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Apr 15 - 08:55 AM

GBP/USD - REFILE-BUZZ-FX Options Post Highest GBP/USD Downside Risk Premium Since July

By Richard Pace  —  Apr 15 - 06:35 AM

Changes back to still on line 2

  • Lower spot and risk aversion boosted GBP/USD option premiums last week

  • They remain elevated despite a de-escalation of geopolitical risk

  • GBP/USD still below 1.25 Monday, seemingly limiting further option setbacks

  • Benchmark 1-month expiry implied volatility spiked 6.2 to 7.1 Friday

  • Its 6.8 now and was trading post Brexit lows at 5.4 in mid March

  • 1-month risk reversal premium for GBP puts over calls 0.35 to 0.7 since Fri

  • That's its higjhest downside over upside strike vol premium since July

  • Price shows market wary of more spot weakness that would raise option cost

For more click on FXBUZ

Refinitiv IFR Research/Market Commentary


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