Arkus Focus April 2015
Running out of patience
by Niall O'Connor
- Volatility trends were mixed during March, but volatilities were skewed towards High relative to their 12-month averages.
- Realised volatility (of Eurostoxx equities over 30 days) rose slightly from 11.4% to 15.7% (low to medium).
- Equity markets moves were mixed but smaller than of late. Volatility trends were upwards. Sector volatilities ranged from 13-15% (but with Energy falling to 18%). All major sectors had High volatilities relative to the last 12 months except Energy at medium.
- Sovereign bond prices were generally flat during the month. Spanish bond yields dropped to 1.2%. Bond volatilities trends were mixed and ended at 3-6% (and 2.7% in Japan). All were High.
- In FX the euro dropped on the start of ECB QE. Volatility moves were upward: e.g. €/$ to 17.5%. Volatilities were all High compared to the last 12 months, except CHF/€ at medium.
- Option volatility will have been driven mostly by moves in underlying prices during the month. Volatility of volatility for the US was flat at 95% (medium).
- Commodities’ price moves were small with the exception of Oil which dropped back to $55. Volatility moves were generally downwards: e.g. Oil to 44% (High).
- Real Estate (equity) price moves were muted. Volatility changes were mixed: up to 20% in the US (High), and up to 15% in Europe (also High). Alternatives’ volatilities rose slightly.
Read the full Market Risk Report here.
View the online version of our April Newsletter here.