Volatility traders wrestle with digital risk of Brexit

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

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"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

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