GBP Implied Volatility: 2008, 2010 & Today

The analysis highlight the predominantly inverse relation between GBPUSD and 1-week volatility in each of the recent major episodes of surging volatility. The deepening sell-off in global markets on October 2008 — resulting from the escalation of the housing/subprime crisis, and the uncertainty from the 2010 UK General Election have acted as tremendous triggers for sterling volatility. Most specifically, GBPUSD tended to lead rallies in volatility by 2-4 weeks. Full analysis here

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