STRUCTURED SOLUTIONS · PRODUCT EDUCATION
FX Risk Reversals
You fund the right to gain from a currency rising by selling someone else the right to hand it to you if it falls. No premium changes hands — but “zero cost” is not “zero risk”: you are paid nothing precisely because you have taken on a real obligation.
Educational illustration only. This page explains the product type in general terms. It is not an offer, recommendation, or advice. Every figure is hypothetical — not a forecast or a real transaction. Actual terms are set solely by the issuer’s Final Terms, which prevail. For accredited & institutional investors. Capital is at risk.
Important notice. This page is issued by Touchstone Asset Management Pte. Ltd. (UEN 202540913R), licensed by the Monetary Authority of Singapore under Capital Markets Services Licence No. CMS101936. It is educational material intended solely for accredited investors and institutional investors as defined under the Securities and Futures Act 2001. It explains a category of product in general terms. It is not an offer, solicitation, recommendation, or advice, and not a description of any specific security. All figures shown are hypothetical illustrations.
IN ONE SENTENCE
What is it?
A risk reversal is two options bought and sold together on the same currency pair, arranged so the premiums roughly cancel — hence “zero-cost.” You buy an out-of-the-money call (the right to buy the currency at a higher strike, your upside) and you fund it by selling an out-of-the-money put (the obligation to buy the currency at a lower strike, your downside).
The structure is a single bet with two edges. Between the two strikes, nothing happens at expiry. Above the upper strike, your call pays off and your gain runs with the pair. Below the lower strike, the put you sold is exercised against you: you must buy the currency at the lower strike while the market is cheaper, and that loss grows the further it falls. It is not a note, not a deposit, and not principal-protected — it is a leveraged directional position dressed as “free.”
THE CORE TRADE-OFF
What you get — and what you give up
The “zero cost” is real — but it is paid for by selling away your downside protection. You are not given something for nothing; you have swapped a certain premium for an uncertain, potentially large obligation.
You get
- Upside participation in the currency above the upper strike — geared, and with no premium outlay.
- A defined “do-nothing” band between the two strikes.
- No upfront cost — the call is financed by the put you sell.
You give up
- Your downside — below the lower strike you are obliged to buy at that strike, into a falling market.
- Symmetry — the loss below can dwarf the gain you were chasing above.
- Simplicity of risk — a “free” label hides a sold option and its open-ended obligation.
HOW IT WORKS
The two legs
- Set the view and the band — You are moderately bullish the pair over a defined horizon (illustratively 20 weeks). Two strikes are chosen: an upper strike above today’s rate (your call) and a lower strike below it (your put).
- Buy the call, sell the put — You buy the right to buy the currency at the upper strike; you sell someone the right to make you buy it at the lower strike. The premium you pay for the call is offset by the premium you receive for the put — arranged to net to roughly zero.
- At expiry, one of three things happens — Above the upper strike: exercise the call, buy low, gain runs with the pair. Between the strikes: both options lapse, nothing is exchanged. Below the lower strike: the put is exercised against you — you must buy at the lower strike while the market is lower still.
The three outcomes at expiry
| Pair at expiry | What happens | Your outcome |
|---|
| ≥ 160 | Your call is in the money — buy the currency at 160 | Gain — rises with the pair, no cap |
| 150 – 160 | Both options lapse | Nothing — no exchange, no P&L |
| ≤ 150 | Your sold put is exercised — you must buy at 150 | Loss — grows the further the pair falls |
Hypothetical · reference 156.6, upper strike 160 (your call), lower strike 150 (the put you sold), zero net premium. Actual strikes, tenor and terms are set by the issuer’s Final Terms.“ZERO-COST” IS NOT “ZERO-RISK”
The sentence that matters most
The phrase does real damage. “Zero-cost” describes the premium, not the risk. You received no cash because you sold something of real value — a put that can be exercised against you into a falling market. The correct way to read the structure is: I am long a call and SHORT A PUT — and the short put is the part that can hurt.
A WORKED ILLUSTRATION
Three scenarios
A worked illustration — three scenarios–
Hypothetical example · not a real product · not a forecastSet-up (invented): USDJPY at 156.6; 20-week risk reversal; you buy the 160 call, sell the 150 put; zero net premium.
Scenario Up — the view is right: the pair drifts to 165 by expiry. Your 160 call is exercised: you buy USD at 160 against a 165 market — a gain that would keep rising had the pair gone higher. This is the outcome the structure is built for.
Scenario Range — nothing happens: the pair sits at 155 at expiry. Both options lapse. You paid nothing and received nothing — 20 weeks of positioning with no result, but no loss either.
