Rupee Volatility Jumps Most Since January as Stock Outflows Rise

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A gauge of expected swings in India’s rupee surged the most in almost three months after overseas investors stepped up sales of the nation’s stocks and on lingering concern that Greece will struggle to meet its debt obligations.

Global funds sold a net $227 million of Indian shares on Monday, the biggest outflow in three months, after data last week showed the trade deficit widened. The Sensex index dropped for a fifth day Tuesday as Greek Prime Minister Alexis Tsipras ordered local governments to move funds to the central bank as he seeks to meet commitments for salaries, pensions and debt.

“Concerns over a Greek default, weakness in equities and the trade deficit impacted the rupee,” said Sandeep Kanihama, a foreign-exchange analyst at Religare Commodities Ltd. in Noida, near New Delhi. Dollar sales by state-run banks on behalf of the Reserve Bank of India and exporters helped the rupee recover from earlier losses, he said.

One-month implied volatility rose 51 basis points, or 0.51 percentage point, to 6.68 percent in Mumbai, data compiled by Bloomberg show. That’s the biggest increase since Jan. 30. The rupee ended 0.1 percent stronger at 62.8525 a dollar in the spot market.

The currency had dropped to as low as 63.1550 per dollar earlier, the weakest since Jan. 8, following a 0.9 percent loss on Monday that marked its steepest decline of the year. It retreated 1 percent last week.

Trade Gap

India’s trade shortfall widened to $11.8 billion in March from a year earlier as exports fell 21.2 percent, official figures showed Friday

Most Asian currencies retreated Tuesday on concern that Greece will be unable to meet its debt obligations without a further cash injection from donors, damping risk appetite. It has a payment due to the International Monetary Fund in May.

India’s government bonds rose, with the yield on the 8.4 percent July 2024 notes falling two basis points to 7.77 percent, according to prices from the central bank’s trading system.

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