On August 30, 2011 the Derivatives Market Committee of RTS approved specifications for cash-settled futures contracts on the MICEX Index (trading system code MX) and futures-style options on a futures contract on the MICEX Index. The Committee recommended that the Board of Directors of OJSC RTS approve the specifications. After the specifications have been approved by the Board they will be submitted to the Federal Financial Markets Service for registration.
According to the Specifications, the futures contract volume equals the value of the MICEX Index multiplied by 100 rubles. The settlement price of the contract is determined based on the average value of the MICEX Index for the period from 3:00 pm to 4:00 pm MSK on the last trading day of the contracts multiplied by 100. Settlement periods are March, June, September and December.
In addition, the Committee approved the specifications for futures-style options on futures contracts on the MICEX Index. In accordance with the document, the volume of the contract amounts to one futures on the MICEX Index. Settlement periods for quarter options are March, June, September and December.
Evgeny Serdyukov, Derivatives Market Director at RTS Stock Exchange believes that an emergence of derivatives instruments on the MICEX Index on FORTS represents one of the first victories gained from the integration of the two Russian trading venues. "Up until now we could not implement such instruments due to the competition between the two venues. We are confident that derivatives on the MICEX Index will be demanded at the same level as derivatives on RTS Indices products, as a large number of Russian and foreign market participants need futures and options on Indices in rubles. In addition, the market participant will gain one more trading strategy, i.e. arbitrage between futures on RTS Index and futures on MICEX Index using single cash position".