Scenario Down — the sold put bites: a coordinated move to strengthen the yen drives the pair to 142 by expiry. Your 150 put is exercised against you: you must buy USD at 150 against a 142 market — a loss of ~8 yen per USD that would have been larger still had the pair fallen further. The “zero-cost” structure has delivered a real, geared loss.
THE NUMBER THAT MATTERS MOST
Your obligation below the lower strike
For a note, the key figure is a barrier buffer. For a risk reversal, it is the size of the put you have sold: the notional you would be obliged to buy at the lower strike, and how far the market could be below it. Price the worst case — the pair well below the lower strike at expiry — and ask whether that loss is one you can carry.
Sized correctly, a risk reversal is an efficient way to express a currency view you would hold anyway. Sized as “free money,” it is a sold option waiting for the one move that was never priced in.
KEY RISKS
What you must understand
The sold put is the risk — open-ended and geared.
Below the lower strike every further move against you is a loss; there is no protection level, and the loss can far exceed any gain you were chasing.
“Zero-cost” masks the trade.
The absence of a premium is the clue that you have sold real optionality — the label invites under-sizing.
Asymmetry can be severe.
The upside above the call and the downside below the put are rarely equal; the sold put often carries the larger tail.
You cannot walk away cheaply.
Before expiry the position can only be unwound at a negotiated price reflecting the bank’s mark-to-market, which can be adverse exactly when you want out.
Margin & financing risk.
As the pair falls toward and below the lower strike, mark-to-market losses can trigger margin calls at the worst moment.
Counterparty & valuation risk.
It is an OTC contract with a bank — you bear its credit risk, and the interim valuation can swing sharply even if you intend to hold to expiry.
Intent risk — it is a view, not a yield.
A risk reversal only makes sense if you would genuinely hold the underlying view and could take delivery at the lower strike. Entered for the “free” upside alone, it is a naked short put with a call attached.
THE TOUCHSTONE DIFFERENCE
How we monitor this for you
A risk reversal is a live position with a sold option inside it — so we track the one thing that matters: how close the pair is to the lower strike, and the size of the obligation waiting there. Changes come to you early, in plain language.
- Between the strikes → Hold & track. We log the distance to each strike and time remaining.
- Approaching the lower strike → We flag it early. The sold put is moving into play; we re-price the downside and review margin and financing while options are still open.
- Below the lower strike → Review all options. Delivery at the lower strike is now the live case; we weigh taking it against a negotiated unwind and its cost, and decide with you.
- Approaching the upper strike → Prepare to capture the gain, so the intended upside is not left on the table.
The zones describe how we monitor, not a mechanical rulebook or a promise of action. Any decision is case-by-case, subject to a suitability assessment. Early unwind carries its own costs and risks. Nothing here is advice or a recommendation.
SUITABILITY
Who is it — and isn't it — for?
May suit investors who…
- Hold a genuine, defined view on the currency pair over the tenor.
- Would be willing — and able — to buy the currency at the lower strike if put to them.
- Can size and carry the full downside of the sold put.
- Understand that “zero-cost” describes the premium, not the risk.
- Are accredited or institutional investors.
Is not for investors who…
- Are attracted mainly by the words “zero cost” or “free upside.”
- Would not choose to own the currency at the lower strike today.
- Cannot absorb a large, geared loss if the pair falls through the lower strike.
- Treat it as principal-protected or as an income product — it is neither.
- Need certainty of outcome or ready liquidity before expiry.
Plain-language glossary
Risk reversal
A combination of a bought out-of-the-money option and a sold out-of-the-money option on the same underlying, arranged to express a directional view.
Zero-cost collar
A risk reversal arranged so the two premiums net to roughly zero — “zero-cost” refers to premium, not risk.
Call (the leg you buy)
The right, not the obligation, to buy the currency at the upper strike — your upside.
Put (the leg you sell)
The obligation to buy the currency at the lower strike if the buyer exercises — your downside.
Upper / lower strike
The two rates that bound the structure; between them, nothing happens at expiry.
Net premium
Premium paid for the call minus premium received for the put; “zero-net” means it is arranged to net to roughly nil.
A risk reversal and an FX accumulator are cousins: both finance something attractive by selling optionality you may not realise you have sold. The same discipline applies — size against the obligation, not the headline. See SOL-013 · FX Accumulators.
Considering a risk reversal? Talk to us first about the leg you would be selling — the put — and whether you would genuinely want the currency at the lower strike. That, not the “zero cost,” is the decision.
