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RUB Has Moved To Era Of High Volatility

ByDanske Markets
Published 10/04/2013, 07:33 AM
Updated 05/14/2017, 06:45 AM

RUB has moved to era of high volatility

The Russian currency got a significant boost like other EM FX after the Fed's decision on 18 September to postpone QE tapering. The RUB strengthened 2.3% against the USD overnight but, as expected, the effect did not last long. The RUB has since lost 2%. At the same time implied volatility in USD/RUB options has soared.

In the next four months we expect increased volatility in the RUB due to uncertainty about the tapering schedule and the unclear economic policy of the Russian authorities.

Weaker-than-expected US labour statistics and the US government shutdown have rendered FX markets very sensitive to any tapering news and speculations. Currently the postponed QE tapering weighs on the USD/RUB pair.

Thus, with all the changes and uncertainties we may see a situation similar to spring 2012, when RUB experienced elevated volatility on eurozone woes but the average oil price was relatively high. The RUB will continue to get support from the US government shutdown as markets wager that this will move tapering further into the future. Next tax payments in Russia are due on 14 October, thus RUB drivers in the next two weeks will be purely external.

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