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Demand for call options or bullish bets on USD/CNY surged in the last three trading days. 

One-month risk reversals, a gauge of calls to puts, rose from 0.10 to 0.50 in the three days to June 12. A positive reading indicates that call options are claiming higher premium than puts, a sign demand for calls is stronger than that for puts. 

Fears of the second wave of the coronavirus outbreak and the resulting risk aversion seem to have fueled demand for the call options. 

USD/CNY is currently trading at 7.0887, representing a 0.12% gain on the day, having put in a low of 7.055 on Thursday. The pair, however, is still down 1.2% from the high of 7.1776 reached on May 27.

Risk reversals


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