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Jul 21 - 07:55 AM

GBP/USD - Option Premiums Reinforce Mild Risk Recovery

By Richard Pace  —  Jul 21 - 06:06 AM
  • Risk stages mild recovery, USD eases, GBP toward Asia daily high 1.3642

  • Options seem happy to shed some of the recent volatility risk premium

  • Benchmark 1-month implied volatility 7.0 from 7.25 - was 6.5 last week

  • Additional premium for GBP put options has peaked, too

  • 1-month 25 delta risk reversals 0.5, 3-month sold 0.75 GBP puts over calls

  • However, options still elevated and cash offers touted mid 1.36's

  • Markets still wary and aren't ruling out further GBP weakness/USD gains



For more click on FXBUZ


GBP/USD 1-week and 1-month implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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