Currency Options Risk Reversals

The story

A risk reversal is said to refer to the difference when 25-delta calls and puts with the same expiry date and notional amount are traded in opposite directions.

The ranges are 2.07-2.35 for USD/JPY, 1.78-2.24 for EUR/JPY and 1.97-2.32 for GBP/JPY. The price differences are explained as arising from imbalances in supply and demand.

This material was written by the editorial department of みんかぶ and is said to provide a breaking update on currency option trends.

At a glance

Currency pairUSD/JPY 2.07-2.35

Currency pairEUR/JPY 1.78-2.24

Currency pairGBP/JPY 1.97-2.32

SignificanceRepresents the price difference between a call and a put

Reference information. Every claim resolves to something the story actually named.

What it links to

Currency option hedges for forecast foreign-currency transactionsStrongly related1 companies

3435-0.8%

SANKO TECHNO CO.,LTD.Hedging Foreign-Exchange Risk with Currency Options

¥1,428

Where this came from

We read each source in full and checked they agree on the core claim.

1/ 1 agree

All of them report the same thing.

fx.minkabu.jpNews

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Reference information generated from public sources. It does not solicit or advise on investments. Prices are 15-minute delayed.