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Oct 13 - 08:55 AM

GBP/USD - Near Term Drop Risk Premium Fading - Options Show

By Richard Pace  —  Oct 13 - 06:44 AM
  • Recent spike in GBP/USD FX options premiums for GBP puts over calls fading

  • 1-month risk reversals doubled to 0.85 in early October, now back below 0.7

  • Implied volatility peaking too - 1-month stalling at 7.2 from 7.0 this week

  • Despite GBP faltering above 1.3650, downside resumption wasn't forthcoming

  • IF CPI and Fed mins don't reignite FX volatility, implied vols can ease more

  • However, 3-month risk reversals retain a strong 0.85 premium for GBP puts

  • GBP put option premium shows dealers more wary of GBP falling, than gaining

  • Correlation should increase volatility if GBP/USD falls, and vice versa






For more click on FXBUZ


GBP/USD benchmark 1-month expiry option implied volatility Click here

1-3-month GBP/USD option risk reversals Click here

Source:
Refinitiv IFR Research/Market Commentary

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