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RUB: floating in a thin range

RUB was trading in a range of 40.40-40.50 vs. BASKET, i.e. below the CBR’s USD 400mn intervention zone. USDRUB was floating in 34.70-34.85 throughout the day. At the same time, the dynamics of EM currencies were rather weak, but this weakness was short-term and some losses were played back in the morning. Meanwhile, RUB’s stability might be perceived by the market as short-term in nature and USDRUB implied volatilities remain in the double-digit area (see chart). Overall, crude oil prices at around USD 109/bbl and upcoming tax payments might support RUB in the coming weeks. Moreover, the market positioning remains rather heavy on the long hard-currency side and we have not yet seen a capitulation of non-resident positions (foreign positioning remains heavily skewed to short EM FX vs. USD).
Maxim Korovin, Anton Nikitin
VTB Capital analyst


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