GBP/USD risk reversals hit near two-month highs on falling demand for put options

• The GBP put options continue to lose value, adding credence to the GBP/USD's 400-pip recovery from the Aug. 15 low of 1.2662.
• The one-month GBP/USD 25 delta risk reversals are printing at the highest level since July 4.

Currently, the one-month GBP/USD 25 delta risk reversals stand at -0.60, having hit a low of -1.425 on Aug. 10.

The recovery from -1.425 to -0.60 indicates a falling demand or a drop in the implied volatility premium for the GBP put options (bearish bets).

The data indicates the investors are likely expecting the GBP/USD to extend the corrective and hence are venturing out of put options.