###POV: EUR/GBP VOL MARKETS JUST......>

EURO-STERLING: ###POV: EUR/GBP VOL MARKETS JUST GETTING STARTED

-Despite EUR/GBP call vols rising sharply over the past week or so (EUR/GBP 3m

Smile curve is the most skewed in favour of calls since at least the beginning

of the year), risk reversal measures may still have further to climb as traders

become more cognizant of the risks surrounding a 'no-deal' Brexit.

-1-yr riskies (one of the contracts that capture 'Brexit day' on March 29th

2019) today touched the highest since late 2016 after Liam Fox warned of the

odds on a 'no-deal' outcome. Nonetheless, the skew in favour of EUR/GBP calls

would have to more than double to rival 2016's highs of 3.265 vol points.

-Butterflies have begun to take this into account: the 10-delta 1y butterfly

contract touched the highest in a year today, but would have to almost double to

rival the levels seen in 2016.

-Due to this week's run-up in implied vols, the ratio between 1Y realised and

implied vols has dropped to the lowest since 2015, which may force those looking

to hedge any fallout to seek low, or no, premium options such as flexi-forwards

or options with KO barriers.