What Markets Said About #Brexit

If you were to look at the polling this week, there seemed to be rough consensus that #remain would eek out a tight victory.

Well, depending on where you looked.

Book maker odds told the same story…until they didn’t.

Currency markets were pricing in #remain as well.

However, option markets were not so sanguine. The rise in uncertainty flowed through to increased expectations of market volatility.

Though depends on your perspective. For example, option markets were pricing in less volatility than we saw in January/February period, and much less than we saw last August.

And nowhere near as much volatility as we saw during the global financial crisis of ’08 or the european debt crisis of ’12.

However, for some assets, particularly those exposed to European financial conditions, option markets were pricing in relatively high likelihoods of large drawdowns.

They still are.

Note on the data. This analysis was done on noisy data under time pressure. It should not be relied on to make financial decisions.

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Snow provides financial diversification to clients through the construction of hedge portfolios. Some of our portfolios hold ‘short’ positions in equities, in which case those portfolios, and our firm, stand to benefit financially from declining stock prices.

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This article is for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation for any security, nor does it constitute an offer to provide investment advisory or other services by Snow Ventures. In preparing the information contained in this article, we have not taken into account the investment needs, objectives and financial circumstances of any particular investor. This information has no regard to the specific investment objectives, financial situation and particular needs of any specific recipient of this information and investments discussed may not be suitable for all investors. Any views expressed on this website by us were prepared based upon the information available to us at the time such views were written. Changed or additional information could cause such views to change.