 "RBI's currency defence has likely extended to rupee futures: Traders")
By Nimesh Vora
MUMBAI (Reuters) - 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.
Its likely intervention in exchange-traded derivatives is reflected in the more-than-$1 billion jump in open interest on September USD/INR futures over the last three sessions on the National Stock Exchange, which represents a major chunk of the open interest on rupee futures.
"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."
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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.
(Reporting by Nimesh Vora; Editing by Savio D'Souza)