News & events

Arkus Focus December 2015

Countdown to Lift-Off
by Niall O'Connor

  • Volatility trends were again downwards during November, but much less so than during October. Volatilities ended mostly low or medium relative to their 12-month averages.
  • Realised volatility (of Eurostoxx equities over 30 days) fell again from 18.6% to 15.2% (medium down to low).
  • Equity market price moves were mixed by region. Volatility trends were again downwards. Sector volatilities ranged from 8-11%, although Energy was at 24%. All major sectors had low volatilities relative to the last 12 months, with the exception of Energy at medium.
  • Sovereign bond price moves were again small during the month. Bond volatilities were down ending at 3-5% (and 0.9% in Japan). Germany was medium, US and Japan low.
  • FX moves were large, with the euro weakening by 1-4% vs other major currencies. Volatility trends were downwards: e.g. €/£ down to 7.8%. Volatilities were all low compared to the last 12 months.
  • Option volatility will have been relatively low as volatility of volatility rose but only slightly and moves in underlying prices were relatively modest during the month. Volatility of volatility for the US rose slightly to 112% (low).
  • Commodities’ price moves were again sharply downwards. Volatility moves were also downwards: e.g. Oil down to 32% (medium).
  • Real Estate (equity) price moves were small. Volatility changes were mixed: up to 18% in the US (medium) and up to 17% in Europe (medium), but down in Japan. PE Funds and Hedge Funds prices fell again, as did their volatilities.

Read the full Market Risk Report here.

View the online version of our December Newsletter here.