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
Source:
Refinitiv IFR Research/Market Commentary