News & events

All is calm, all is bright

All is calm, all is bright

by Niall O'Connor

  • Volatility moves were again mixed over the month. Most assets’ volatility remained low or medium relative to their 12-month averages.
  • Realised volatility (of the Eurostoxx index over 30 days)rose, but to just 7.9% (low).
  • Equity market price moves were mixed on the month. Volatility trends were mostly upwards. Sector volatilities ended at 7-12% and were low or medium (IT high) relative to the last 12 months.
  • Sovereign bond prices were largely unchanged on the month. Volatility moves were mixed, ending at around 3% (but at just 1.3% in Japan).All were low, except Japan at medium.
  • In FX the euro strengthened. Volatility trends were mixed and ended at 6-9%. All volatilities relative to the euro were low or medium.
  • Option volatility will have been driven by moves in underlying prices during the month. Volatility of volatility for the US rose slightly to 93% (medium).
  • Commodities price moves were mostly positive. Volatility moves were mixed e.g. Oil down to 20.3% (low), and Copper down to 16.8% (low).
  • Real Estate (equity) price moves were positive. Volatility moves were mixed and finished at 8-11% (all low except Japan at high). PE Funds rose while hedge funds fell, with volatility moves in PE and hedge funds mixed..

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