EUR/CHF risk reversals hit highest since May on call demand

  • EUR/CHF risk reversals have jumped to the levels last seen in May. 
  • Risk reversals indicate the demand for call options is rising. 

Risk reversals on EUR/CHF (EURCHF1MRR), a gauge of calls to put, jumped to the highest level since May on Friday, indicating the investors are adding bets to position for a rally in the common currency. 

The one-month risk reversals rose to -0.75, the highest level since May 10.

The negative print indicates the implied volatility premium for the put options is still higher than that for the call options. 

The gauge, however, has risen from -1.05 to -0.75 this month, meaning the volatility premium for puts has dropped or the demand for the call options has increased. 

EUR/CHF is currently trading at 1.0963, having dropped 0.37 percent on Thursday. 



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