Arkus Focus August 2017
Does it look like 2007 again?
by Niall O'Connor
- Volatilities remained low during the month. Most assets’ volatility remained low or medium relative to their 12-month averages.
- Realised volatility (of the Eurostoxx index over 30 days) stayed at 10.9% (medium).
- Equity market price moves were again upwards during the month outside Japan. Volatility trends were flat or down. Sector volatilities ended at 6-12% and were all low or medium relative to the last 12 months.
- Sovereign bond price moves were flat to slightly up. Volatility moves were small, ending at 3-5% % (but down to just 0.9% in Japan). Germany fell to medium, Japan and the US were low.
- In FX the euro strengthened again. Volatility trends were downwards and ended at 7-8%. Dollar volatility was medium, Yen dropped from medium to low and Sterling volatility also fell from medium to low relative to the euro.
- Option volatility will have been driven by some large moves in underlying prices during the month. Volatility of volatility for the US fell to 70% (medium down to low).
- Commodities price moves were large and positive. Volatility moves were mixed e.g. Oil up slightly to 28.7% (medium).
- Real Estate (equity) price moves were mixed. Volatility moves were mixed and finished at 10-13% (all low, but US up to medium). PE Funds fell and hedge funds were up, with volatility changes in PE and hedge funds down.
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