Arkus Focus July 2015
The 11th Hour
by Niall O'Connor
- Volatility trends were upwards for almost all asset classes during June. Volatilities were mostly medium to High relative to their 12-month averages.
- Realised volatility (of Eurostoxx equities over 30 days) rose again from 20.0% to 24.8% (High).
- Equity markets moves were downwards in all regions. Volatility trends were all upwards. Sector volatilities ranged from 12-14%. All major sectors had High volatilities relative to the last 12 months, except Energy at low and IT at medium.
Sovereign bond prices were generally down during the month. Spanish bond yields rose again, to 2.3%. Bond volatilities trends were mixed ending at 5-7% (and 2.9% in Japan). All were High.
In FX Sterling and the Dollar weakened while Sterling strengthened vs the euro. Volatility moves were upwards: e.g. €/$ up to 13.1%. Volatilities were all medium or High compared to the last 12 months.
- Option volatility will have been driven mostly by (mostly downwards) moves in underlying prices during the month. Volatility of volatility for the US rose to 153% (High).
- Commodities’ price moves were downwards too. Volatility moves were downwards: e.g. Oil down to 28% (medium).
- Real Estate (equity) price moves were strongly downwards. Volatility changes were all downwards too though: to 14% in the US (medium), and to 20% in Europe (also medium).
Read the full Market Risk Report here.
View the online version of our July Newsletter here.