结构性方案 · 产品知识
外汇风险逆转
您通过向他人卖出"当汇价下跌时把货币按约定价交给您"的权利，来为自己"当汇价上涨时获利"的权利融资。没有权利金易手——但"零成本"绝非"零风险"：您之所以分文未付，正是因为您承担了一项真实的义务。
仅为教育性示例。 本页以一般性方式介绍此类产品，不构成要约、推荐或投资建议。文中每个数字均为假设——并非预测，亦非真实交易。实际条款仅以发行人的最终条款书为准。仅供合格及机构投资者参阅。本金存在风险。
重要声明。 本页面由拓石资产管理私人有限公司（UEN 202540913R）发布，该公司持有新加坡金融管理局颁发的资本市场服务牌照，编号 CMS101936。本页为教育性资料，仅面向《证券与期货法 2001》定义下的合格投资者及机构投资者，以一般性方式介绍某一类产品。本页不构成任何要约、招揽、推荐或投资建议，亦非对任何具体证券的描述。文中所有数字均为假设性示例。
一句话说明
这是什么？
风险逆转是在同一货币对上同时买入与卖出的两份期权，经设计使双方权利金大致抵消——故称"零成本"。您买入一份价外看涨期权（在较高行权价买入货币的权利，即您的上行收益），并通过卖出一份价外看跌期权（在较低行权价买入货币的义务，即您的下行风险）来为其融资。
该结构是一场带两条边界的单向押注。到期时，若汇价处于两个行权价之间，则无事发生；若高于上方行权价，您的看涨期权获利，收益随汇价上行；若低于下方行权价，您卖出的看跌期权被行权：您须在市价更低时按下方行权价买入货币，且汇价跌得越深，亏损越大。它既非票据，也非存款，更无本金保障——它是一笔披着"免费"外衣的杠杆方向性头寸。
核心权衡
您得到什么——又放弃什么
"零成本"是真实的——但其代价是卖出了您的下行保护。天下没有免费的午餐；您以一笔确定的权利金，换来了一项不确定、且可能相当庞大的义务。
您得到
- 高于上方行权价后对该货币上行的参与——带杠杆，且无需支付权利金。
- 两个行权价之间一段明确的"无事发生"区间。
- 无前期成本——看涨期权由您卖出的看跌期权融资。
您放弃
- 您的下行保护——跌破下方行权价后，您须在下跌的市场中按该行权价买入。
- 对称性——下方的亏损可能远超您在上方追逐的收益。
- 风险的一目了然——"免费"的标签掩盖了一份已卖出的期权及其敞口无限的义务。
运作机制
两条腿
- 确定观点与区间 — 您在一段确定期限内（示例为20周）温和看涨该货币对。选定两个行权价：高于现价的上方行权价（您的看涨期权）与低于现价的下方行权价（您的看跌期权）。
- 买看涨、卖看跌 — 您买入以上方行权价买入货币的权利；同时卖给对手一份"可要求您以下方行权价买入货币"的权利。您为看涨期权支付的权利金，被您收取的看跌期权权利金抵消——经设计使净额大致为零。
- 到期时，三种情形之一发生 — 高于上方行权价：行使看涨期权，低价买入，收益随汇价上行；处于两行权价之间：两份期权均失效，无任何交割；低于下方行权价：看跌期权被行权——您须按下方行权价买入，而市价更低。
到期时的三种结果
| 到期汇价 | 发生什么 | 您的结果 |
|---|
| ≥ 160 | 看涨在价内——以160买入货币 | 获利——随汇价上行，无上限 |
| 150 – 160 | 两份期权均失效 | 无——无交割、无盈亏 |
| ≤ 150 | 您卖出的看跌被行权——须以150买入 | 亏损——汇价跌得越深，亏损越大 |
假设 · 参考价156.6，上方行权价160（您买入的看涨），下方行权价150（您卖出的看跌），零净权利金。实际行权价、期限与条款以发行人的最终条款书为准。"零成本"不等于"零风险"
最关键的一句话
这个说法极具误导性。"零成本"描述的是权利金，而非风险。您没有收到现金，是因为您卖出了一件真正有价值的东西——一份可能在下跌市场中被行权、要求您买入的看跌期权。理解该结构的正确方式是：我持有一份看涨期权，并卖出了一份看跌期权——而那份卖出的看跌，正是可能造成伤害的部分。
举例说明
三种情景
A worked illustration — three scenarios–
假设示例 · 非真实产品 · 非预测。设定（虚构）：USDJPY现价156.6；20周风险逆转；您买入160看涨，卖出150看跌；零净权利金。
情景上行 — 观点正确：到期时汇价升至165。您的160看涨被行使：您以160买入美元，而市价165——获利；若汇价更高，收益还会更大。这正是该结构所要争取的结果。
