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Home        Knowledge Base        Equity Derivatives and Structured Products Glossary        Risk reversal

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Risk reversal

Search definitions        Search   Risk reversal The term ‘Risk Reversal’ is also used, by Currency Option traders, to denote the difference in Implied volatility between Out-of-the-money call and put options, which both have a Delta of 25%. The level of the Risk Reversal is often used as a sentiment indicator in Currency markets as it indicates the relative demand for calls versus puts. See also Collar, Volatility Skew Posted by  Privatebanking.com     Back     Print     Email

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