Scenario × Asset Analysis

What Happens to Real Effective Exchange Rate When the Put-Call Ratio Spikes Above 1.2?

Put-call ratios above 1.2 signal extreme fear and hedging demand. What happens when put options demand dramatically exceeds call options?

Real Effective Exchange Rate

105.88

as of Feb 1, 2026

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Trigger: VIX Index

19.12

Condition: put-call ratio exceeds 1.2

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How Real Effective Exchange Rate Responds

When the Put-Call Ratio Spikes Above 1.2, Real Effective Exchange Rate typically responds to the changing macro environment. BIS real effective exchange rate for the US dollar, inflation-adjusted competitiveness. This scenario is particularly relevant for fx & dollar because changes in VIX Index directly influence the macro environment for Real Effective Exchange Rate. Investors should monitor both the trigger condition and Real Effective Exchange Rate's response to position accordingly.

Scenario Background

The put-call ratio measures the volume of put options purchased relative to call options. The long-run average runs near 0.85-0.95. Ratios above 1.2 signal extreme fear: investors are buying protection (puts) far more than upside (calls). Such readings historically coincide with market bottoms or panic-driven selloffs.

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Historical Context

The CBOE put-call ratio has exceeded 1.2 on multiple occasions: October 2008 (GFC panic, peak 1.4), May 2010 (flash crash, 1.3), August 2011 (debt-ceiling debacle, 1.3), February 2018 ("Volmageddon", 1.3), March 2020 (COVID, 1.8 peak), and September 2022 (UK gilt crisis, 1.3). Each spike was followed by market bottoms within 2-8 weeks and subsequent rallies of 15-40% over 6-12 months. The 2020 peak at 1.8 was the most extreme reading on record outside of 2008, marking the March 2020 bottom withi...