News & events

A hard act to follow

A hard act to follow

by Niall O'Connor

  • Volatility moves were again mixed over the month. Most assets’ volatilities remained low or medium relative to their 12-month averages.
  • Realised volatility (of the Eurostoxx index over 30 days)rose to 10.5% (low up to medium).
  • Equity market price moves were positive on the month. Volatility trends were mostly downwards. Sector volatilities ended at 5-10% and were low or medium relative to the last 12 months.
  • Sovereign bond prices were largely unchanged on the month. Volatility moves were mostly upwards, ending at around 3-5% (but at just 0.8% in Japan) . All were low, except Germany at medium.
  • In FX the euro strengthened again. Volatility trends were downwards and ended at just 4-6%. All volatilities relative to the euro were low.
  • Option volatility will have been driven by moves in underlying prices during the month. Volatility of volatility for the US fell slightly to 71% (medium).
  • Commodities price moves were mostly positive. Volatility moves were mixed though e.g. Oil up to 21.8% (low), and Gold down to 8.6% (low).
  • Real Estate (equity) price moves were mixed. Volatility moves were also mixed and finished at 7-11% (all low except US at medium). PE Funds rose as did hedge funds, with volatility moves in PE and hedge funds mixed.

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