The UK referendum is three months away. Three-month options are a common benchmark for various market segments; from speculators, to fund managers to corporations. Events over the past week have raised the risks that the UK votes to leave the EU. The market has responded forcefully today, and even if you only follow the spot market, what is happening in the options market is significant. First, three-month volatility has jumped 2.6 percentage points to 14.5%. It appears to be the largest single-day increase in sterling volatility since 2001. The level is the highest since 2010. The move in the ... READ MORE
