Arkus Focus April 2016
Becoming more negative
by Niall O'Connor
- Volatilities dropped for almost all assets during March. Volatilities ended low to medium relative to their 12-month averages.
- Realised volatility (of Eurostoxx equities over 30 days) fell from 32.2% to 18.4% (high down to low).
- Equity market price moves were sharply upwards; volatility trends were all down. Sector volatilities ranged from 10-18%, although Energy fell to 24%. Sector volatilities were mixed relative to the last 12 months.
- Sovereign bond price moves were downward during the month. Bond volatility changes were mixed ending at 5% (and 2.4% in Japan). Germany and the US were medium, Japan was high.
- FX moves were large, with the euro strengthening. Volatility trends were mixed: e.g. €/$ down to 8.7% and €/£ up to 9.4%. Volatilities were low to medium compared to the last 12 months.
- Option volatility will have likely risen as although volatility of volatility was largely unchanged, moves in underlying prices were large during the month. Volatility of volatility for the US fell to 86% (low).
- Commodities’ prices rose for a second month. Volatility moves were downwards e.g. Oil to 40% (High).
- Real Estate (equity) price moves continued their upward moves from the second half of last month. Volatility changes were all downwards: to 17% in the US (medium) and to 16% in Europe (high down to low), and Japan to 16% (high down to low). PE Funds and Hedge Funds prices finally rose, with volatility trends downwards.
Read the full Market Risk Report here.
View the online version of our April Newsletter here.