Bounce in realised volatility is most likely upon event risks ahead of continuous streak of data flows during mid-June.

These significant economic event such as Fed's funds rate, BoE's monetary policy decision and very importantly UK referendum on 23rd that is propping up IVs in intensified OTC FX markets.

Just have glance on ATM IVs of 1m tenors of GBPUSD, it is spiking in a sky rocketed pace which is the highest among G20 currency segment.

The current premiums of ATM call of 1w expiries are trading above 12.6%, while 1m tenors are priced in just above 3.56%, well that's the reason why we've advocated long term longs and short term shorts in ATM straddles.

Risk reversals also divulge the more hedging activities of bears in FX OTC markets with negative tickers especially during in 1m tenors which would substantiate IV shifts.

Ever since we first saw a rise in the hawkish comments on the part of FOMC members from the start of the month, the US currency has been appreciating against sterling by approx. 2.06% (adjusted by risk-off effects).

At spot ref: 1.4435, go short in 10D (1%) out of the money calls + short in 10D (1%) out of the money put options with lower positive thetas or closer zero.

Simultaneously, go long in 1m at the money calls with 50% delta and long in at the money put option with same tenor and 50% deltas.

Maximum gain for the strategy is earned when the GBPUSD is trading at the strike price of the options sold on expiration of the near term straddle.

At this price, both the written options expire worthless while the longer term straddle being held will suffer only a small loss due to time decay. Thereafter, underlying spot FX has to show more move on either direction.

The maximum profit is limited to the extent of only on or before expiry of the near term straddle as the options trader has the option of holding on to the longer term straddle to switch to the long straddle strategy which has unlimited profit potential.