News & events



by Niall O'Connor

  • Volatility changes were mostly downwards on the month. Asset volatilities were almost all low or medium relative to their 12-month averages.
  • Realised volatility (of the Eurostoxx index over 30 days) fell from 11.7% to 10.8% (medium).
  • Equity market price moves were strongly positive in Japan, but mixed elsewhere. Volatility trends were mostly downwards. Sector volatilities ended at 8-12% and were low to medium relative to the last 12 months.
  • Sovereign bond price moves were negative. Volatility moves were also downwards, ending at just 1-3% (Italy at 7.2% though). All were low, except Italy at high.
  • FX moves were mixed with the euro stronger. Volatility moves were downwards and ended at 6%. Volatilities relative to the euro were all medium.
  • Option volatility will probably have been low, as underlying price moves during the month were moderate, while volatility of volatility was largely down e.g. to 80% for the US (low).
  • Commodities’ price moves were once again larger than other asset classes. Volatility moves were down e.g. Oil down to 17.9% (low).
  • Real Estate (equity) price moves were mostly negative. Volatility moves were again mixed and finished at 7-13% (all low or medium). PE Funds rose while hedge funds fell, with volatilities up.

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