Sterling volatility has reached a six-year high as the EU referendum looms, while nearly all other volatility measures are also climbing, according to S&P Dow Jones Indices. The implied volatility of the CME/CBOE FX GBP Volatility index rose by a third compared to last month to 15.79, as the June referendum date came within the one month reference period for the sterling’s volatility measure.
Tim Edwards, director of index investment strategy at S&P Dow Jones Indices said: “Given the betting markets are indicating that the probability of a Brexit is no higher than 33%, the markets are anticipating an unusually rocky ride.
[Source: Investment Week - Natalie Kenway - May 19, 2016]
