July 3rd, 2009
Futures on the RTS index (RIU9): Futures on the RTS index (RIU9) in the morning is in bekvordatsii at (-2 500). At 12-00 Moscow time futures is reduced by 1% (Fig. 1).
Figure 1. RTS. Bazis within days.
The number of open positions as compared to the morning opening of an increase in 2000 and at 12-00 Moscow time the value of this indicator amounted to 328 000 (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 - higher than the Septembercall out of money. Thus, at the current market, we again see a volatility smirk with distortions in the putov (Fig. 3), which indicates that the downward movement should be resumed.
Fig 3. RTS. Exchange IV within days.
If you talk about the number of open positions, the maximum number of remains RI70000U9 (put max, Fig. 4) and RI100000I9 (call max, Fig. 4) Ñтрайках, the absolute values for these Ñтрайках do not focus on these levels as at full form.
Figure 4. Levels optional support /resistance.
The most probable scenario: a correction to the area of 70 000.
Least likely scenario: rebound in the region 100 000.
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