By now most investors have probably got tired of the Brexit drama. We won’t go into details about what and how, but one thing sure is the GBP 3 month ATM volatility continues to go higher.

As we approach the Brexit deadlines there is more upside to rising GBOP volatility. We are seeing GBP volatility currently just take out 2018 highs as we trade at levels last seen in March 2017.

Source: Bloomberg

Realized GBP vol is not that high as can be seen by the chart below, but all uncertainty will continue to see GBP volatility have a firm bid. Chart showing 30, 50 and 100 day realized vols.

Source: Bloomberg

Direction and pace are two different things. The GBP has over past gained some strength, but note the negative short term trend right around these levels.

Source: Bloomberg

The entire Brexit drama is a an asymmetric risk event that is hard to predict and trade. We see it mostly as guessing games. Below are key dates to keep track of:

Sept. 30: Conservative party conference
Oct. 17-18: EU summit.

Oct. 31: Original deadline
Nov: Not confirmed, but possible emergency summit

Dec. 13: EU summit
March 29, 2019: D Day (U.K. leaves EU)