Arkus Focus February 2017
Fear of heights
by Niall O'Connor
- Volatility moves were mixed in January, but mostly slightly upwards. They remained mostly low or medium relative to their 12-month averages.
- Realised volatility (of the Eurostoxx index over 30 days) fell from 11.5% to 10.0% (low).
- Equity market price moves were mixed during the month. Volatility trends were also mixed. Sector volatilities ended at 7-12%. Sector volatilities were all low relative to the last 12 months.
- Sovereign bond price moves were also mixed. Bond volatility moves were small, ending at 4-5% (but down to 1.4% in Japan). Japan was low, US medium and Germany high.
- FX price moves were again small. Volatility trends were mixed: e.g. €/£ up to 9.8%. Volatilities were medium for all major currencies relative to the euro.
- Option volatility will likely have been mixed, driven not by volatility of volatility, which was flat, but with some large moves in underlying prices during the month. Volatility of volatility for the US ended at 79% (low).
- Commodities’ price moves were mixed, with Oil falling but Gold up. Volatility moves were downwards e.g. Oil down to 28% (low).
- Real Estate (equity) price moves were all downwards. Volatility moves were mixed but remained low and finished at 11.4% in the US (medium) and 10.2% in Europe (low). PE Funds prices rose again, with volatility trends in PE and hedge funds up slightly.
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