Sterling rate options have rallied this week, after remaining relatively subdued during the Brexit campaign, as polls showed a swing in favor of Britain leaving the European Union. The normalized implied volatility for options expiring in six months on two-year sterling interest-rate swaps, known as 6m2y swaptions, hit a 11-month high Wednesday of 70 annualized basis points. The gamma could face stiff resistance around the area after repeatedly failing to pierce through the 70 level since 2014.
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