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Oct 30 - 12:12 PM
GBP/USD - Options Signal Calm Before Election Storm
First appeared on eFXplus on Oct 30 - 09:50 AM
  • 1-month Cable implied vol still falling, but buyers of 2-3-month vols

  • Spread between 1-2-month now 1.8 from 0.4 vols this week - big move

  • Shows dealers sell previously acquired near term GBP volatility risk premium

  • 1-month vol down over 6.0 vols in 2-weeks, 2-3-month just half that loss

  • Means volatility expected to be subdued in run up to Dec. 12 election

  • Higher vols 2-3-month show post election volatility risk much greater

  • Related comments nL2N27E05XnL2N27F071


GBPUSD option vols: Click here

Source:
Refinitiv IFR Research/Market Commentary

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