What is the RTS Index?
RTS Index (RTSI, RTS Index) is a stock indicator and the main indicator of the Russian stock market, calculated by the Russian Trading System exchange since 1995. This index reflects the total market capitalization of selected companies expressed in US dollars. The benchmark is set at 100 units.
The RTS exchange indices include a whole family of various calculation indicators. These include: RTS Standard Index, RTS-2 Index, Volatility Index (RTSVX), RTS Siberia (RTSSIB) and a number of industry indices.
Official information about the RTS Index on the Moscow Exchange website: moex.com/ru/index/RTSI/
How does the RTS Index differ from the MICEX Index?
The RTS Index, along with the MICEX Index, is the main indicator of the domestic stock market. However, after the merger of the MICEX and RTS trading platforms, the calculation of both indicators is actually handled by the same combined stock exchange, MICEX-RTS. The main difference between the two indicators is that the MICEX Index is calculated in rubles, while the RTS is calculated in dollars. Therefore, its change is influenced not only by the dynamics of stock prices of Russian companies but also by the change in the ruble exchange rate against the dollar. In conditions of constant growth of the US dollar exchange rate, the RTS Index shows a more positive trend compared to the MICEX Index. That is, its value increases faster and decreases more slowly compared to its “competitor”.
Which stocks are included in the RTS Index?
RTS Index includes shares of 50 most capitalized companies in Russia. These include Gazprom, Lukoil, Sberbank, Surgutneftegaz, and a number of other company shares. The weight of each company in the indicator does not exceed 15%. For a company’s shares to be included in the RTS Index, they must meet two criteria:
- Shares must be admitted to trading on the RTS exchange.
- The company’s capitalization must be at least 0.5% of the total capitalization of all shares included in the index.
The composition of the RTS Index is reviewed quarterly, and the list of issuing companies may change.
How is the RTS Index calculated?
Calculation of the RTS Index is based on data on the buy and sell prices of shares included in the index. This is done every 15 seconds, i.e., in real time. However, for traders and stock market analysts, the most important information is the data on the index values at the opening and closing of trading, as well as the maximum and minimum values at the end of the trading session. These data are used by them for analyzing the dynamics and trends of price changes in Russian issuers’ shares.
How is the futures contract on the RTS Index calculated?
A futures contract on the RTS Index is a standard contract for a future transaction, which is realized not through the delivery of the underlying asset, but through financial settlements. When buying futures contracts on the RTS Index, traders are obligated to pay the variation margin (difference) between the contract value and the execution value of the futures contract.
The execution value is determined by the average value of the RTS Index on the last trading day of the futures, and only the last hour of its presence on the exchange is taken into account.
The futures contract reflects investors’ expectations regarding the value of the RTS Index itself, which is why the values of the futures and the index move almost identically, but there is one difference – the futures contract on the RTS Index is more volatile than its underlying asset. According to the official exchange description of the instrument, it is stated that the value of one point is $0.02, which means that the ruble value of the futures contract on the RTS Index can be calculated using the formula:
Futures contract value on the RTS Index = value of the RTS Index futures in points × 0.02 × the exchange rate of the dollar in rubles of the Central Bank of Russia.
How to trade the RTS Index?
Technically, trading the RTS Index is no different from trading any other exchange asset. Futures and options on the RTS Index are actively used in exchange trading.
FAQ
What is the RTS Index?
The RTS Index is a stock indicator representing the total market capitalization of selected Russian companies, calculated in US dollars.
How is the RTS Index calculated?
The RTS Index is calculated based on the prices of shares included in the index, updated every 15 seconds, reflecting real-time market conditions.
How can I trade the RTS Index?
You can trade the RTS Index through futures and options contracts available on the Moscow Exchange, allowing for speculation on its future value.
