Arkus Focus June 2015
“I want to come back as the bond market. You can intimidate everyone.”
by Niall O'Connor
- Volatility trends were mixed by asset class during May. Volatilities were mostly medium relative to their 12-month averages.
- Realised volatility (of Eurostoxx equities over 30 days) rose slightly again from 17.8% to 20.0% (medium).
- Equity markets moves were mixed but with big rises in Japan and China. Volatility trends were mixed. Sector volatilities ranged from 8-13%. All major sectors had medium volatilities relative to the last 12 months, except Energy at low.
- Sovereign bond prices were generally down during the month. Spanish bond yields rose to 1.8%. Bond volatilities trends were upwards ending at 5-8% (and 2.4% in Japan). All were High.
- In FX Sterling and the Dollar strengthened while the Yen weakened vs the euro. Volatility moves were mixed: e.g. €/$ up to 11.7%. Volatilities were all medium or High compared to the last 12 months.
- Option volatility will have been driven mostly by moves in underlying prices during the month. Volatility of volatility for the US was 110% (medium).
- Commodities’ price moves were small. Volatility moves were correspondingly downwards: e.g. Oil down to 32% (medium).
- Real Estate (equity) price moves were generally downwards. Volatility changes were all upwards: to 16% in the US (from medium to High), and to 24% in Europe (also from medium to High).
Read the full Market Risk Report here.
View the online version of our May Newsletter here.