Analysis of Futures and Options VTB

Futures on the JSC VTB (VBU9): futures on OJSC VTB in the morning is the positive basis of 10 - 20 points at 12-00 Moscow time, and younger by nearly 4% (Fig. 1).

Figure 1. VTB. Bazis within days.

The number of open positions has declined compared to the morning opening at 700, and at 12-00 Moscow time the value of this indicator was 68 300 (Fig. 2).

Figure 2. VTB. Open positions within days.

In the medium term, the market remains in the descending trend. Volatility September putov outside money than the September call 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. VTB. Exchange IV within days.

If you talk about the number of open positions, the maximum number of remains VB2250AU9 (put max, Fig. 4) and VB4000AI9 (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 probable scenario: a reduction in the level of 3 500.

Least likely scenario: the level of Perforation 4 000.

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Analyst Ratings

Central Bank of Belarus and Ukraine have agreed to hold a currency swap deal
Banks are returning to equilibrium
The National Bank did not respond to market
Better market looks paper Uralkali (6%), plus a small paper today showed Rosneft (0.2%)
Shares of metallurgical companies still show divergent trends: NLMK 3.1%, Mechel -0.6% -0.8% IMC, MMC Norilsk Nickel -1.5%, Severstal -2.5%
By the end of the session, investors can reduce long positions in anticipation of disappointing reports Amazon.com., American Express and Microsoft
By the evening can increase sales, and the MICEX index could test 1000 points
As long as growth continues, only in actions Surgutneftegaz and MTS, added more than 2%
Sberbank open Tyumenenergo line of credit at 4.6 billion rubles