NZD/USD sell-off continues, risk reversals show strong bearish bias in options market

• NZD/USD is down for the sixth straight day. 
• Risk reversals show increased demand for NZD puts. 

The NZD/USD fell to 0.7114 today - the lowest level since Jan. 4 and has nearly retraced 50 percent of the November - February rally. 

The sell-off has been accompanied by a rise in demand for the NZD puts. The NZD/USD one-month 25 delta risk reversals (NZD1MRR) are being paid at 0.83 NZD puts vs 0.55 NZD puts on April 19 (also the recent highs). 

The rise in the implied volatility premium for NZD puts indicates investors are hedging against a further drop in the spot by buying put options. 

NZD1MRR