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Jun 15 - 08:55 AM

GBP/USD - Downside Risk? According To FX Options

By Richard Pace  —  Jun 15 - 06:42 AM
  • FX options show minimal concern about GBP/USD breaking substantially lower

  • Prices marginally higher, but more a reflection of Fed volatility risk

  • 1-month risk reversal premium for GBP puts over calls up tiny 0.05 to 0.35

  • They've held a 0.4-0.3 downside volatility premium since mid April

  • 1-month implied volatility 5.95 vs 5.7 pandemic low Fri (multi year low 5.5)

  • Option traded volumes light, minimal interest to cover range breakout

  • Stops touted 1.4050, much bigger at 1.4000 - option barriers at 1.4000, too

  • If 1.40 feels threatened, would expect rising option premium to reflect that

For more click on FXBUZ


1-3-12-Month GBP/USD risk reversals Click here

GBP/USD 1-month expiry implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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