LONDON: A gauge measuring the difference between expected swings in the British pound between three and six-month maturity buckets widened to its highest levels in more than three years as investors anticipated more volatility in the coming months.
Implied volatility gauges which measure expected swings in the pound in the coming months have risen after a battle to succeed Prime Minister Theresa May got underway.
Options markets are indicating increased jitters about the Oct. 31 deadline, with implied volatility contracts expiring after that date trading at a significant premium to those expiring earlier.
Currency markets are concerned that a new British Prime Minister would have relatively less time to negotiate another deal with the European Union which has already said it will not renegotiate a withdrawal deal before that date.
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