Risk reversals slowing down

- By FX Markets Staff
- @FXMarkets_
- 22 Dec 2008

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"The options market is implying that the depreciation and skittishness we have seen in emerging market currencies in the past couple of months will continue but that the magnitude will not be as bad as it has been," said Koon Chow, senior foreign exchange strategist at BarCap in London. "The news in the past six months has been unprecedented."

For example, a one-month delta option on USD/BRL fell 4.6 percentage points to 13.4 percentage points last week, from 18 percentage points earlier this

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