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Mar 02 - 04:55 AM

GBP/USD - Downside Option Risk Premiums Lowest In A Year

By Richard Pace  —  Mar 02 - 03:00 AM
  • Implied volatility is the option market gauge of actual volatility

  • There's typically a premium for options in one direction versus the other

  • Risk reversals are option contracts that identify that premium

  • In GBP/USD its for GBP puts over calls (downside strikes)

  • However, its currently testing new 1-year lows in 1-3-month expiries

  • Suggests dealers are less bearish on GBP vs USD, despite current sub 1.20

  • Broader implied volatility falling too - consistent with range trading

  • However, possible value before big data, Fed and BoE nL1N3580KO

  • UK bank still eyes 1.3000 view nL8N3573KF. Related nL1N3581GE

For more click on FXBUZ

Refinitiv IFR Research/Market Commentary


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