Basis the latest forward outstanding position of the RBI, it seems that in the first 8 month RBI would have bought USD 48.75 bn of USD from the market. Therefore in case of large inflows (either hot FPIs or FDI or ECBs) the room for RBI to buy further dollars from the market is limited. Corollary is that the need for RBI to sell dollars at upticks is even higher. This is basis the assumption that RBI is paying heed to the limits set by US treasury, for which we do not have any confirmation. Therefore selling calls for 64.50-64.75 and buying puts of 63.50-63.75 seems like a good strategy along with vanilla USDINR shorts at 64.20.
Details
|
USD bn
|
sign
|
Total Addition to headline reserves from 1st Jan 2017
|
34.25
|
+
|
Revaluation impact due to Currency
|
14.95
|
-
|
Revaluation impact due to movement in yields
|
-0.54
|
-
|
Forward intervention (till Jul 17)
|
25.9
|
+
|
Expected Forward intervention from the last record date (spot and forward) - assumption
|
3
|
+
|
Total Intervention by RBI till now
|
48.75
| |
India GDP FY18 at USDINR 64.5
|
2,590.00
| |
2% of GDP
|
51.80
| |
Room left for intervention
|
3.05
|
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