EUR/USD risk reversals hit lowest since March 1, show EUR puts in demand

• Risk reversals show increased demand for the EUR puts (bearish bets)

The EUR/USD one-month 25 delta risk reversals (XAU1MRR) fell to -0.375 today - the lowest level since March 1, indicating an increase in the implied volatility premium for the EUR puts. 

The risk reversals had turned positive on April 17, meaning the implied volatility for EUR calls (bullish bets) was more than that of puts. However, the sharp decline from 1.2397 (April 17 high) to 1.2182 (previous day's low) seems to have revived interest in the EUR put options. 

The drop in the risk reversals also indicates the investors see the potential for a further sell-off in the EUR/USD. As of writing, the spot is trading at 1.228. The risk reversals may slide further if the spot finds acceptance below the ascending (bullish biased) 100-day moving average support of 1.2212.

EUR1MRR