GBP/USD: Participants Being Opportunistic in Adjusting Exposure - BBH
GBP/USD: Participants Being Opportunistic in Adjusting Exposure - BBH
Analysts from Brown Brother Harriman see market participants being
opportunistic in adjusting sterling exposures and affirm that data
suggests that in the options market puts are being bought.
Key Quotes:
“Sterling
has been in a clearly identifiable range since the beginning of March
between $1.40 and $1.45. Three month implied volatility remains elevated
near 16%, which is the highest since 2010.”
“That suggests the
demand to buy options rather than sell. The puts are going for a
near-record premium over calls, suggesting that the options being bought
are puts. Implied volatility has softened a little today, and the
premium for puts has eased slightly today. We would not read much into
this price action.”
“We see market participants being
opportunistic in adjusting sterling exposures. The first wave of
position adjustment seems over as the event moved within the three-month
time horizon, a sweet spot for many investors. Sellers of sterling
seemed to have stepped back, perhaps discouraged when sterling
approached $1.40. However, sellers reemerged earlier this week when
sterling recovered to $1.4360. Again today, sellers retreated when
sterling dipped below $1.41.”
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