USD/JPY risk reversals hit 4-month high

• Risk reversals continue to shed Yen bullish bias. 

The USD/JPY one-month 25 delta risk reversals (JPY1MRR) rose to -0.65 on Thursday - its highest level since early January. 

The negative number indicates the JPY calls (bullish bets) are in demand or the implied volatility for the JPY calls is higher than that of JPY puts. However, the risk reversals gauge has risen significantly in the last two months (from -2.475 to -0.65), which means the demand for the JPY calls has dropped. 

The data adds credence to the rally in the USD/JPY pair from 104.63 (March 26 low) to 110.04 (previous day's high) and suggests the investors could be seeking protection against further downside in Japanese Yen. 

JPY1MRR