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Markets Seek Further Downside Protection Amid GBP Slide

GBP
  • For a second consecutive session GBP hedging markets are highly active, with options notional comfortably ahead of average for this time of day. Once again, the trading is driven by downside protection, with over $4 in GBP/USD puts trading for every $3 in calls.
  • While focus on Tuesday was on 1.34 put strikes, attention seems to be shifting lower as 1.3350 puts are among the most traded in early NY hours. Given the more active markets, no surprise to see implied vols lurching higher for a second session to clear the July highs to touch the highest levels since mid-May.
  • In futures space, yesterday saw GBP turnover 60% ahead of the daily average. Today's trade has been more muted, with trade just ahead of the norm for this time of day. Volume spikes occurred at the London open low of 1.3505 as well as the NY low at 1.3441.
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com

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