Sterling volatility index hits six-year high as EU referendum nears

Oil volatility grinds lower

Natalie Kenway
clock • 1 min read

Sterling volatility has reached a six-year high as the EU referendum looms, while nearly all other volatility measures are also climbing, according to S&P Dow Jones Indices.

The implied volatility of the CME/CBOE FX GBP Volatility index rose by a third compared to last month to 15.79, as the June referendum date came within the one month reference period for the sterling's volatility measure.

Tim Edwards, director of index investment strategy at S&P Dow Jones Indices said: "Given the betting markets are indicating that the probability of a Brexit is no higher than 33%, the markets are anticipating an unusually rocky ride.

Sterling tumbles on Brussels and Brexit worries

"For comparison: at 15.79, the implied volatility of the UK's currency is currently higher than that of the Dow Jones Industrial Average."

Meanwhile the VIX, a measure of equity market volatility, was recorded at around 15.95, its highest level since mid-March, and nearly all other volatility measures were higher than last month.

However, oil volatility has continued to grind lower with the continued recovery in energy prices. This, combined with sterling weakness, helped to stabilize the US high yield credit market.

"The S&P/ISDA US High Yield CDS index remains elevated, but appears to have halted its rise," Edwards said.

More on Currencies

US dollar falls out of favour with CIOs rating it least favourite asset in Q2 2025

US dollar falls out of favour with CIOs rating it least favourite asset in Q2 2025

CIOs worried about Fed cuts

Patrick Brusnahan
clock 25 June 2025 • 2 min read
China's central bank predicts end to global dollar reliance

China's central bank predicts end to global dollar reliance

'Multipolar international monetary system'

Patrick Brusnahan
clock 18 June 2025 • 1 min read
Reform UK to accept crypto donations and establish Bitcoin reserve

Reform UK to accept crypto donations and establish Bitcoin reserve

UK crypto reserve to be established

Linus Uhlig
clock 02 June 2025 • 2 min read
Trustpilot