Investors trade risk-reversals against Swiss peg as euro tumbles

By Gabriel Suprise
06 Jan 2015

Market participants have been trading risk-reversals on the euro against the Swiss franc, effectively betting that the Swiss National Bank will have to lower its floor following renewed eurozone troubles, despite implementing negative deposit rates in December.

According to strategists, market participants were selling at-the-money euro calls, while buying downside euro puts, playing the view that the 1.20 floor enforced by the Swiss National Bank (SNB) would break.

“[Risk-reversals] are bid to euro puts, which is strange ...

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