Market Analysis

Futures on the RTS index (RIU9) : Futures on the RTS index (RIU9) in the morning was in contango for 1500 points, but had to left at 14-00 Moscow time bekvordatsiyu (-1500 points) and younger almost 1% (Fig. 1).

Figure 1. RTS. Bazis within days.

The number of open positions as compared to the morning opening is not changed. As at 14-00 Moscow time the value of this indicator amounted to 358 000 (Fig. 2).

Figure 2. RTS. Open positions within days.

In the medium term, the market remains in the descending trend. Volatility September putov outside money once again exceeded the volatility of the September call out of money. Thus, at the current market we have seen a volatility smirk that signals the imminent resumption of a downward trend (Fig. 3).

Fig 3. RTS. Exchange IV within days.

If you talk about the number of open positions, the maximum number of remains RI90000U9 (put max, Fig. 4) and RI100000I9 (call max, Fig. 4) страйках, the absolute values for these страйках do not focus on these levels as at full form.

Figure 4. Levels optional support /resistance.

The most likely scenario: Samples of 100 000 and the resumption of the downward movement in the area of 70 000.

Least likely scenario: an increase to the maximum of the year.

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