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Jul 01 - 05:55 AM

GBP/USD - Volatility Risk At Crisis Low, Option Hedge Flows Dominate

By Richard Pace  —  Jul 01 - 04:40 AM
  • DTCC data shows 500-mln 1.2400 GBP/USD option expiries Wed nL1N2E8099

  • Thursday's 10-am NY cut has 500-mln 1.2350 and 600mln 1.2450

  • Related hedging can help contain GBP/USD in to Fri's U.S holiday

  • Falling implied volatility signals lower perceived actual volatility risk

  • Benchmark 1-month implied vol tests crisis lows at 8.6 vs 10.9 mid June



1-month Cable vol Click here

Cable option expiries Click here

Source:
Refinitiv IFR Research/Market Commentary

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