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1. FORTS. . ........................................................................2
2. .............................................................................................................3
3. . ...............................................................5
3.1. ...................................5
3.2. ( ) ...................................7
3.3. . ..................................................................................................10
3.4. - .................................................................11
3.5. ....................................................13
4. ............................................18
4.1. . ................18
4.2. .............................................................................21
4.3. . ..................................................................22
4.4. ....................................................................................23
4.5. . ...................................................24
4.6. . ....................................................................................25
4.7. ....................................................................................26
5. ...................28

1. FORTS.
(FORTS)

,
, FIA (Futures Industry Association1),
9- 52- .
FORTS ,
: , RTS Standard, ,
, ,
, MosPrime
MosPrime, Urals Brent, ,
, , , , .
2 ,
. FIA,
10- ( ) 20-
2009 .

.

Futures Industry Association


50- .
.
FIA.
2
,
. ,
,
, .
2

2.
( RTSI)
.
1995
50-
.
100 .
, ,
1 1995 13 USD. 24 2010
721,115 USD.
1
15.
,
,
, .

( ),
UCITS (Undertakings for Collective
Investment in Tradable Securities).

. 1. , 19952010

,
:
RTS Standard ( RTSSTD);
-2 ( RTS2);
;
.

, RTS Standard -2
, . RTS Standard
, , USD.

: www.rts.ru.

3.

,
. ,
( )
.
15:00 16:00
3.

.
FORTS
. 4
5 ,
.

3.1.

2 USD ( ,
,
)

100,


()

0,02 USD ( )

()

5 (0,1 USD )

, , ,

15 ()

7,5%

10:0018:45, 19:0023:50

()

RTS-< >.< >

RI <><>, <> , <> .


: H, M, U, Z.
.

Reuters

RI <><>: RTS (<> <> )

Bloomberg

VEA <Index> <GO> A .


, VEZ8 <Index> <GO>

, ,
,
75%. . .
4
, , .
5

,
: , , .
, FORTS :
( ) .
, ,
: RTS-< >.< >.
, 2010
RTS-9.10.
,
, 100. ,
1500 ,
150000 .
, .
( )
, (fs.rts.ru/files/5307),
, 2 .

11- ( www.rts.ru).
10:00
( 14:00 )
, 18:45 19:00 ( 16:30 ).
3.1.
18 2010 c
142000. 16:30
30,2765 .
:
RTS-06.10 = 142000 x 0,02 x 30,2765 = 85985,26 .
, 142000
85985,26.
( )
( , )
( ),
.
,
7,5%.

3.2. ( )
FORTS 10:00 23:50 5
14:00 18:45 .
,
, ,
.
3 ( 14:00 14:03) ().
, ,
( ) 15 18:45 19:00 .
()
.
:
, :.

1 = (1 ) x W1 : R;
, :.

1 = (1 ) x W1 : R.
:
, :.

2 = (2 O) x W2 : R;
, :.

2 = 1.
(
):
,

:.
= (2 O) x W2 : R;
,

:.
= (2 ) x W2 : R.
:
1 ,
,
2 ,
,

( ),
.
.
7

,
,
,
1, 2 () ,
,
,
W1 ,
,
W2 ,
,
R .
,
,
:
W : R = 0,02 x USD/RUR, (fs.rts.ru/
files/5307).

.
3.2.1.
14:45 1 132700 .
18:45, , (fs.rts.ru/files/2892) (
) 135200 .
, .
(fs.rts.ru/files/5307), 16:30 30,2765 .
:
(135200 132700) x 0,02 x 30,2765 = 1513,82 .
( 19:00
14:00) ,
( 18:45), :
135200 x 0,02 x 30,2765 x 7,5% = 6140,07 .
,
/
. , ,
()
,
.

3.2.2.
14:30 , 11
2010, 135050
.
15:00 16:00
1355,10. , :
1355,10 x 100 = 135510 .
,
, :
(135510 135050) x 0,02 x 30,7246 = 282,67 .

3.3.

10-
. I 2010
1 90 . , ,
,
1-2 ,
(. ).

. 2.

10

3.4. -
,
. ,
, .
- ,
100% .
, (),
7,5% 30%
30-40%
. ,
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, 100%
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( ).
.

.
(
)
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.
, .
, ,
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.
.

11

, (
), .
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, .
( )
.
3.4.

(..3.5.4.).
,
.
.
, 8 2010
1315,61.
130115 . :
130115 1315,61 100 = 1446 ( )

130115 : 100 1315,61 = 14,46 ( ).


.
, 14,46
1,1%.

12

3.5.
3.5.1.
6.
,
, 2007 2009 , ,
( 2009 47000% ).

.

.
.
,
.

2009 06 2009 ( dettier).
1300.

