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Options Pricing a Sizeable Swing in GBP Monday
No surprise to see GBP implied vols surging further this morning, with the sharpest rise seen in the short-end. One week vols, naturally capturing the Sunday night deal deadline have risen north of 20 points, to the highest level since March's COVID crisis (although this pales in comparison to rates north of 50 points as the 2016 referendum results rolled in...).
- For options pricing for a Monday expiry after the deal deadline has passed, GBP/USD implied breakevens sit at just over 210 pips (sizeable, relative to a 60 pip breakeven for the same contract in EURUSD).
- Markets see a 24% implied probability of GBP/USD trading below 1.30 by the Monday close and a 19% probability of trading above 1.35.
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.