Two-month sterling/dollar implied volatility tumbled on Wednesday to approach three-month lows as concerns of a no-deal Brexit on the scheduled EU departure date of March 29 eased, while two-week implied volatility nudged higher.
Two-month vol has fallen roughly one vol in the past 24 hours to 10.2 vols after British Prime Minister Theresa May offered lawmakers the chance to vote on delaying Brexit. If parliament fails to approve May’s Brexit deal on March 12, it will vote on March 14 to extend the deadline.
Traders started hedging risks around those dates, options markets showed, with 2-week implied vol rising to 10.7, up 0.7 vol on the day.
Source : Reuters