Explore eFXplus Derived Data That Drive Results
A Data Partner of:
Refinitiv
Mar 20 - 06:12 AM

GBP/USD - Options Remain Alert For Another GBP Drop

By Richard Pace  —  Mar 20 - 04:25 AM
  • GBP has staged a decent recovery from new 1.1413 low to 1.1860 Fri

  • It's clearly still very illiquid, as is the options market

  • Benchmark 1-month implied volatility backs off Brexit day high nL1N2BC089

  • It's now 22 from 26 - but that's still extremely high - was 6.0 in Feb

  • Risk reversals show vol premium for option strikes in one direction vs other

  • 1-month contract 4.0 vol premium for GBP puts over calls (spot downside)

  • That's highest since June 2016 Brexit referendum - peaked 9.0 vols then

  • While elevated, it shows market makers very wary of renewed spot fall

Source:
Refinitiv IFR Research/Market Commentary

Subscription

  • eFXplus
  • End-user license agreement (EULA)

About

  • About
  • Contact Us

Legal

  • Terms of Service
  • Privacy Policy
  • Disclaimer
© 2020 eFXdata · All Rights Reserved
!