Who’s afraid of big bad Brexit? Well, currency hedgers, for one.

The chart above (courtesy of Bloomberg) shows six-month implied volatility on sterling against the dollar. Crudely, it’s a measure of how much traders and investors think the pound will shift against the buck over the next few months, and it determines how much it costs to buy options that protect buyers against unfavourable shifts.

As the chart shows, the rate has been cranking higher for some time. It gained fresh impetus after London Major Boris Johnson declared his hand for the ‘out’ camp in the EU referendum. Now, with sterling slumping under $1.40 to the dollar for the first time since March 2009 (it’s now at $1.3944), it’s over 13 per cent for the first time since 2011.

That’s the market’s way of saying ‘buckle up’.

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