Rupee Volatility Climbs Before India Budget as Spot Rate Steady
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Expectations for swings in India’s rupee climbed to the highest this month before Prime Minister Narendra Modi’s government presents its first budget tomorrow.
One-month implied volatility, a measure of expected moves in the exchange rate used to price options, rose 12 basis points, or 0.12 percentage point, to 7.48 percent in Mumbai, according to data compiled by Bloomberg. That’s the highest since June 27. The gauge climbed 16 basis points yesterday.