Arkus Focus January 2015
Slipping on Oil
by Niall O'Connor
Volatility trends were in general upwards during December. Oil and energy-related volatilities remained very High and rose, most others were medium or High relative to their 12-month averages.
Realised volatility (of Eurostoxx equities over 30 days) rose back from 18.9% to 25.5% (medium to High).
Equity markets slipped back by the end of the month. Volatility trends were upward. Sector volatilities were also up, at 11-16% (and Energy 29%). 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 1.6%. Bond volatilities rose in all regions ex Japan, ranging from 4-5% (and 1.4% in Japan).
In FX the euro fell. Volatilities were generally unchanged: e.g. €/$ at 8.3%, but €/Yen fell to 7.9%. Volatilities are mostly medium or High compared to the last 12 months.
Option volatility will have been driven mostly by the large upward move in volatility of volatility: for the VIX this rose to 173% (High).
Commodities prices were down sharply again: Oil fell -18% for the second month in a row and Copper was -1% the month. Volatility trends were upwards, Oil up to 36.2% (High).
- Real Estate (equity) price moves were upwards in all regions except Japan. Volatility changes were upward: to 14.8% in Europe and 13.6% in the US. Volatilities were High in Europe and the US; Japan had medium volatility. Alternatives’ volatilities were up.
Read the full Market Risk Report here.
View the online version of our January Newsletter here.