EUR/USD risk reversals: Bearish bias strongest since April 2017

The slide in EUR/USD has boosted demand for EUR puts.
EUR/USD risk reversals hit lowest since April 24, 2017.

Euro's drop to 1.1510 - the lowest level since July 20 seems to have boosted demand for the EUR puts.

The EUR/USD one month 25 delta risk reversals (EUR1MRR) fell to -1.3 on Wednesday - the lowest level since April 24, 2017. The risk reversals stood at -0.5 two weeks ago.

The decline from -0.5 to -1.3 represents rising implied volatility premium or rising demand for the EUR puts (bearish bets) amid the drop in the EUR/USD from 1.20 to 1.1510.

Clearly, investors are fearing a deeper drop in the EUR/USD spot and hence are likely buying the EUR puts.

EUR1MRR

May 30, 2018

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