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GBP: Vols See First Labour Budget as Easily Digestible vs. Tory Predecessors

GBP

GBP overnight vols have been marked up to 10.2 points against the USD, and 7.9 points against the EUR as one-day options markets capture the post-UK budget expiry - this implies a ~60 pip swing in GBP/USD and ~30 pip swing in EUR/GBP into tomorrow's NY cut, exceeding the implied swing seen for this year's March Budget (6th March '24), but falling well short of the prevailing levels ahead of the Sep '22, Nov '22 and March '23 fiscal events. 

Figure 1: Prevailing GBP implied vols are notably lower for this Budget vs prior UK fiscal events 

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GBP overnight vols have been marked up to 10.2 points against the USD, and 7.9 points against the EUR as one-day options markets capture the post-UK budget expiry - this implies a ~60 pip swing in GBP/USD and ~30 pip swing in EUR/GBP into tomorrow's NY cut, exceeding the implied swing seen for this year's March Budget (6th March '24), but falling well short of the prevailing levels ahead of the Sep '22, Nov '22 and March '23 fiscal events. 

Figure 1: Prevailing GBP implied vols are notably lower for this Budget vs prior UK fiscal events 

Keep reading...Show less