Home USD/INR risk reversals hit 3.5-year high, point to more pain ahead for INR

USD/INR risk reversals hit 3.5-year high, point to more pain ahead for INR

Published date: 6 Aug. 2019 | 05:33

Risk reversals on USD/INR, a gauge of calls to puts, jumped to 1.35 on Monday, indicating investors are adding bets (USD/INR call options) to position for weakness in the Indian Rupee (INR).

One-month risk reversals stood at 0.625 on Friday, meaning the demand or the implied volatility premium for the USD/INR call options (bullish bets) rose sharply yesterday.

USD/INR spot also jumped 2.32% to 71.36 on Monday. As of writing, the spot is trading at 70.89.

Risk reversals

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