India Rupee Volatility Drops to One-Month Low on Risk Appetite

A gauge of expected swings in India’s rupee fell to a one-month low on signs growth in Asia’s third-biggest economy is picking up and as Russia agreed to a cease-fire with Ukraine.

Most Asian currencies gained on speculation the European Central Bank will announce quantitative easing measures at a meeting today, a move that may spur inflows to emerging markets, according to Andhra Bank Ltd. India’s $1.9 trillion economy expanded 5.7 percent in the April-June period, the most since the first quarter of 2012, official data showed Aug. 29.

“The theme of improving economic fundamentals attracting higher inflows remains intact for India and that is supporting the rupee,” said Vikas Babu, a foreign-exchange trader in Mumbai at state-run Andhra Bank. Developing-nation currencies are rising today on expectations ahead of the ECB, while there’s also an easing in geopolitical tensions, he said.

Three-month implied volatility in the rupee, a measure of expected exchange-rate swings used to price options, dropped eight basis points to 6.77 percent in Mumbai, according to data compiled by Bloomberg. That’s the lowest level since July 31. In the spot market, the currency rose 0.2 percent to 60.3650 per dollar.

Three-month offshore non-deliverable forwards advanced 0.1 percent to 61.34 per dollar. Forwards are agreements to buy or sell assets at a set price and date. Non-deliverable contracts are settled in the U.S. currency.

Before it's here, it's on the Bloomberg Terminal.