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31 May 2018
CAD puts lose value on hawkish BOC
- USD/CAD risk reversals hit lowest since May 14, indicating a drop in the implied volatility premium for CAD puts.
The Bank of Canada kept rates unchanged on Wednesday but said the developments since April warrant higher borrowing costs.
The hawkish tinge put a bid under the Canadian dollar, pushing the USD/CAD down to 1.2836 - the lowest level since May 25.
Further, the implied volatility premium for CAD puts (bearish bets) dropped, the risk reversals show. The USD/CAD (CAD1MRR) one month 25 delta risk reversals fell to 0.175 (lowest since May 15) from 0.20, indicating a slight drop in demand for CAD puts.
That said, the risk reversals are still holding the positive territory, meaning the implied volatility premium for CAD puts is still higher than the implied volatility premium for CAD calls, i.e. demand for CAD puts remains higher than CAD calls.
CAD1MRR
