LONDON: One-month implied volatility on the rouble - a gauge of expected swings in a currency - surged to new record highs on Friday, as the spot exchange rate resumed its slide after shrugging off an outsize 150 basis-point interest rate rise.
The Russian currency's relentless depreciation in recent weeks was abruptly halted on Thursday and it ralllied more than 3 percent ahead of the central bank decision.
But the rouble resumed its slide after Friday's rate rise.
The absence of any mention of Moscow's plan to free float of the currency disappointed some traders who had expected some change to its current regime of currency market intervention. Volatility rose above 20 percent, a new record high from 14.5 percent at the end of last week.
Societe Generale analyst Phoenix Kalen said the frenzied volatility this week was partly down to market uncertainty about the central bank action, with the previous day's move contributing a huge amount to the swings.
"There is a lot of speculation about what exactly hapepned yesterday, whether the central bank did intervene in massive size or asked local banks or companies to move towards a long-rouble, that's causeed a huge amount of volatility and short-covering," Kalen said.
"Before that it was a function of speculation of what the central bank would do and the rate hikes priced by markets rose by massive amounts in the past two weeks."
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