Yuan Volatility Surges Near August High Before Holiday: ChartBy
Volatility in China’s yuan against the dollar has spiked in the run up to the lunar new year, with risk reversals across the board showing the highest premium on calls versus puts since August when the PBOC devalued the currency. Despite heightened volatility ahead of the festivities, the spread between onshore and offshore renminbi has significantly contracted as the dollar has declined and traders look to keep risk out of books into the holiday.
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