One-month risk reversals on USD/INR, a gauge of calls to puts, rose to a fresh 7-year high of 3.50 on Monday, indicating a sustained demand for the bullish bets or call options, which give the holder the right but not the obligation to buy the underlying asset at a specified price on or before a specified date.
The previous seven-year high of 3.475 was reached on March 25. The gauge bottomed out near 0.20 at the end of December 2019.
The USD/INR pair closed at 75.39 on Monday, having hit a record high of 76.45 earlier this month. Despite the pullback, the risk reversals continue to rise – a sign the investors expect the strength in the INR to be short-lived.
Risk reversals
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