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Mar 18 - 06:55 AM

GBP/USD - FX Options Still Wary Of GBP/USD Setbacks With BoE Focus

By Richard Pace  —  Mar 18 - 05:08 AM
  • 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




For more click on FXBUZ


Overnight expiry GBP/USD implied volatility Click here

GBPUSD 1-week and 1-month implied volatility Click here

1-3-12-Month GBP/USD risk reversals Click here

Source:
Refinitiv IFR Research/Market Commentary

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