Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
Our ADXY-weighted risk reversal metrics (covering 3-, 6- & 12-month risk reversals) haven't shown much in the way of upside hedging demand across the major USD/Asia FX crosses (in broad terms) during the June downtick in the BBG/J.P.Morgan ADXY Index. The Fed's June decision saw the risk reversals record an uptick from the YtD lows registered earlier this month (after the 6- and 12-month measures tested the '19 lows), although the measures have edged lower again in recent days with the ADXY off lows. Still, the historical preference to hold broader USD/Asia FX calls over puts (evidenced by positive risk reversals) remains intact across the tenors that we monitor.
- N.B. we use USD/CNH risk reversals for the Chinese yuan.
Fig. 1: ADXY- Weighted 3-, 6- & 12-Month Risk Reversals
Source: MNI - Market News/Bloomberg
| Last | 3-Month Low | 3-Month High | 12-Month Low | 12-Month High | 3-Year Low | 3-Year High | |
|---|---|---|---|---|---|---|---|
| BBG/J.P.Morgan ADXY Index | 108.30 | 107.63 | 109.89 | 102.84 | 109.89 | 100.33 | 109.89 |
| ADXY-Weighted 3-Month Risk Reversal (rhs) | 0.6824 | 0.6036 | 0.9660 | 0.6036 | 1.1739 | 0.4459 | 3.2052 |
| ADXY-Weighted 6-Month Risk Reversal (rhs) | 0.8191 | 0.7703 | 1.1058 | 0.7703 | 1.3160 | 0.6732 | 3.1266 |
| ADXY-Weighted 12-Month Risk Reversal (rhs) | 0.9594 | 0.9427 | 1.2302 | 0.9427 | 1.5164 | 0.9296 | 3.0486 |
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.