I test for the presence of asymmetric volatility in British Pound cross-rate futures markets. My investigation is based on a variant of the heterogeneous autoregressive volatility model, using daily realized variance and return series from 2004 through 2009. I find that appreciation against the British Pound leads to significantly less volatility for the CHF/GBP and EUR/GBP contracts and significantly greater volatility for the GBP/JPY contract. Relative to volatility on days following a positive one-standard-deviation, volatility on days following a negative one-standard-deviation return is 18.66% less for the CHF/GBP future, 12.51% lower for the EUR/GBP future and negligible for the GBP/JPY future. The results are robust to the removal of the jump component from realized volatility.