Arkus Focus July 2017
by Niall O'Connor
- Volatilities remained low during the month. Most assets’ volatility remained low or medium relative to their 12-month averages.
- Realised volatility (of the Eurostoxx index over 30 days) rose from 9.3% to 10.9% (llow up to medium).
- Equity market price moves were again upwards during the month outside Europe. Volatility trends were mixed. Sector volatilities ended at 9-15% and were all medium relative to the last 12 months, with the exception of IT which rose to high.
- Sovereign bond price moves were downwards. Volatility moves were mixed, ending at 3-5% (but up to 1.2% in Japan). Germany rose to high, Japan and the US were low.
- In FX the euro strengthened again on the ECB’s more hawkish commentary. Volatility trends were mixed and ended at 8-9%. Dollar volatility rose to medium, Yen remained medium and Sterling volatility rose from low to medium relative to the euro.
- Option volatility will likely have fallen, as volatility of volatility for the US fell to 93% (high down to medium). However, there were some large moves in underlying prices during the month.
- Commodities price moves were large but mixed. Volatility moves were mostly upwards e.g. Oil down to 27.4% (medium).
- Real Estate (equity) price moves were mixed. Volatility moves were generally downwards and finished at 9-11% (all low). PE Funds were up and hedge funds were flat, with volatility changes in PE and hedge funds up.
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