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Risk reversal

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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
 
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