Pound Volatility Premium Eyes All-Time High on `Brexit': Chart

‘Brexit’ and Risks to the Pound

Six-month option structures for the pound trade at a premium of 5.3 percentage points between implied and realized volatility, the highest level since October 2008 in the wake of Lehman Brothers Holdings Inc.’s collapse. Sterling volatility has picked up after the currency dropped below $1.40 for the first time in more than six years.

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