USD/CNY: Value of CNY put options (bearish bets) hit highest since June 27, 2016
|- USD/CNY risk reversals hit highest since June 2016, meaning the value of CNY puts has hit 28-month highs.
- The increased value of CNY puts adds credence to the bullish setup in the USD/CNY and USD/CNH pairs.
The USD/CNY one-month 25 delta risk reversals (CNY1MRR) are currently being paid at 1.22 CNY puts - the highest level since June 27, 2016.
The risk reversals were being paid at 0.80 CNY puts yesterday.
The sharp rise in the implied volatility premium for the CNY puts from 0.80 to 1.22 represents an increased demand for the cheap out of the money put options in the wake of a bullish break in the USD/CNY above the August high of 6.9346.
At press time, the USD/CNY pair is trading at 6.9603, having clocked a 21-month high of 6.9642 earlier today, and looks set to test the major psychological resistance of 7.00 in the near-term.
CNY1MRR
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