- USD/CAD one-month 25 delta risk reversals fell to lowest level since June 5.
- The gauge indicates falling demand for CAD puts (bearish bets).
The USD/CAD one-month 25 delta risk reversals (CAD1MRR) are being paid at 0.175 – a level that was last seen on June 5 – vs the recent high of 0.325.
The decline from 0.325 to 0.175 represents a falling demand or a falling implied volatility premium for CAD puts and adds credence to the recent decline in the USD/CAD from 1.3386 to 1.3080.
CAD1MRR