A Bloomberg dollar index measure of 1-month risk reversals showed the gauge falling to 79bps, favouring dollar topside. The level is the lowest since late June and shows a retracement off monthly highs as we head into the September FOMC meeting
The measure is still way above where we started the year, close to 50bps. 2022 is set to be the Bloomberg dollar index's best year on record
Bloomberg reports that the decline in demand for dollar topside in the 1-month tenor is reflected in a rise of yen calls, USD/JPY 1mo RR now stands at 120bps favouring downside in the pair. The euro equivalent stands at 82bps to the dollar, while GBP/USD risk reversals favour the dollar by 150bps
Comments