Exclusive interviews with leading policymakers that convey the true policy message that impacts markets.
Reporting on key macro data at the time of release.
Real-time insight on key fixed income and fx markets.
- Emerging MarketsEmerging Markets
Real-time insight of emerging markets in CEMEA, Asia and LatAm region
- MNI ResearchMNI Research
Actionable insight on monetary policy, balance sheet and inflation with focus on global issuance. Analysis on key political risk impacting the global markets.
- About Us
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.