Arkus Focus August 2015
Sailing into Calmer Waters
by Niall O'Connor
- Volatility trends were mixed but slightly upwards in general during July. Volatilities were almost all medium to High relative to their 12-month averages.
- Realised volatility (of Eurostoxx equities over 30 days) fell fractionally from 24.8% to 24.1% (High).
- Equity market price moves were upwards in all regions (with the exception of China). Volatility trends were all upwards too. Sector volatilities ranged from 9-17%. All major sectors had medium volatilities relative to the last 12 months, except Financials at High.
- Sovereign bond prices were generally up during the month. Spanish bond yields fell back though, to 1.9%. Bond volatilities trends were flat to down ending at 5-7% (and 2.0% in Japan). All were High with the exception of Japan at medium.
- In FX the Dollar strengthened while Sterling weakened vs the euro. Volatility moves were mixed: e.g. €/$ down to 10.3%. Volatilities were all medium, with the exception of €/£ at High compared to the last 12 months.
- Option volatility will have been driven mostly by moves in underlying prices during the month. Volatility of volatility for the US fell fractionally to 147% (High).
- Commodities’ price moves were strongly downwards. Volatility moves were upwards: e.g. Oil up to 30% (medium).
- Real Estate (equity) price moves were strongly upwards. Volatility changes were downwards: to 10% in the US (medium), and to 19% in Europe (also medium). Japan was up to 16% though.
Read the full Market Risk Report here.
View the online version of our August Newsletter here.