News & events

Arkus Focus December 2014

Japan and Oil
by Niall O'Connor

  • Volatility trends were downwards during November after the very high levels seen during October. Japanese and Oil/energy volatilities were High, most others were low or medium relative to their 12-month averages.
  • Realised volatility (of Eurostoxx equities over 30 days) fell back from 25.9% to 18.9% (High to medium).
  • Equity markets had a strong month. Volatility trends were sharply downward, but from near 12-month highs. Sector volatilities were also down, at 6-8% (Energy 26% though, High). All other major sectors had low to medium volatilities relative to the last 12 months.
  • Sovereign bond prices rose yet again during the month. The great European convergence continued with Spanish bond yields dropping to 1.9%. Bond volatilities fell in all regions ex Japan, ranging from 2-3% (and 5.1% in Italy).
  • In FX the Dollar continued its upwards creep but the Yen once again dropping sharply. Volatility changes were generally downwards: e.g. €/$ to 8.1%, but €/Yen rose to 12.5%. Volatilities are mostly High compared to the last 12 months.
  • Option volatility will have been driven mostly by the large moves in underlying prices. Volatility of the VIX fell to 63% (low).
  • Commodities prices were down sharply again: Oil fell -18% and Copper -6% on the month. Volatility trends were upwards, Oil up to 30.3% (High).
  • Real Estate (equity) price moves were upwards in all regions. Volatility changes were downward: to 11.8% in Europe and 9.9% in the US. US volatility dropped to low, Japan had High volatility. Alternatives’ volatilities were sharply down.

Read the full Market Risk Report here.

View the online version of our December Newsletter here.