The Bank of Russia no-change bet loses its grip

A cut is now priced at 23% on the eve of the 23 October meeting, up from near nothing.

In one line: Traders give a 23% chance to a Russian rate cut on 23 October, up from near zero a week ago.

The Bank of Russia's no-change contract fell from 92% on 15 October to 77% on 22 October, a drop of 15 points over the seven days and 19.0 points in the last 24 hours, the venue's own figure. It touched a seven-day high of 94% on 21 October and a low of 72% the same day. The sibling contract for a decrease rose to 23% on 22 October while the increase contract sits at 0%. No public report explains the shift.

The price path says traders have moved weight towards a cut ahead of the 23 October meeting. The move is sharp and recent: the intraday swing from 94% to 72% on 21 October shows a market repricing quickly. The increase contract at 0% shows no one expects a hike; the contest is between hold and cut.

Without a report, the fall is a forecast, not a fact. The no-change contract still trades at 77%, so most money expects a hold. My reading rests on the sibling: the decrease contract moved from near zero to 23% while the increase contract stayed at 0%, so the repricing is one-sided towards a cut. I think the 23% underrates that chance, though the 77% hold price is the stronger side of the book.

The decrease contract should trade above 35% by the 23 October press release. If it prints at or below 35% when the Bank of Russia publishes its decision that day, the call is wrong. A cut of at least 25 basis points would settle the decrease contract at 100%; a hold would settle the no-change contract at 100%.