LONDON: The cost of hedging against sharp swings in the British pound in the near term jumped on Tuesday, on track for its biggest one-day rise in three years as investors sought to insure against the risk Scotland breaks away from the United Kingdom.
One-month sterling/dollar implied volatility rose to around 6.10 percent, its highest level in five-months, up from 5.10 percent on Monday.
A YouGov poll late on Monday showed support for the pro-independence "Yes" campaign had risen to 47 percent, a four point gain since mid-August and up eight points since the start of the month. The lead held by the "No" campaign to reject independence has slumped to 6 points from 22 points at the start of August.
Scotland holds its independence referendum on September 18.
One-month risk reversals, a gauge of demand for options on a currency rising or falling, showed a greater bias for sterling weakness, trading at 0.5 vols and their most bearish skew in almost a year.
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