The Reserve Bank of India‘s defence to prevent the rupee from sliding to a record low has likely extended to currency futures, three bankers and two analysts said on Friday.
Earlier this week, Reuters reported that the RBI has been intervening in non-deliverable forwards and the onshore over-the-counter (OTC) market to keep the rupee from breaching its record low of 83.29 against the U.S. dollar.
“This big a jump in open interest in a span of few days is highly unusual,” said Abhilash Koikkara, head – forex and rates at Nuvama Professional clients group. “It is likely that the RBI is stepping in to curb volatility on the back of higher crude and U.S. yields.”
The RBI did not immediately respond to a Reuters email seeking comment. A futures trader at a private sector bank said that on a few occasions this week, there has been “a sudden” 2 to 3 paisa dip in USD/INR currency futures and “a slight deviation” from the spot OTC price.
“This, alongside the OI (open interest), suggests RBI selling,” the trader said. A part of the surge in open interest can be explained by speculators chasing the USD/INR higher and “a bit of hedging” after 83 was breached, said Dilip Parmar, an analyst with HDFC Securities.