Arkus Focus December 2016
2016: What a year
by Niall O'Connor
- Volatilities rose during November and were typically medium relative to their 12-month averages.
- Realised volatility (of Eurostoxx equities over 30 days) rose from 11.4% to 12.6% (low).
- Equity market price moves were moderate and mixed during the month. Volatility trends were all upwards. Sector volatilities rose to 13-16% (but with Energy at 23%). Sector volatilities were all medium or high relative to the last 12 months.
- Sovereign bond price moves were downwards. Bond volatility changes were all upwards, ending at 4-5% (and 2.1% in Japan). The US was low, others high.
- FX price moves were once again large. Volatility trends were mixed: e.g. €/£ down to 9.5%. Volatilities were medium for all major currencies relative to the euro, except €/Yen which stayed low.
- Option volatility will likely have risen, driven by rising volatility of volatility and with some large moves in underlying prices during the month. Volatility of volatility for the US ended at 126% (medium).
- Commodities’ price moves were large, with Oil rising +4.5% but Gold -8.0%. Volatility moves were upwards e.g. Oil sharply up to 48% (high).
- Real Estate (equity) price moves were again downwards outside Japan. Volatility changes were mixed and finished at 19.7% in the US (high) and 15.3% in Europe (low). PE Funds prices rose again, with volatility trends in PE and hedge funds mixed.
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