One-month risk reversals on USD/CNY, a gauge of calls to puts, fell nearly to zero on Wednesday to hit the lowest level in over a month. The gauge rose as high as 0.762 on March 19.
The near-zero print indicates the implied volatility premium claimed for the call options or bullish bets is almost equal to the put options or bearish bets.
Essentially, the options market has shed the bullish bias on USD/CNY and adopted a neutral on the currency pair.
A negative print would imply the put options are drawing higher demand than calls, a sign of bearish sentiment in the options market.
The USD/CNY pair is trading largely unchanged on the day near 7.0778 at press time.
Risk reversals
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