CNY call value hit highest since April 20

  • The value of the Chinese yuan (CNY) call options have hit the highest level since April 20, risk reversals show.
  • The options market data validates the bearish view put forward by the head-and-shoulders breakdown seen in the USD/CNY chart.

The USD/CNY one month 25 delta risk reversals (CNY1MRR) fell to -0.063 – the lowest level since April 20, meaning the implied volatility premium for the CNY calls currently stands at a four-month high.

In simple terms, the options market has turned bullish on the Chinese currency. A similar sentiment is echoed by the technical charts. For instance, the head-and-shoulders breakdown witnessed on the 4-hour chart on Aug. 24 signaled a bullish-to-bearish trend change.


Daily chart

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