The RTS Stock Exchange calculates and publishes the following stock market indices:
To calculate an index the total market capitalization of constituent stocks is divided by the total market capitalization of these stocks at the initial date and then multiplied by the initial value of the index and an adjusting coefficient. Market capitalization is calculated based on current stock prices, number of shares outstanding and a free-float factor. RTS Index, RTS Standard Index and RTS-2 Index differ in the list of stocks used to calculate the index. The RTS Standard Index is calculated on the basis of ruble-denominated prices for the constituent stocks whereas other Indices are calculated on the basis of dollar-denominated prices.
The Russian Volatility Index (RTSVX) is an aggregated indicator calculated by RTS Stock Exchange which reflects the average value of implied volatility of the options on RTS Index futures contract. The Index is a simple and obvious indicator of implied volatility levels, which reflect market participants’ expectations for potential fluctuations of the RTS Index futures contracts, and the Russian securities market in whole.
Lists of Indices’ constituents are comprised of the shares picked by the RTS Information Committee experts on the basis of the companies’ capitalization, liquidity and industry type. The constituent lists are reviewed every three months. The RTS Index is calculated based on 50 most liquid and capitalized stocks. The RTS Standard Index is calculated based on 15 top liquid stocks ("blue chips") of the RTS Standard market. The RTS-2 Index is based on mid- and small-cap shares. Sectoral Indices are calculated basing on the shares of Russian companies belonging to a particular economics sector.
The RTS Index serves as the underlying value for the futures contracts in FORTS (Futures and Options on RTS).
The RTS Information Committee made up of the executives of the RTS members and independent experts is eligible to review the index calculation methodology and introduce changes into the lists of Indices’ constituents.
