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Mar 03 - 02:55 AM

GBP/USD - Expected GBP/USD Reaction To UK Budget - According To Options

By Richard Pace  —  Mar 03 - 02:17 AM
  • Majority of Wed's UK budget measures already reported, so no surprises

  • Suggests GBP markets unlikely to react, and options confirm that

  • Overnight expiry implied volatility is traders guess of actual volatility

  • At 11.0 on London open, it's same level it was before budget capture

  • Break-even for simple vanilla straddle is $64-pips either direction

  • 1-month implied volatility 8.05 vs 8.3 Tues and 9.5 peak last Fri

  • Still well above recent low and fair value - nL2N2L00Z0

For more click on FXBUZ

Overnight expiry GBP/USD option implied volatility Click here

Refinitiv IFR Research/Market Commentary


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