Traders position for yen weakness
Risk reversals in the USD/JPY 25-delta one-month closed in on 0% on March 31. Risk reversals compare the volatility between out-of-the-money call and put options with the same underlying exercise date and strike price.
“Risk reversals in USD/JPY are not nearly as skewed towards yen calls and dollar puts as they were at the start of the year,” said New York-based Royal Bank of Scotland’s head of currency strategy, Alan Ruskin. “This is unusual as the market over the past three years has
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