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  • EUR/JPY risk reversals fell to two-month lows.

The EUR/JPY one month 25 delta risk reversals (EUJP1MRR) fell to -1.38 on Wednesday – the lowest level since March 23 –  vs. -0.75 seen in April 24.

The drop in the risk reversals from -0.75 to -1.38 represents a rise in the implied volatility premium for EUR/JPY puts (or JPY calls), i.e. the bearish bets are in demand.