The expiration date of the January option covers the UK budget announcement on October 28, and option pricing has begun to take into account the risk of this incident. The implied volatility of GBP/USD rose as high as 47 basis points to 5.96% during this period, the highest since July 29, and then the increase narrowed; the relative term premium showed that options trading prices were about 77 basis points higher than the realized volatility. The risk reversal indicator narrowed slightly, but it was still biased in favor of the US dollar, and the spread was 81 basis points. According to September data from depository trusts and clearing companies, traders have begun to establish positions against the risks associated with the UK budget, but the scale is not that large. So far this month, only about 6% of total nominal transactions have focused on options during the expiration window covering the week the budget was announced and the week after. However, in this part of the position, the share of bearish GBP reached 67%, while the share of bearish GBP in the entire sample was 55%, indicating that the bearish structure of the British pound was more concentrated during the event window.

The expiration date of the January option covers the UK budget announcement on October 28, and option pricing has begun to take into account the risk of this incident. The implied volatility of GBP/USD rose as high as 47 basis points to 5.96% during this period, the highest since July 29, and then the increase narrowed; the relative term premium showed that options trading prices were about 77 basis points higher than the realized volatility. The risk reversal indicator narrowed slightly, but it was still biased in favor of the US dollar, and the spread was 81 basis points. According to September data from depository trusts and clearing companies, traders have begun to establish positions against the risks associated with the UK budget, but the scale is not that large. So far this month, only about 6% of total nominal transactions have focused on options during the expiration window covering the week the budget was announced and the week after. However, in this part of the position, the share of bearish GBP reached 67%, while the share of bearish GBP in the entire sample was 55%, indicating that the bearish structure of the British pound was more concentrated during the event window.