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Markets still clearly happy to continue....>

STERLING
STERLING: Markets still clearly happy to continue selling GBP, with GBP/USD
hitting fresh session lows in early European hours and re-targeting the worst
levels of the year at $1.2382. Focus turns to the announcement of the new
Conservative party leader and Prime Minister at 1145BST/0645ET, after which the
new leader will make their first speech and Theresa May will formally step down.
-GBP/USD implied vols have picked up further for the front-end tenors, with
maturities out to six months seen higher (most noticeably in the contracts that
capture the so-called Brexit Day on October 31st. The most interesting options
trade crossing so far today were trades consistent with a Gbp30mln $1.2395
straddle rolling off on August 1st.
-Of note, over $700mln in GBP/USD put options are due to roll-off at the NY cut
today at the $1.24 handle, which may be adding some further pressure to GBP
spot.

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