Futures on the RTS index (RIU9): despite the fact that on Friday, crude oil broke the $ 70 mark and pick up to its annual maximum, we are not seeing the same optimism in the Russian market. All attempts to grow strongly and catch up finish very modest growth. This is not surprising. Despite the positive dynamics of commodity markets on the background of optimistic statements by several analysts, few believe that prices will be long held in its maximum value since the beginning of the year.

Futures on the RTS index (RIU9) in the morning was in contango in 1500. The last time such a situation occurs when the June futures on the RTS index reached its yearly maximum - in early June 2009. To date, the situation has changed - re-entered the futures bekvordatsiyu (-700) points.

Figure 1. RTS. Bazis within days.

The number of open positions now stands at 368, 000. Before the market growth was accompanied by a marked increase in open positions at each spiral growth. Now that the dynamics are not observed (Fig. 2).

Figure 2. RTS. Open positions within days.

In the medium term, the market remains in the descending trend. Bear trend, which began in July 2008 remains valid. In my opinion, everything that we have seen - just a rebound. Many market participants believe that the bottom and covered in the market an upward channel. And every day these optimists is becoming more and more. Last week, Deputy Minister of Economic Development A. Klepach overturned a second wave of the crisis, which has awaited the fall of 2009, and moved her at the beginning of 2010. The reason for this was the GDP growth at 0.1% in June compared to May of this year, which was perceived as a turn, though, after 9.6% case falling year on year as compared to June 2008, this growth seems likely rebound than turn. With regard to allegations that crisis measures to help overcome the economic downturn, it should be noted that from the moment of their adoption to the time of execution is held too long, and sometimes they lose their relevance. The economic situation is changing rapidly, and the decisions are executed slowly. In such a situation is unlikely to avoid a second wave of the crisis, but it will affect the stock market rather slow slide from intermittent rebound, rather than sharp decline and the equally sharp rebound.

Volatility September putov outside money equal to the volatility of September call out of money. Thus, at the current market we have seen a volatility smile, which indicates that market participants expect equiprobable as market growth, and fall (Fig. 3). This volatility of the central страйка approaching pre-crisis levels 50% (Fig. 4).

Fig 3. RTS. Exchange IV within days.

Fig. 4. Volatility central страйка (day).

If you talk about the number of open positions, the maximum number of remains RI90000U9 (put max, Fig. 5) and RI100000I9 (call max, Fig. 5) страйках, the absolute values for these страйках do not focus on these levels as at full form.

Figure 5. Levels optional support /resistance.

The most likely scenario: the resumption of the downward motion of Perforation of 100 and 000 traffic to the area of 70 000.

Least likely scenario: the annual updating of the maximum.

I recommend tobuy tie-up with страйком the money (100 000) on the futures on the RTS index of execution in September.

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