- One-month 25 delta risk reversals drop to zero (neutral).
- Adds credence to the drop in the spot from 1.3125 to 1.2880.
The USD/CAD one-month 25 delta risk reversals (CAD1MRR) gauge has dropped to zero vs. 0.10 CAD puts yesterday and 0.14 CAD puts seen on March 15.
The drop in the implied volatility premium for one-month expiry CAD puts (sell CAD) indicates the investors see the decline in the USD/CAD from 1.3125 to 1.2280 is here to stay.
Further, the weekly risk reversals are being paid at 0.25 CAD calls vs. 0.05 CAD puts seen on March 15, showing a short-term CAD bullish bias in the options market.