Home GBP/USD: Put bias strongest since May 31

GBP/USD: Put bias strongest since May 31

Updated: 19 Jun. 2018 | 05:57

GBP/USD risk reversals hit lowest since May 31.

The GBP/USD one-month 25 delta risk reversals (GBP1MRR) fell to -0.60 yesterday – the lowest level since May 31, indicating the implied volatility premium for GBP puts is higher than the implied volatility premium for GBP calls.

The risk reversals had risen to -0.40 earlier this month.

The decline from -0.40 to -0.60 indicates rising demand for the GBP puts (sell GBP). It appears the investors are expecting a deeper drop in GBP and hence are seeking downside protection.

GBP1MRR

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