GBP/USD: Put bias strongest since May 31

• GBP/USD risk reversals hit lowest since May 31.

The GBP/USD one-month 25 delta risk reversals (GBP1MRR) fell to -0.60 yesterday - the lowest level since May 31, indicating the implied volatility premium for GBP puts is higher than the implied volatility premium for GBP calls. 

The risk reversals had risen to -0.40 earlier this month. 

The decline from -0.40 to -0.60 indicates rising demand for the GBP puts (sell GBP). It appears the investors are expecting a deeper drop in GBP and hence are seeking downside protection. 

GBP1MRR