- NZD/USD risk reversals hit highest since Feb. 1.
- Adds credence to rally in the NZD/USD spot.
The one-month 25 delta risk reversals (NZD1MRR) are being paid at 0.575 NZD puts vs. 0.95 NZD puts on March 23. The drop in the implied volatility premium for NZD puts, as indicated by the risk reversals, represents falling demand for the NZD bearish bets (puts).
Also, it means the investors believe the rally in the NZD/USD spot (from 0.7153 to 0.7389) is sustainable.