情景横盘 — 无事发生：到期时汇价停在155。两份期权均失效。您分文未付、亦分文未得——20周的布局毫无结果，但也没有亏损。
情景下行 — 卖出的看跌反噬：一场旨在推升日元的协同行动将汇价打压至142。您的150看跌被行权：您须以150买入美元，而市价142——每美元亏损约8日元；若汇价跌得更深，亏损更大。这个"零成本"结构带来了真实且加杠杆的亏损。
最关键的一个数字
跌破下方行权价后的义务
对票据而言，关键数字是距障碍的缓冲。对风险逆转而言，关键是您卖出的那份看跌期权的规模：您有义务按下方行权价买入的名义金额，以及市价可能低于该行权价多少。请为最坏情形定价——到期时汇价远低于下方行权价——并自问这笔亏损您是否承受得起。
规模得当，风险逆转是表达您本就持有的货币观点的高效方式；被当作"免费的钱"，它就是一份卖出的期权，静候那一记从未被计入价格的走势。
主要风险
您必须理解的风险
卖出的看跌就是风险——敞口无限且加杠杆。
跌破下方行权价后，每一次不利变动都是亏损；没有任何保护线，且亏损可能远超您所追逐的收益。
"零成本"掩盖了交易的实质。
没有权利金，恰恰说明您卖出了真实的期权价值——这一标签容易诱使您低估头寸规模。
不对称可能非常严重。
看涨上方的收益与看跌下方的亏损往往并不对等；卖出的看跌通常承担更大的尾部风险。
无法低成本退出。
到期前，头寸只能按银行盯市价协商解约，而该价格恰可能在您最想离场时对您不利。
保证金与融资风险。
当汇价向下方行权价逼近乃至跌破时，盯市亏损可能在最糟糕的时刻触发追加保证金。
交易对手与估值风险。
这是一份与银行签订的场外合约——您承担其信用风险，且即使打算持有至到期，期间估值也可能大幅波动。
动机风险——这是观点，不是收益。
只有当您确实持有相关观点、且能在下方行权价接受交割时，风险逆转才有意义。若仅为"免费"的上行而入场，它不过是一份裸卖看跌外加一份看涨。
拓石的不同之处
我们如何为您持续监控
风险逆转是一笔内含卖出期权的在持头寸——我们跟踪那件最要紧的事：汇价距下方行权价有多近，以及那里等待着的义务有多大。变化会提早以通俗语言告知您。
- 处于两行权价之间 → 持有并跟踪。我们记录距两个行权价的距离与剩余时间。
- 接近下方行权价 → 我们提早提示。卖出的看跌正逐渐生效；在选择余地尚在时重估下行并检视保证金与融资。
- 跌破下方行权价 → 检视全部选项。以下方行权价交割已成现实情形；我们权衡接受交割与协商解约及其成本，并与您共同决定。
- 接近上方行权价 → 准备兑现收益，以免既定的上行被白白错过。
上述区间描述的是我们如何监控，并非机械化的规则手册，亦非采取行动的承诺。任何决定均逐案商议并须经适合性评估。提前解约本身亦有成本与风险。本页所载内容均不构成投资建议或推荐。
适合性
本产品适合谁、不适合谁？
可能适合以下投资者……
- 在该期限内对该货币对持有真实、明确的观点。
- 若被行权，愿意且有能力以下方行权价买入该货币。
- 能够合理设定并承受所卖出看跌期权的全部下行风险。
- 理解"零成本"描述的是权利金，而非风险。
- 为合格或机构投资者。
不适合以下投资者……
- 主要被"零成本"或"免费上行"字眼吸引。
- 今天并不愿意以下方行权价持有该货币。
- 若汇价跌破下方行权价，无法承受放大的亏损。
- 把它当作保本或收益型产品——它两者都不是。
- 在到期前需要结果的确定性或充足的流动性。
通俗术语表
风险逆转
在同一标的上，将一份买入的价外期权与一份卖出的价外期权组合，以表达方向性观点。
零成本领口
经设计使两份权利金净额大致为零的风险逆转——"零成本"指权利金，而非风险。
看涨期权（您买入的一腿）
以上方行权价买入货币的权利（非义务）——您的上行收益。
看跌期权（您卖出的一腿）
若买方行权，您须以下方行权价买入货币的义务——您的下行风险。
上方／下方行权价
界定该结构的两个汇率；到期时若处于两者之间，则无事发生。
净权利金
支付的看涨权利金减去收取的看跌权利金；"零净"即经设计使净额大致为零。
风险逆转与外汇累购是近亲：两者都通过卖出您或许未曾意识到已卖出的期权，来为某种诱人的东西融资。此处适用同一纪律——以义务而非表面卖点来衡量规模。请见 SOL-013 · 外汇累购合约。
正在考虑风险逆转？请先与我们谈谈您将要卖出的那条腿——看跌期权——以及您是否真的愿意在下方行权价持有该货币。这，而非"零成本"，才是真正的决策所在。
