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USD/CHF: put value hits 6-month lows, points to more pain

Risk reversals on USD/CHF, a gauge of call options (bullish bets) to put options (bearish bets), plunged to six-month lows yesterday, indicating investors are adding bets to position for further strength in the safe haven Swiss Franc (CHF).

One-month 25 delta risk reversals (CHF1MRR) dropped to -0.675 in favor of puts on Tuesday - its lowest level since June 14. Notably, the gauge stood at -0.35 on Nov. 15.

The negative number indicates that the implied volatility premium (or the demand) for the USD/CHF puts (CHF calls) is higher than that for the USD/CHF calls (CHF puts).

The USD/CHF is currently trading at 0.9925, having charted a bullish candle at the 100-day MA yesterday. The rising demand for the put options, however, indicates the long-term MA support of 0.9888 could be breached soon.


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