24 Apr 2020
USD/INR risk reversals slide as call demand weakens
USD/INR one-month risk reversals, a gauge of calls to puts, fell to 1.175 on Thursday to hit the lowest level since the end of February, having peaked at 3.625.
The decline from 3.625 to 1.175 represents a weakening of demand or implied volatility premium for call options or bullish bets.
That said, the gauge is still positive, meaning the overall demand for call options is still higher than that for puts (bearish bets).
USD/INR fell by 0.37% on Thursday to 75.85, having hit a record high of 77.10 earlier this week.
