MT5 Risk Reversal Strategies: A Practitioner's Dataset
Who this is for: Options-aware forex and futures traders running MetaTrader 5 who want structured, calculation-ready risk reversal data — not vague theory. Quant hobbyists building EA logic, indie traders studying skew mechanics, and anyone wiring up an AI layer to score trade setups will find this useful as a reference base.
What you get: 15 documented risk reversal setups across forex and commodity pairs, with entry deltas, typical premium costs (in pips/points), breakeven distances, max-loss boundaries, and a notes column flagging common execution traps in MT5's native environment.
Sourcing caveat: Premium ranges and implied volatility figures below are estimates derived from publicly available broker data, CBOE/CME historical skew reports, and retail MT5 platform observations (2023–2024). They are ranges, not live quotes. Treat them as calibration baselines — validate against your broker's actual option chain before sizing real positions. MT5's built-in strategy tester does not natively simulate vanilla options; the setups below are designed to be replicated synthetically via spot + pending orders, or with brokers offering MT5-native options (e.g. Deriv, some ECN desks).
Methodology
A risk reversal is simultaneously selling an OTM put and buying an OTM call (bullish) — or selling an OTM call and buying an OTM put (bearish) — on the same underlying, same expiry. The net premium is often near-zero (a "zero-cost" structure), but never truly free: you're exchanging directional optionality for naked short-wing exposure.
For this dataset, each row captures:
- Delta pair — the delta of the sold and bought legs (e.g. 25Δ / 25Δ is the industry standard; 10Δ / 25Δ is a skewed structure)
- Net premium (est.) — positive = credit received, negative = debit paid, in pips (forex) or points (commodities)
- Breakeven at expiry — how far spot must move for the long leg to cover any net debit
- Max loss — for the naked short leg; expressed as a formula and an example figure
- Typical IV skew — whether the market prices the call wing or put wing richer (relevant to which leg costs more)
- MT5 synthetic replication — how to approximate the structure in MT5 without a native options desk
All delta and skew readings reference 25-delta risk reversal (25RR) as the benchmark, which is the standard quoting convention on the institutional FX options market (Reuters/Bloomberg). Retail traders can observe skew directionally even without access to 25RR quotes by watching how bid/ask spreads widen on OTM pending order fills during high-IV regimes.
The Dataset
| # | Pair / Instrument | Structure | Sold Leg Δ | Bought Leg Δ | Net Premium Est. (pips) | Breakeven Distance (pips) | Max Loss Formula | Max Loss Example | IV Skew Direction | Best Regime | MT5 Synthetic Method | Notes |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 | EUR/USD | Bullish 25RR | Short 25Δ Put | Long 25Δ Call | +2 to +5 (credit) | 0 (credit = no upside BE; downside BE = strike − credit) | (Put Strike − Spot at expiry) × Lot size | ~800–1200 pips uncapped | Put skew (EUR puts richer post-2022) | Trending USD weakness, low VIX | Sell stop-limit at put strike; buy limit at call strike; hard stop below put | Credit only valid when put IV > call IV; check skew before entry |
| 2 | EUR/USD | Bearish 25RR | Short 25Δ Call | Long 25Δ Put | −1 to +3 | 15–40 pips (if debit) | (Spot at expiry − Call Strike) × Lot size | ~600–1000 pips uncapped | Call skew (risk-off rallies) | ECB dovish surprise, USD bid | Buy stop-limit at put strike; sell limit at call strike | Rarely zero-cost in current skew; usually a small debit |
| 3 | GBP/USD | Bullish 25RR | Short 25Δ Put | Long 25Δ Call | +3 to +8 (credit) | 0 | Same as #1 | ~1000–1500 pips uncapped | Put skew (cable vol asymmetric post-Brexit) | BoE hawkish cycle | Same as #1 | Cable IV spikes on UK data; size down on NFP/CPI weeks |
| 4 | GBP/USD | Bearish 25RR | Short 25Δ Call | Long 25Δ Put | 0 to +2 | 0–20 pips | Same as #2 | ~900–1400 pips uncapped | Roughly neutral | USD risk-off | Same as #2 | Near-zero-cost more achievable here than EUR/USD |
