Pound One-Month Volatility Gauge Surges to Highest in Six Years
- Measure exceeds 3-month volatility by most since global crisis
- Sterling was supported earlier after Ashcroft poll on Brexit
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The pound’s one-month volatility versus the dollar jumped to its highest level since 2010, as the measure began to reflect trading activity in the days following the results of Britain’s June 23 vote on whether to leave the European Union.
The gauge of price swings, implied from options, exceeded a similar three-month measure by the most since the 2008 financial crisis. The surge signals heightened investor concern about short-term risks to sterling, and it mirrors action seen before last year’s general election and 2014’s Scottish referendum.