(.) ,
, / .
13

14

44

RIZ9

133755

-7

10:55:03

45

RIZ9

133675

-46

10:55:04

46

RIZ9

133590

10

10:55:09

47

RIZ9

133565

10:55:18

48

RIZ9

133660

10:55:20

49

RIZ9

133665

10

10:55:20

50

RIZ9

133665

10:55:20

51

RIZ9

133665

20

10:55:22

52

RIZ9

133650

-4

10:55:32

53

RIZ9

133650

-10

10:55:32

54

RIZ9

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-2

10:55:32

55

RIZ9

133650

-10

10:55:32

56

RIZ9

133650

-24

10:55:32

57

RIZ9

133655

10:56:01

58

RIZ9

133655

10:56:01

59

RIZ9

133840

10:56:11

60

RIZ9

133840

20

10:56:11

61

RIZ9

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10:56:11

62

RIZ9

133880

11

10:56:13

63

RIZ9

133880

10:56:13

64

RIZ9

133900

13

10:56:15

65

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133900

10:56:15

66

RIZ9

133900

10:56:15

67

RIZ9

133905

25

10:56:15

68

RIZ9

133915

10:56:15

69

RIZ9

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10

10:56:15

70

RIZ9

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16

10:56:16

71

RIZ9

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-11

10:56:24

72

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10:56:24

73

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10:56:24

74

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10:56:24

75

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10:56:24

76

RIZ9

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-1

10:56:24

77

RIZ9

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10:56:24

78

RIZ9

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10:56:24

79

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-8

10:56:24

80

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10:56:24


,
.

3.5.2. -
, .

, ,
. -
-:
-7
. , -
-8, .
3.5.2.
18 2010
:
135100 , 132220 .
16:30 18 30,2765 .
:
= (135100 132220) x 0,02 x 30,2765 = 1743,93 .
-
.

3.5.3.

9,
.
()

.
,
( ).
70%
, 30%
7

- (.) ,
(-).
8
- (.) , ( ) .
(),
() / , .
9

.
15

. ,
60% .

1/1 1/2. , 90000 ,
135000 ,
135000 x 0,02 x 30,2765 = 81746,55 ,
( 7,5%
6131 ). , ,
, 1/2
2 .

3.5.4.

.
,
.
, ,
10
11 . ,
, 79% (
12 0,79). ,
, , , , .

, .
, 135000
(81746,55 30,2765 ),
550000,
550000:81746,55x0,79=5,31 .
, , 5 ,
.

10

.

.
11
, .
- , ,
, .
12
MS Excel
= (1;2).
- (, ),
-.
16

3.5.5.
FORTS ,
.

.
, ()
() 6% . ,
,
.
,
3%. :
(RIU0) (RIM0). ,
3% (6% 3%
).
, .
.
130000, 138000 . ,
8000 .
, :
, 8000 .
,
4000 . :
. ,
4000 (
).

17

4.

FORTS
.
( )
.
.

4.1.

Call Put

< >M< >< :


C, Call, P, Put>A < >

13

(futures-style)14

0,1 ,

(): , , , .
(): , , , , , , , .

. .
2
.

5000

: Call ( ) Put ( ).
( Call, Put) , , . 13 14
13

: .
, ,
.
14
: (futures-style).
18 futures-style .

. 3. Call 140000 10205 ,


( ) 145570 .

. 4. Put 140000 4475 ,


145660 .

19

Call
( )
. Call,
.
Call
100000 , 5000 .
100115 .
,
, 100000 .
, , ,
( )
130000 .
( ).
100000
120000 .
20000 ,
:
120000 100000 5000 = 15000 .

80000 , ,
, 100000 ,
80000 .
.
/
.
,
.

20

4.2.
()
. :
.
Call
, .
, .
Put ,
.
.
, Call
100000 25000
120000 20000 , 5000 .
Call
120000 2000 120000
, 2000 .
, , (in the
money, ITM). ,
(at the money, ATM). Call (
Put )
(out of the money, ).
, Call 100000
120000 20000 . Call
120000 120000 .
, ,
.
, ,
, .
.
,
.
, .

21

4.3.
.

( ),
. ,
, ,
(, , , ), .
()
, , , ,
,
, .
.

15 . ,
,
.
.
,
.
.
, .

. /
,
. ,
.

15

(
).

22

. 5.
, .

4.4.

. , ,
( ).
-.
, ,

Call Put.
-
5 .

23

4.5.

.
, 100000
5%.
Put 100000 ,
5000 . 120000 ,
20000 . Put,
, .
, ,
15000 . 80000 ,
5000 ,
. Put,
100000 .

,
,
.

24

4.6.


.
.
.
, ,

.
Call. ,
Call, , . ,

, .
Put.
, ()
Call Put.
. ,
, ,
.
, , , .
,
, .
Put Call . ,
, Call,
, Put.
, , ,
, Put Call
, .

25

4.7.
FORTS,
,
.
, , ,
. ()
.
100%- ( ).
. 2009 ,
10%
. 1000000.
874345 10,5% 102
(14 2009 ). ,
900000 , . ,

Call
105000 (1050 ).

3 2009 13500 ,
,
7360,04. 125655
17 Call 105000 (
125120,68).
14 2009
137625 ,
32625. , Call 19125
11555,59 :
0,02 x 30,2107 x 19125 = 11555,59.

26

, 196445,03 (11555,59 x 17).


10% 1000000
102 1221964,03 ,
80% (900000 ,
196445,03 , 125120,68
, 534,32 ,
136 16 ).

.
. ,
1000000 ,
,
.

0%

6,30%

22,56%

5%

14,25%

50,99%

10%

22,20%

79,43%

15%

28,99%

103,73%

20%

36,93%

132,16%

25%

43,72%

156,46%

16

2
. .
27

5.

,
, , www.rts.ru/ru/msites.html.
,
.
: www.rts.ru/ru/events/.

125009, , , . , . 4/7, . 1
FORTS ( 10:00 19:00 ): 8-800-5000-200
.
www.rts.ru
www.forts.ru

28