Dollar-Won 25-Delta 1-Month Risk Reversal Falls Below 0%
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The Dollar-Won 25-delta 1-month risk reversal has fallen below 0% for the first time since the outbreak of the war in Iran at the end of February. The Dollar-Won exchange rate has dropped to the 1300 won level for the first time in 10 months, reflecting strong demand for the won in the currency options market. According to the daily FXO screen by currency on the 22nd, the recent 25-delta Dollar-Won 1-month risk reversal has dipped below 0%. This is interpreted as reflecting hedge demand against the falling exchange rate and expectations of a weaker dollar. Risk reversal indicates the difference in implied volatility between call options and put options, and a negative value signifies strong demand for a weaker dollar. The Dollar-Won risk reversal rose to 2.46% in March but has recently seen a significant decline. Im Han-yeol, an economist at Woori Bank, explained that the transition to a negative risk reversal is a result of increased put option volatility due to the influx of hedge demand for a stronger won. The downward trend in the exchange rate has also been confirmed in the spot foreign exchange market, where the Dollar-Won exchange rate closed at 1392.60 won on the 20th in the Seoul foreign exchange market. Another indicator in the options market, the 25-delta butterfly, has also declined, indicating a reduced likelihood of sharp fluctuations in the exchange rate. The Dollar-Won exchange rate serves as an important reference indicator for domestic cryptocurrency investors.
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