LONDON (Reuters) - The cost of hedging against big price moves in the safe-haven Swiss franc versus the euro in the coming two months hit its highest since November on Wednesday, on worries far-right leader Marine Le Pen could win France's presidential election.
Two-month euro/Swiss franc implied volatility - an option that indicates investor expectations for volatility, which on Wednesday captured the final round of the French election for the first time - jumped to as high as 6.75 percent.
That put the option on track for its biggest daily rise since June's shock Brexit vote - it had been trading at around 4.8 percent on Tuesday.
Although polls suggest Le Pen will lose the May 7 second round to Emmanuel Macron, the current favourite for president, or Francois Fillon, last year's unexpected votes for Brexit and Donald Trump have left investors are wary of surprises.
The Swiss franc has climbed almost 2 percent since early December as worries about political risks in Europe have increased, despite the Swiss National Bank's efforts to prevent it from appreciating further.
Data on Tuesday showed that the SNB's currency reserves had risen around 24 billion francs over the month of February, indicating that it had stepped in with the biggest intervention since last June in order to keep a lid on the franc. [nEONH330RX
"We've seen since the beginning of the year that the SNB has stepped up its interventions in the Swiss franc, so we’re already seeing that investors are – because of the uncertainty of these elections – targeting the Swiss franc again," said Thu Lan Nguyen, currency strategist at Commerzbank in Frankfurt.
Worries also surround next week's parliamentary election in the Netherlands, where the Freedom Party of nationalist, anti-EU politician Geert Wilders is currently second in the polls.
"The current strength of the Swiss franc towards the euro is due to the uncertainty surrounding the upcoming European elections," said Nordea analyst Holger Sandte.
"A surprisingly strong result for the eurosceptic Freedom Party in the Dutch election on 15 March could strengthen the Swiss franc further."
Euro/dollar implied volatility also jumped as investors moved to protect themselves against the possibility of a Le Pen victory, reaching a seven-week high of 9.75 percent.
Editing by Catherine Evans