• Overnight FX option expiry includes Thursday's BoE policy announcement and any related GBP volatility

• EUR/GBP overnight implied vol gives a cleaner read on related GBP risk as GBP/USD distorted by Fed inclusion

• EUR/GBP overnight implied vol only marginally higher from 4.0 to 4.5 — a break-even of 14 to 17 GBP pips either way

• Compared to April 30 BoE: overnight vol nearly doubled from 3.5 to 6.5 when including the event — break-even 12.5 to 24 pips

• Preference seems to be for options expiring early next week to capture any GBP reaction to Thursday's Makerfield by-election result

• Worth noting that EUR/GBP broader implied volatility is at multi year lows - 1-month expiry just 3.1

• Low implied vol reflects low realised volatility inside 0.8600-0.8750 in 2026 - BoE clearly not expected to break that range
EUR/GBP FXO implied volatility


GBP Overnight expiry FXO implied volatility


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