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6 Sep 2018

USD/CNY risk reversals hit one-month high on CNY put demand

  • USD/CNY risk reversals have risen to the highest level since Aug. 6 on rising demand for CNY put options (bearish bets).
  • The fears of escalating US-China trade tensions seem to have revived in the bearish bets on yuan.

The USD/CNY one-month 25 delta risk reversals (CNY1MRR) turned positive on Aug. 30 and hit a one-month high of 0.375 yesterday, indicating a steady rise in the demand (implied volatility premium) for the CNY put options.

The options market data indicates the investors are likely expecting the Chinese yuan to resume the sell-off. A similar sentiment is echoed by the upside break of the falling trendline (drawn from the Aug. 15 high and Aug. 24 high) in the USD/CNY daily chart.

At press time, the pair is trading at 6.8311.

CNY1MRR

 

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