- 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.