• Benchmark 1-month GBP/USD FX option expiry date jumps from June 18 to June 24

• Includes the result of the Makerfield by-election - Andy Burnham win would allow him to contest Keir Starmer for UK PM

• However, the related implied volatility increase was minimal - from 6.7 to 6.95 and already fading

• Dealers equate that to a 5.0 vol addition on a regular overnight expiry price that captures the initial GBP/USD reaction

• Not excessive by any means, but a recognition that the by-election result could still inject some short term GBP volatility

• However, recent sales of GBP/USD FXO butterfly spreads reflect current low GBP/USD volatility and range break-out risks
GBP/USD FXO implied volatility


(Richard Pace is a Reuters market analyst. The views expressed are his own)