| 5 | USD/JPY | Bullish 25RR | Short 25Δ Put | Long 25Δ Call | −5 to −2 (debit) | 20–50 pips | Capped at debit paid | Debit only (~50–150 pips equivalent) | Call skew (JPY puts = USD calls are expensive; carry demand) | BoJ yield cap intact, carry trade on | Buy stop at call strike; fund with short put synthetic via sell-stop | Expensive because the market pays up for USD/JPY upside; expect a debit |
| 6 | USD/JPY | Bearish 25RR | Short 25Δ Call | Long 25Δ Put | +5 to +12 (credit) | 0 | (Spot − Call Strike) × Lot | ~800–2000 pips uncapped | Call skew makes this a credit | BoJ intervention risk, carry unwind | Sell limit at call strike; buy stop-limit at put strike | Best credit structure in G10 currently; short call leg is high-risk if carry resumes |
| 7 | AUD/USD | Bullish 25RR | Short 25Δ Put | Long 25Δ Call | +1 to +4 | 0–10 pips | Same as #1 | ~600–900 pips | Mild put skew | China stimulus, commodity bid | Same as #1 | Correlates with iron ore; check CNH overnight before entry |
| 8 | XAU/USD (Gold) | Bullish 25RR | Short 25Δ Put | Long 25Δ Call | −3 to +2 | 0–30 points | Uncapped below put strike | ~3,000–8,000 pts uncapped | Call skew in risk-off (gold calls expensive) | Real yield falling, USD weakening | Buy stop at call strike (OCO); stop-loss cluster below put strike | Gold options skew flips fast; monitor MOVE index as proxy for gold IV |
| 9 | XAU/USD (Gold) | Bearish 25RR | Short 25Δ Call | Long 25Δ Put | +2 to +6 | 0–20 points | Uncapped above call strike | ~5,000–15,000 pts uncapped | Call skew means credit on bearish RR | USD strength cycle, real yield rising | Sell limit at call strike; pending buy at put strike | Rare to get a large credit here; when you do it signals extreme call demand = caution |
| 10 | EUR/JPY | Bullish 25RR | Short 25Δ Put | Long 25Δ Call | +4 to +10 (credit) | 0 | Same as #1 | ~1200–2000 pips | Strong put skew (risk-off fear) | Carry trade expansion | Same as #1 | Cross-pair; margin req higher in MT5; watch both EUR and JPY individually |
| 11 | USD/CAD | Bearish 25RR | Short 25Δ Call | Long 25Δ Put | 0 to +3 | 0–25 pips | Uncapped above call | ~800–1200 pips | Roughly symmetric; mild call skew | Oil price rally, CAD bid | Same as #2 | Skew tracks WTI correlation closely; oil up = put skew increases |
| 12 | NZD/USD | Bullish 25RR | Short 25Δ Put | Long 25Δ Call | +2 to +5 | 0–15 pips | Same as #1 | ~500–800 pips | Mild put skew | RBNZ hawkish, risk-on | Same as #1 | Lower liquidity = wider spreads; use limit orders only, never market |
| 13 | WTI Crude (USOil) | Bullish 25RR | Short 25Δ Put | Long 25Δ Call | −2 to +4 | 0–20 cents/barrel | Uncapped below put; ~$3–8/barrel equivalent | Significant ($300–800 per contract) | Symmetric to mild put skew | Supply cut cycle, OPEC+ bid | Buy stop at call strike; stop cluster below put strike (OCO) | Crude IV is high; structure is expensive; reduce lot size vs FX |
| 14 | EUR/USD | Skewed 10Δ/25Δ Bullish RR | Short 10Δ Put | Long 25Δ Call | −8 to −3 (debit) | 30–80 pips | Capped at debit | Debit only | N/A — asymmetric by design | When you have high conviction on direction but want limited downside | Same as #1; tighter stop on sold put | Safer structure: short leg is deep OTM; long leg closer ITM; net debit but risk is defined |
| 15 | EUR/USD | Skewed 25Δ/10Δ Bearish RR | Short 25Δ Call | Long 10Δ Put | +3 to +8 (credit) | 0 | Uncapped above call; put provides limited hedge | Call: ~600–1000 pips uncapped; put hedge only activates far OTM | N/A — asymmetric | When you want income from selling rich calls with partial hedge | Sell limit at call strike; buy limit at far OTM put strike | More aggressive than standard 25RR; popular in low-rate credit-seeking environments |
Key Calculations: Quick Reference
These are the formulas a MetaTrader 5 trader needs to implement risk reversal logic in any EA, spreadsheet, or AI scoring pipeline.
1. Breakeven at Expiry (Long Leg)
Bullish RR Breakeven = Call Strike + Net Debit Paid (if debit)
Bullish RR Breakeven = Call Strike (if credit — already profitable at expiry if above strike)
Bearish RR Breakeven = Put Strike − Net Debit Paid (if debit)
Bearish RR Breakeven = Put Strike (if credit)
2. Max Loss (Naked Short Leg)
Bullish RR Max Loss = (Put Strike − Spot at Expiry) × Contract Size × Lots
Bearish RR Max Loss = (Spot at Expiry − Call Strike) × Contract Size × Lots
Note: In MT5 synthetic replication, your "max loss" is approximated by your stop-loss placement
on the naked-leg pending order. There is no true expiry; you must manage the position actively.
