USD/JPY risk reversals drop to lowest since Oct. 17

• Risk reversals slide.
• USD/JPY sell-off strengthens the demand for JPY calls.

The USD/JPY one-month 25 delta risk reversals gauge fell to -1.275; the lowest level since Oct. 17. The slide from -0.975 (Jan, 22 levels) to -1.275 highlights rising demand for JPY bullish (calls) bets.

It also indicates investors likely are not worried about a rebound in USD/JPY and hence are not seek upside protection (USD calls/JPY puts) against short USD/JPY position in the spot.

Risk reversals