Arkus Focus August 2016
by Niall O'Connor
- Volatilities fell sharply for almost assets during June. Volatilities almost all ended low relative to their 12-month averages, with the exception of Japanese assets.
- Realised volatility (of Eurostoxx equities over 30 days) fell from 39.8% to 16.6% (high to low).
- Equity market price moves were upwards; volatility trends were down across the board. Sector volatilities ranged from 7-14%. Sector volatilities all fell to low relative to the last 12 months.
- Sovereign bond price moves were modest during the month. Bond volatility changes were also small, ending at 4% (and 1.9% in Japan). All were low, with the exception of Japan at high.
- FX price moves were also minor. Volatility trends were all downwards: e.g. €/$ down to 6.3% and €/£ down to 11.6%. Volatilities were low for the Dollar, medium for Sterling and high for Yen relative to the euro compared to the last 12 months.
- Option volatility will likely have fallen sharply as volatility of volatility swung down, although moves in at least some underlying prices were large during the month. Volatility of volatility for the US fell from 234% to 70% (low).
- Commodities’ price moves were mixed again, with Oil falling sharply but gold continuing to rally on uncertainty. Volatility moves were downwards e.g. Oil down to 38% (down to low).
- Real Estate (equity) price moves were large and positive, although Japan rose less. Volatility changes were down (US flat): and finished at 11% in the US and 19% in Europe (low and medium respectively). PE Funds and Hedge Funds prices rose again, with volatility trends downwards..
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