• Like all options - GBP/USD has priced out Fed risk, prices lower Thurs

• FX still quite choppy so limits deeper implied volatility declines for now

• Overnight implied volatility 12.0 vs 16.5 pre Fed, just above recent average

• Break-even for simple vanilla straddle $70-pips in either direction

• BoE expected to leave policy and QE unchanged, unlikely to surprise

• However, risk reversals premium for downside over upside strikes holds up

• Suggests market still feels GBP/USD vulnerable to further weakness

  
  

  
  

  
  

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