One-month risk reversals (AUD1MRR), a gauge of calls to puts on AUD/USD, fell on Tuesday to a record low, as investors rushed to protect themselves from further weakness in the Australian dollar.
Risk reversals are a gauge of investor expectations for a currency’s direction and are used to hedge against expected moves, according to Reuters News.
The slide in risk reversals to record lows indicates greater demand for put options, a derivative contract, which gives investors a right but not the obligation to sell the underlying at an agreed price on or before a particular date.
AUD/USD fell to 0.6079 on Monday, the lowest level since 2008, having topped out at 0.7016 on Jan. 1. Coronavirus pandemic and the resulting fears of global recession have weighed heavily over the Aussie dollar in the first quarter.
AUD1MRR
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