Fx vols finally return as Scottish referendum flows spike

sterling for GC web
By Beth Shah
11 Sep 2014

Fx volatility, particularly in sterling, has increased on the back of increased options trading due to the uncertainty of the outcome of the upcoming Thursday Scottish referendum. This comes following months of historically low fx vols and a continued slump in trading volumes.

According to fx options traders, market participants have been buying sizeable amounts of one-month risk-reversals on the £ against the dollar, with notionals over £1.5bn at 2.7% Thursday morning, up from 0.3% last Monday, displaying how much volatility has increased over recent days, according to market participants. Shorter-dated ...

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