USD/JPY risk reversals: JPY call bias strongest since March 23

• Risk reversals drop to lowest since March 23, indicate rising demand for JPY calls.
• Investors expecting a deeper drop in USD/JPY pair.

The USD/JPY one month 25 delta risk reversals (JPY1MRR) fell to -1.5 on Wednesday - the lowest level since March 23 vs -0.65 on April 18.

The decline from -0.65 to -1.5 represents rising implied volatility premium or rising demand for JPY calls and indicates the investors are likely expecting a deeper drop in the USD/JPY pair.

As of writing, the USD/JPY pair is trading at 108.60, having hit a low of 108.11 yesterday.

JPY1MRR