The USD/CHF one-month 25 delta risk reversals (CHF1MRR) are currently trading at -0.60 – the lowest level since Sept. 26 – implying that the implied volatility premium or the value of put options (bearish bets) is highest in two months.
Notably, the risk reversals have dropped sharply from the high of -0.4 seen a week ago, validating the bearish reversal in USD/CHF.
CHF1MRR