar futures. The historical maximum was reached on 16 August, when the trade volume amounted to 2 074 400 contracts or about 53.5 billion rubles in money terms. This record-high figure of daily turnover on the MICEX Group’s derivatives market (over 2.1 billion US dollars) enabled to surpass the psychological level of 2 billion US dollars and set up a record for all Russian derivatives exchanges.
At the end of August 2007 open interest grew by 40% over July and reached its historical maximum of 4.23 million contracts or slightly less than 109 billion rubles in money terms. The highest daily figure (4 546 171 contracts) was registered on 29 August. In August, for the first time, open interest exceeded 4.5 billion US dollars.
Growth of the MICEX market for currency futures demonstrates the growing demand of market participants for currency risk hedging instruments. In its turn, the emergence of new participants in this market leads to the growth of liquidity. In particular, in 2007, average buy-sell spreads decreased 1.5 to 2 times to less than 0.1% of the futures price for all series of the US dollar futures (with time before execution from 1 month to 1 year).
August 2007 was the month of breakthrough on the market for futures on short-term interest rates. During the month a record-high number of transactions (88) were concluded to the total amount of about 9 billion rubles (910 contracts). This figure exceeds more than 7 times the previous record reached in November 2006 (125 contracts). In August the market registered several record-high daily turnover figures. The historical maximum was reached on 17 August: 156 contracts or over 1.5 billion rubles. On that day open interest reached its maximum figure of 274 contracts.
The MICEX Group’s market for stock derivatives is developing rapidly. During the month, 164 transactions in the MICEX Index futures were concluded to the total amount of about 315 million rubles (9 562 contracts). This exceeds more than 1.5 times the figure for the previous month. The maximum daily figure was reached on 30 August, when the trade volume amounted to 1 965 contracts (65 million rubles). As a result of the month open interest amounted to 666 contracts or over 22 million rubles. Market participants continued to show great interest in this contract. In July 2007 ALOR+ Company began to provide broker services on the derivatives market of the MICEX Stock Exchange. In August two other large online brokerages – BrokerCreditService and Otkrytie – announced the completion of the adjustment of their internal accounting systems and the opening of first client accounts. At the end of August the total number of participants in the MICEX SE’s derivatives market admitted to trading amounted to 25 organizations. Today there is a good number of broker companies and banks which are prepared to provide high-quality services on the MICEX SE’s derivatives market as well as on other segments on the MICEX Group’s derivatives market.
The rapid development of all segments of the MICEX Group’s derivatives market attracts new participants. In August, 2 organizations were affiliated as members of the MICEX Derivatives (Standard Contracts) Market Section, including LUKoil, one of the largest international vertically integrated oil and gas companies. In August, 13 organizations were affiliated as participants in trading on the derivatives market of the MICEX Stock Exchange. Thus, the total number of participants in the MICEX Group’s market for stock derivatives reached 68 organizations.
