News & events

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.