3. Position Sizing Formula (Risk-Based)
Max Acceptable Loss ($) = Account Balance × Risk % (e.g. 1%)
Lot Size = Max Acceptable Loss / (Stop Distance in pips × Pip Value per Lot)
For EUR/USD standard lot: pip value ≈ $10/pip
For XAU/USD standard lot: pip value ≈ $1/point (varies by broker — verify in MT5 contract specs)
4. Net Premium in Pips (Estimating Cost of Structure)
Net Premium = IV_put × Δ_put_vega − IV_call × Δ_call_vega
(Simplified: use broker's spread on OTM pending order fills as a proxy for premium cost)
5. Skew Signal (Is It Worth Entering?)
If 25RR > 0: Puts are richer than calls → Bullish RR is a credit → Favorable for bulls
If 25RR < 0: Calls are richer than puts → Bearish RR is a credit → Favorable for bears
If |25RR| < 0.5 vol points: Market is roughly neutral → Both structures cost roughly equal
You can approximate 25RR directionally in MT5 by observing whether your broker's OTM sell-stop (put-equivalent) fills faster and tighter than OTM buy-stop (call-equivalent) orders at equivalent distances from spot.
How This Dataset Was Built
Sources consulted:
- CME Group FX options data (publicly available 25Δ risk reversal historical series for G10 pairs)
- CBOE Gold ETF (GLD) options skew reports
- Refinitiv/LSEG 1-month implied volatility cones for major FX pairs (2022–2024)
- Deriv.com MT5 options product specifications (one of the few retail brokers with native MT5 options)
- IC Markets, Pepperstone, and FP Markets MT5 contract specification sheets (for pip values and margin)
- Practitioner notes from the CME's "FX Insights" educational series
What this dataset does NOT include:
- Live implied volatility surfaces (these change daily — use a live data feed or your broker's options chain)
- Specific trade recommendations or signals
- Backtested performance figures (the MT5 strategy tester cannot natively simulate vanilla options expiry P&L)
How to extend this dataset for AI use:
- Feed the "IV Skew Direction" and "Best Regime" columns into an LLM as context for classifying current market conditions
- Use the max loss formula columns to build an automated position-sizing EA in MQL5
- Pair with economic calendar data to score setups by upcoming event risk before entry
What To Do With This
If you're building a systematic approach to trading on MT5, risk reversals are one of the cleaner ways to take a directional view with a defined (or at least bounded) cost structure. The dataset above is a starting point — a scaffold you can pipe into a spreadsheet, a Python backtesting script, or an MQL5 EA.
A few concrete next steps:
Verify the skew direction on your pair today — the "IV Skew Direction" column tells you the typical skew, not today's skew. Check a free tool like Market Chameleon for equity proxies, or ask your broker's options desk for a 25RR quote.
Paper trade the synthetic version first — set up the pending order structure in MT5's demo environment. Watch how your stop-loss approximation of the short leg behaves during a news spike.
Size to 0.5% risk per leg — until you've run at least 20 of these synthetically, cut position size in half. The naked short leg in a standard 25RR is genuinely dangerous if you don't manage it.
Related Tools on StackedThink
If you're building a systematic trading practice, risk management bleeds into everything — including how you structure your week and track your decisions. A few things on this site that are more relevant than they might first appear:
- The Weekly Focus Planner is worth using as a trading journal scaffold — one weekly review, five daily setups, clear decision fields. Works better than a blank notebook for systematic thinkers.
- The Weekly Focus Savings Calculator can be adapted to track weekly P&L targets alongside savings goals — useful if you're trading with a portion of a broader financial plan.
- Browse all tools to see what else is being built in the experimentation pipeline — including future MT5-adjacent calculators.
Get the Full Dataset (CSV + MQL5 Template)
The table above is the free reference layer. The downloadable pack includes:
- CSV version of all 15 setups (import directly into Excel, Python, or any AI pipeline)
- MQL5 EA skeleton — a commented template that implements the synthetic replication logic for rows 1–6, with position sizing calculations pre-wired
- Google Sheets version with conditional formatting that highlights which setups are credit structures vs debit structures based on your inputted net premium
- Prompt pack — 8 GPT/Claude prompts for using this dataset as context to score live setups against current market conditions
→ Unlock the full MT5 Risk Reversal Pack — one-time purchase, instant download.
Priced for indie traders, not institutions. No subscription, no upsell sequence — just the files.
StackedThink ships small, specific experiments and measures what works. This dataset is one of them. If it's useful, the MQL5 and AI tooling around it grows. If it's not, we retire it and build something else. That's the honest version of how this works — you can read more about the site here.