Arkus Focus July 2016
by Niall O'Connor
- Volatilities rose sharply for almost assets during June. Volatilities almost all ended high relative to their 12-month averages.
- Realised volatility (of Eurostoxx equities over 30 days) rose from 16.9% to 39.8% (low to high).
- Equity market price moves were flat or downwards; volatility trends were up across the board. Sector volatilities ranged from 18-29%, with Financials rising to 34%. Sector volatilities all rose from low to high relative to the last 12 months.
- Sovereign bond price moves were all upwards during the month. Bond volatility changes were small, ending at 4% (and 2.1% in Japan). Germany was low, US rose to medium and Japan rose to high.
- Sterling fell sharply and the Yen rose sharply. Volatility trends were all upwards: e.g. €/$ up to 13.1% and €/£ up to 25.2%. Volatilities all rose from low to high compared to the last 12 months.
- Option volatility will likely have risen sharply as volatility of volatility spiked upwards, and moves in underlying prices were in many cases large during the month. Volatility of volatility for the US rose to 234% (high).
- Commodities’ price moves were mixed again, with gold rallying on the uncertainty. Volatility moves were all upwards e.g. Oil up to 40% (low up to medium).
- Real Estate (equity) price moves were large but mixed: down in Europe and Japan, up in the US. Volatility changes mirrored price moves: and finished at 10% in the US but 43% in Europe (low and high respectively). PE Funds and Hedge Funds prices rose again, with volatility trends upwards.
Read the full Market Risk Report here.
View the online version of our MayNewsletter here.