Risk reversal skews for EM currencies have become increasingly negative: Barclays

Quotes from Barclays Capital:

-The fact that risk reversal (short an out of the money puts and long an out of the money calls, both with the same maturity) skews (3-month, 25 delta) for many EM currencies versus the USD have become increasingly negative highlights the sentiment shift towards the former.

-In particular, views are most bearish towards high beta currencies like the RUB, TRY, ZAR and BRL. However, in relative terms (ie, compared to three-month standard deviation bands) the CNY and TWD stand out as currencies that have seen the most extreme shift in sentiment. For the CNY in particular, we think the bearish shift in sentiment is justified.