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INR: USDINR Vol Skew Signals More Positive Rupee Sentiment

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USD/INR vol skew briefly showed in favour of puts this week for the first time in March, as evidenced by the 1m risk reversal edging below zero – signaling a shift towards more-positive rupee sentiment post-Fed. That has broadly coincided with a fall in spot from record highs near 84.00, albeit the pair has given up a bulk of its recent gains since the start of this week.

  • On an intraday basis, Reuters note that demand from importers related to month-end payments and the likely unwinding of long rupee positions has contributed to topside pressure for USD/INR, while softer crude prices may limit gains.
  • US PCE data will be in focus given the relatively thin local calendar both this week and next. The RBI’s next rate decision will then enter focus (Oct 9), a meeting under a great deal of uncertainty given that that the contracts of three external members of the MPC will expire just days before on Oct 4.
  • Bloomberg note that a government-appointed selection panel hasn’t disclosed who the likely candidates are or when they will release the names of the new MPC members. Meanwhile, Governor Das’s contract comes to an end on December 9 and Deputy Patra finishes his term on January 14.
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USD/INR vol skew briefly showed in favour of puts this week for the first time in March, as evidenced by the 1m risk reversal edging below zero – signaling a shift towards more-positive rupee sentiment post-Fed. That has broadly coincided with a fall in spot from record highs near 84.00, albeit the pair has given up a bulk of its recent gains since the start of this week.

  • On an intraday basis, Reuters note that demand from importers related to month-end payments and the likely unwinding of long rupee positions has contributed to topside pressure for USD/INR, while softer crude prices may limit gains.
  • US PCE data will be in focus given the relatively thin local calendar both this week and next. The RBI’s next rate decision will then enter focus (Oct 9), a meeting under a great deal of uncertainty given that that the contracts of three external members of the MPC will expire just days before on Oct 4.
  • Bloomberg note that a government-appointed selection panel hasn’t disclosed who the likely candidates are or when they will release the names of the new MPC members. Meanwhile, Governor Das’s contract comes to an end on December 9 and Deputy Patra finishes his term on January 14.