CBR keeping rates unchanged at 11% spoofing the FX corner. We don't think this was an anticipated decision as RUB exchange rates did not do a lot after the decision, arbitrating by the market reaction.

CBR quantified its goals to reduce interest rates in upcoming policy meetings once the inflation rate begins to decline, which will likely happen anyway over the coming months due to base effects from the previous year.

Considering the wider apprehensions of plunging global crude prices along with Fed monetary policy normalization, this is a reasonable assumption.

The bottom line for investors is that we are more likely to see higher prices in USD-RUB than lower ones in the short term.

Hedging Framework:

Why call spread: An investor with a bullish mindset often deploys this strategy and wants to capitalize on a modest advance in price of the USDRUB. If the investor's opinion is very bullish on this pair, it will generally prove more profitable to make a simple call purchase. 

On the contrary, in the long-term, we expect USD/RUB to experience a gradual move lower. CBR stood pat in monetary policy as increases in CPI compared to the previous month are still at the upper end of CBR's expectations, so in the absence of a severe decline in inflation prints, the implication is that any rate cutting cycle will be a mild one.

So, buy 1% in the money +0.51 delta call with 1M expiry, simultaneously sell 1% out of the money call with 3D expiry.

Risk Reward profile: An investor will also turn to this spread when there is discomfort with either the cost of purchasing and holding the long call alone, or with the conviction of his bullish market opinion.

Maximum loss for this spread will generally occur as USDRUB declines below the lower strike price. If both options expire out-of-the-money with no value, the entire net debit paid for the spread will be lost.