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Sep 03 - 08:55 AM

GBP/USD - No Panic To Hedge Deeper GBP/USD Declines - Yet

By Richard Pace  —  Sep 03 - 07:25 AM
  • Despite setback from 1.3481, options show no panic to hedge deeper losses

  • Minimal interest to buy downside options, or increase their premiums

  • Implied volatility elevated - but actual volatility justifies for now

  • Implied vol premium for GBP calls (topside) via risk reversals, intact

  • 1-week risk reversals bid for GBP calls over puts since early July

  • 1-month risk reversals regain/hold GBP call premium - 1st time since March

  • Return to GBP puts may signal a change in sentiment - but not apparent yet

GBP/USD 1-week and 1-month risk reversals Click here

Refinitiv IFR Research/Market Commentary


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