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Italian referendum nerves push up euro implied volatility sharply

LONDON Nov 28 The cost of hedging against swings in the euro's value over the coming week jumped on Monday ahead of an Italian referendum that could prompt Prime Minisrter Matteo Renzi to resign.

Options market pricing showed a jump in the cost of hedging against volatility in the euro's exchange rate to the safe-haven yen over the next seven days, covering the referendum on Sunday.

One-week euro/yen implied volatility rose to as much as 14.32 percent, its highest in more than two months.

One-week euro/dollar implied volatility also jumped by the most in five months, hitting 12.175 percent, the highest since the night of Donald Trump's victory in the U.S. elections earlier this month.

Renzi has promised to step down if he does not win the vote on constitutional reform, opening the way for renewed political instability in the eurozone's third largest economy and prompting fears of bank runs and credit rating downgrades. (Reporting by Jemima Kelly; editing by Sujata Rao)

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