Under this series, we are to present our readers not only our views and analysis but best of the world. So here it is –

This article is not our original but an inspired one, from one the simple but nicest and brightest piece of analysis we came by in blog “FT Alphaville”, where Giles Wilkes explains how much Pound could move on the D-day, at least how much move market is pricing.

Anyone who have access to the blog, here is the link - http://ftalphaville.ft.com/2016/03/29/2157813/just-how-volatile-will-june-23rd-be-for-sterling/

Those who do not check out the extracts below -

Anyone, who trades or interested in Pound could easily recall last week’s violent move in GBP/USD to the downside and more so in the options market (we did a story on that last week).

On Wednesday, 23rd March, 3 month implied volatility in Pound jumped 3.5% to 14.5%. Such move is rare and very big deal in options market.

So what happened?

On that particular day, for the first time June 23rd got included in three month options.

So, inclusion of that one day turned out to be that violent.

Mr. Giles ran basic Monte Carlo simulation and the result was quite astonishing. Market was pricing a one in three possibility that Pound will move by 6.5 cents on that day, which 650 pips for GBP/USD.

Doesn’t look like to be a pretty day?

We however have some points to add here –

• Mr. Giles assumed the move to be a symmetric one (same move up or down), may not be the case given the calls were on that day were cheaper by at least 4.2%.

• Moreover stay vote is economically status quo, whereas no votes have larger uncertainties associated.