Based on information by one of my sources that the 1-mth 25 delta risk reversal traded at 0.2 pct for GBP calls earlier today. It is 0.05/0.35 GBP calls over last. On the exotic front: barriers are touted up at 1.9900, 2.0000, and 2.0200. The atter trigger is a knockout on a 1.8500 GBP put which is due to expire in June 2008.
That k/o has been set above the 2.0100 September 1992 high. Downside barriers are located at 1.8750 and 1.8600. The former trigger is the base of a Double No Touch option, carrying an estimated GBP 10mn payout, which is slated to expire in June 2008.
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