With just hours to go to the UK Prime Minister Theresa May’s speech, which is scheduled at 11:45 GMT today, the implied volatility in the pound has hit the highest level since the Brexit referendum, which was held in the month of June last year. The financial market, worried about that the government might go for a “Hard Brexit”, which would mean a loss of access to the single market without any tariffs. While the pound declined below 1.20 handle against the dollar, the lowest level in three months, one week implied volatility hit almost 18 percent.

Implied volatility depicts the demand for options by investors in order to hedge against the volatile swings in the currency.  The one-month volatility rose too, to more than 13 percent, but it indicates that investors expect a much greater volatility in the near term. However, after declining below 1.2 against the dollar, the pound has recovered and currently trading at 1.21 against the dollar.