• Overnight expiry GBP/USD FX option implied vols are higher since including the UK budget and US Fed

• The gains show that the market is not ruling out increased volatility from these impending events

• Risk reversals have increased their vol premium and demand for GBP puts over calls this week

• Moves not excessive, but do suggest traders are more concerned about GBP/USD losses than gains

• Benchmark 1-month 25 delta risk reversals from 0.55 to 0.7 - recent highs since May were 1.0 on Oct. 1
GBP/USD 25 delta FX option risk reversals

(Richard Pace is a Reuters market analyst. The views expressed are his own)