By Richard Pace — Apr 16 - 06:40 AM
Broader FX option volatility surges amid risk aversion/USD gains
1-week GBP/USD implied volatility trades 8.0, 1-month 7.35 - highs since Jan
1-month up from 6.8 Monday and post Brexit lows 5.4 mid March
Risk reversal vol premium for USD calls over puts doubles to high since July
Shows GBP/USD traders are more wary of GBP/USD downside vs upside
Cable drops to 1.2409 (5-month low) after disappointing UK jobs data Tues
Traders alert for UK CPI Wednesday - headline f/c 3.1% vs 3.4% prior
Overnight expiry implied volatility holds firmer levels around 12.5
Premium/break-even for straddle is 65 USD pips in either direction
For more click on FXBUZ
Source:
Refinitiv IFR Research/Market Commentary