Arkus Focus April 2017
by Niall O'Connor
- Volatility moves were mixed in March, but more upwards than downwards. Most remained low relative to their 12-month averages.
- Realised volatility (of the Eurostoxx index over 30 days) dropped from 10.6% to 9.7% (low).
- Equity market price moves were mostly upwards during the month. Volatility trends were slightly upwards. Sector volatilities ended at 5-8% (but with Financials at 12% and Energy at 14%). Sector volatilities were all low relative to the last 12 months, with the exception of Financials which rose to medium.
- Sovereign bond price moves were downwards. Bond volatility moves were upwards, ending at 4% (and up to 1.4% in Japan). Germany was medium, US high and Japan stayed low.
- FX price moves were modest. Volatility trends were mixed: e.g. €/£ up to 8.2%. Dollar volatility was high, while Yen and Sterling volatilities were low relative to the euro.
- Option volatility will likely have been lower, driven by smaller moves in underlying prices during the month. Volatility of volatility for the US ended at 79% (low).
- Commodities price moves were downwards. Volatility moves were mixed e.g. Oil up to 25% (low).
- Real Estate (equity) price moves were generally downwards. Volatility moves were mixed and finished at 9-13% (all low). PE Fund prices were fractionally down, with volatility changes in PE and hedge funds small.
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