Hedging the Russian Ruble Hasn’t Been so Expensive Since 2015
- Ruble risk reversals rise to seven-year high as currency falls
- Options market shows traders see room for more ruble pain
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Traders are rushing for hedges against big losses in the Russian ruble through options, sending the price of these instruments to a seven-year high and signaling the market is unlikely to calm down soon.
The 25-delta risk reversal on the Russian ruble surged to 10.8% on Monday, the highest since 2015. That price reflects the premium traders are willing to pay for a high-strike option -- a weaker ruble -- versus a low-strike option.