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Jul 28 - 06:55 AM

GBP/USD - FX Options Gauge Fed Volatility Risk To GBP/USD

By Richard Pace  —  Jul 28 - 04:47 AM
  • Broader USD and FX risk to GBP/USD is reflected in the FX options market

  • Overnight expiry now Thursday from Wednesday 10-am New York, so captures Fed

  • Overnight implied volatility up from 9.0 to 12.0 - last seen before June BoE

  • Premium for straddle $69-pips, from $52-pips break even - either direction

  • Benchmark 1-mth expiry implied vol 7.0 from 6.8 Tue (peaked 7.25 last week)

  • Risk reversals hold 0.425 GBP puts over calls - downside caution remains

  • Related nL1N2P40FEnL1N2P30KI

For more click on FXBUZ


GBPUSD overnight vol Click here

1-3-Month GBP/USD risk reversals Click here

Source:
Refinitiv IFR Research/Market Commentary

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