• GBP/USD overnight expiry implied volatility premium/break-even 61 USD pips

• Same price seen before 1 Sept NFP after minimal additional risk premium

• Suggests a perceived lower risk of additional realised volatility

• GBP/USD recovery brings it within a massive FX option expiry zone

• Strikes at 1.2175, 1.2200, 1.2225, 1.2250 expire 10-am New York Friday

• Related cash hedging flows can help to limit realised volatility post NFP

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