Arkus Focus June 2016
by Niall O'Connor
- Volatilities fell for almost assets during May. Volatilities almost all ended low relative to their 12-month averages.
- Realised volatility (of Eurostoxx equities over 30 days) fell from 22.0% to 16.9% (low).
- Equity market price moves were slightly positive; volatility trends were generally downwards. Sector volatilities ranged from 9-13%, and Energy fell to 17%. Sector volatilities were all low relative to the last 12 months.
- Sovereign bond price moves were generally upwards during the month. Bond volatility changes were mostly down, ending at 4% (and 1.4% in Japan). All ended low.
- The euro weakened, and the Yen weakened more. Volatility trends were mixed: e.g. €/$ up to 6.6% and €/£ up to 11.1%. Volatilities were low (€/£ high though) compared to the last 12 months.
- Option volatility will likely have remained low as volatility of volatility fell, and moves in underlying prices were relatively small during the month. Volatility of volatility for the US fell to 82% (low).
- Commodities’ price moves were mixed after three strong months. Volatility moves were downwards e.g. Oil down to 34% (low).
- Real Estate (equity) price moves were upwards. Volatility changes were mixed: to 12-17% (low and medium). PE Funds and Hedge Funds prices rose again, with volatility trends again downwards.
Read the full Market Risk Report here.
View the online version of our MayNewsletter here.