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Feb 03 - 08:36 PM

GBP/USD - REFILE-BUZZ-GBP/USD Options Show Downside Risk Increasing - 1.29 Barriers Key

By Richard Pace  —  Feb 03 - 07:15 PM

Changes GBP put to call at start of line 5

  • 1.2900 is post UK election low, holds option barriers, stops below

  • Implied vols gain in conjunction with GBP call setbacks on risk reversals

  • Shows market growing more concerned with spot downside, increased 1.29 risk

  • Benchmark 1-month implied vol up to 6.35, from 5.75 setback lows post BoE

  • GBP call vol premium on 1-month risk reversal falls back to 0.1 from 0.25

  • 3-month risk reversals regain a small GBP put implied volatility premium

GBPUSD risk reversals: Click here

GBPUSD implied volatility: Click here

Refinitiv IFR Research/Market Commentary


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