FTSE vol and skew fell prior to Scottish vote

FTSE implied volatility and skew fell ahead of the Scottish referendum, which some dealers attribute to investors unwinding hedges against a vote for independence

photo of a sticker in support of a scottish yes vote
Hedges against a 'Yes' vote unwound

Implied volatility and skew on the UK's FTSE index fell sharply on September 17 as investors unwound trades that would be expected to pay out if Scotland votes for independence in today's referendum. That might be seen as a sign market participants were expecting the 'No' campaign to prevail, with investors either scrapping their hedges or taking profits on long volatility positions.

"The hedging flow on FTSE options has been active over the past few weeks but we saw investors unwinding hedges

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