GBP/USD 1w IVs have crossed 50%, as per our observation, volatilities are possibly not exorbitant, and could even be complacent, given the spot moves implied by the options market quotes.

As you can make out from the bearish movement in spot FX which is almost 13.68% in just 1 year, and still no traces of recoveries ahead of this risk event.

The cable implied volatility term structure is fitted from 1w to 1y expiries in fixing a 6.5% single return on referendum day (the overnight forward volatility) and 0.48% for all the other days.

Brexit polls have been notoriously volatile. Before last week, the             stay camp appeared to have gained traction.  In a dramatic turnaround since May, some 53% now want to leave and 47% want to stay, the majority of Brits now want to leave from EU group.

It shows that the market would expect post-Brexit equilibrium volatility of 9.1. Since this fits the entire curve, the options market would, all in all, expect fast normalization.

A Brexit scenario would see GBP volatilities instantly come under mild pressure after the initial reaction, as working hedges are unwound.

Given the remaining uncertainties (including institutional issues, the scope of the growth shock and the nature of the central bank reaction), the duration of the full normalization process cannot be predicted.

A Bremain scenario would involve the flash unwind of gamma positions and the lows reached would offer a unique opportunity to load volatility positions at discounted levels.