Volatility traders wrestle with digital risk of Brexit

Skew on major indexes leaps after market wakes up to risks of UK's referendum

"The volatility move last Monday was pretty incredible"

There are only two choices in today's UK referendum on membership of the EU – in or out – but the starkly different implications have been making life difficult for equity derivatives players. Volatility and skew on major indexes have surged in the past seven trading days – amid rumours of burned fingers for some traders – as dealers and investors alike sought protection against the growing possibility of a vote to leave.

Structured products issuers are also suffering from the jump in volatility