News & events

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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