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Dec 07 - 06:55 AM

GBP/USD - Faces A Chasm Below 1.30 - Options Covering That Risk

By Richard Pace  —  Dec 07 - 04:40 AM
  • Big stops and option barriers reside at 1.30, short gamma below

  • Means 1.3000 break could accelerate, and option traders are clearly nervous

  • 1.30 GBP puts being bought - allow holders to sell GBP at 1.30 at expiry

  • 1-month 1.3000 just paid 14.65 implied volatility - a very high price

  • That option has gained over 2.0 implied vols in less than a week

  • 1-month expiry implied volatility up 2.0 since Tues - highs since March

  • Ignoring March panic- Premium for 1-month GBP put options highs since 2016

  • Related comment nL1N2IN0FT


1-month expiry GBP/USD and EUR/GBP implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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