​FTSE Co-Variance, Vol Buying Emerges As Brexit Concerns Escalate

Increased expectations that a referendum on the United Kingdom’s European Union membership will occur prior to September has driven FTSE 100 (UKX) and sterling spot lower and implied volatility higher. Although most traders expect sterling to bear the brunt of derivatives flow to trade Brexit, vol buying in UKX Sept. expiry has found interest. Variance swap strategies in UKX have also increased as portfolio managers look to position for increased volatility in U.K. equities. Rob McGlinchey reports.