''So could all the cataclysm be based on off-the-cuff remarks by Rochester to AEP directly? Possibly, but those familiar with his style said that such language would be completely out of character. And there is still no direct Nomura-related attribution to the word cataclysmic.
What’s stranger still… Nomura’s house view on GBPUSD (as of Sept 8.) doesn’t even marry up with the story’s 15 per cent projected “plunge”. From the real Nomura:
Historically, the 1.58-1.62 range has offered a key support or resistance level to break (see Figure 1 below) and we may expect these support levels to hold if GBPUSD moves even lower just before the referendum. If the „YES‟ vote does win the referendum on 18 September, GBPUSD could gap considerably lower (we think a 5-10% sell-off could be possible) and implied vols could be much higher. A “NO‟ vote could mean GBPUSD appreciating back to 1.66-1.68 levels.To translate…
A zero-cost break-out ladder in such a scenario could be profitable, as it would gain if spot gaps downwards with a large move, but would not lose anything if spot moves higher in the event the “NO‟ vote wins a majority.
Given that the probability of an exit is still considered less than 50% by most analysts in spite of this recent poll, (see for instance How to trade the Scottish Referendum for a detailed pre-You-Gov poll analysis including timelines), we do not think it makes sense to pay a large premium for this possibility.
Nomura thinks the value of the pound could plunge by 5-10 per cent in the event of a ‘Yes’ vote. Furthermore, whilst you could buy an options strategy to profit from such a move in a relatively hedged way, the cost of the options strategy is probably not worth your while since the chances of an actual exit are still less than 50 per cent.