Risk Reversals
In addition to flow indicators, there are also sentiment indicators. These do not reflect flows directly going through the currency market, but more indirectly by representing the market’s bias towards exchange rates. A very useful indicator of market sentiment or “skew” is the option risk reversal. This is the premium or discount of the implied [...]
Posted on July 3rd, 2009 by admin
Filed under: Option Flow/Sentiment Models | Comments Off