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Nov 04 - 08:55 AM

GBP/USD - Downside Option Risk Premiums Highest Since Brexit

By Richard Pace  —  Nov 04 - 06:36 AM
  • FX option implied volatility premiums hold firm for GBP puts vs calls

  • That's the right to sell GBP/USD versus buy it

  • Even when GBP reached 1.3834, options flagged setback risk nL1N2RE0JR

  • 1-month 25 delta risk reversals show 0.8, 3-month 1.0 premium for puts

  • These are the highest downside risk premiums since Brexit in Dec 2020

  • Those with limited downside spot view can take advantage of this premium

  • RKO options trade significant discount to vanilla GBP puts nL1N2RT0NP

  • BoE demanding highest GBP/USD FX volatility premium since March nL1N2RV0AN



For more click on FXBUZ


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

Source:
Refinitiv IFR Research/Market Commentary

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