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BNP Paribas Issue New GBP Trade Recommendation

STERLING
  • Sell 6m GBPUSD straddles at 11 vol points, buy 6m USDJPY straddles at 8.5 vol points
  • Sell 6m/6m GBPUSD FVA at 9.95 vols, buy 6m/6m USDJPY FVA at 8.1 vols

They write that risk-premia around the October 15/16th Brexit summit rallied sharply in early September, but have since come under pressure.Meanwhile, GBP-based correlations also rallied strongly in early September, especially in the front-end.

However, they are yet to normalize and remain near their post-2015 highs.

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