Arkus Focus March 2015
by Niall O'Connor
- Volatility trends were in general downwards during February. Volatilities were relatively evenly distributed across low, medium and High relative to their 12-month averages.
- Realised volatility (of Eurostoxx equities over 30 days) fell sharply back from 26.3% to 11.4% (High to low).
- Equity markets rose in all major regions. Volatility trends were downwards. Sector volatilities ranged from 8-11% (but Energy 21%). All major sectors had medium volatilities relative to the last 12 months except Energy at High.
- Sovereign bond prices were generally flat during the month, except in the US where they fell. Spanish bond yields dropped to 1.3%. Bond volatilities trends were mixed and ended at 3-6% (and 2.5% in Japan).
- In FX Sterling strengthened against the euro. Volatilities were generally upward and then downward even more: e.g. €/$ at 10.7% and CHF/€ at 13%. Volatilities were all High compared to the last 12 months, except CHF/€ at medium.
- Option volatility will have been driven mostly by the large moves in underlying prices during the month. Volatility of volatility for the US fell to 98% (medium).
- Commodities’ price moves were mixed: Oil rallied +18% from recent lows and Copper was +9% the month. Gold fell. Volatility trends were mixed: upwards for Oil up to 62% (High), but down for Gold and Copper.
- Real Estate (equity) price moves were upwards in all regions except the US. Volatility changes were upward: to 19% in the US, but down to 11% in Europe. Volatilities rose to High in the US; Japan had medium and Europe low volatility. Alternatives’ volatilities were down again.
Read the full Market Risk Report here.
View the online version of our March Newsletter here.