News & events

Arkus Focus February 2015

Made in Europe
by Niall O'Connor

  • Volatility trends were in general upwards during January. Almost every asset had High volatility relative to their 12-month averages, many of which related to QE in Europe.
  • Realised volatility (of Eurostoxx equities over 30 days) rose again from 25.5% to 26.3% (High).
  • Equity markets rose in Europe but fell in North America. Volatility trends were in general flat. Sector volatilities converged, at 12-17% (but Energy 27%). All major sectors had High volatilities relative to the last 12 months.
  • Sovereign bond prices rose yet again during the month. Spanish bond yields dropped to 1.4%. Bond volatilities rose in all regions to around 5% (and 2.2% in Japan).
  • In FX the euro weakened with the announcement of QE. Volatilities were generally upward: e.g. €/$ at 12.0% and CHF/€ at 67% on dropping the floor. Volatilities were all High compared to the last 12 months.
  • Option volatility will have been driven mostly by the large moves in underlying prices during the month. Volatility of volatility for the US fell to 140% (High).
  • Commodities’ prices were down again: Oil fell -8% but seemed to have found a floor and Copper was -12% the month. Volatility trends were upwards, Oil up to 53% (High).
  • Real Estate (equity) price moves were upwards in all regions except Japan. Volatility changes were upward: to 18% in Europe and 14% in the US. Volatilities were High in Europe and the US; Japan had low volatility. Alternatives’ volatilities were down.

Read the full Market Risk Report here.

View the online version of our February Newsletter here.