GBP/USD risk reversals hit near two-month highs on falling demand for put options
|- The GBP put options continue to lose value, adding credence to the GBP/USD's 400-pip recovery from the Aug. 15 low of 1.2662.
- The one-month GBP/USD 25 delta risk reversals are printing at the highest level since July 4.
Currently, the one-month GBP/USD 25 delta risk reversals stand at -0.60, having hit a low of -1.425 on Aug. 10.
The recovery from -1.425 to -0.60 indicates a falling demand or a drop in the implied volatility premium for the GBP put options (bearish bets).
The data indicates the investors are likely expecting the GBP/USD to extend the corrective and hence are venturing out of put options.
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