Arkus Focus March 2017
10 years on
by Niall O'Connor
- Volatility moves were almost all downwards in February. They were low relative to their 12-month averages almost everywhere.
- Realised volatility (of the Eurostoxx index over 30 days) rose just fractionally from 10.0% to 10.6% (low).
- Equity market price moves were upwards during the month. Volatility trends were all downwards. Sector volatilities ended at 6-9% (but with Energy at 13%). Sector volatilities were all low relative to the last 12 months.
- Sovereign bond price moves were also positive. Bond volatility moves were downwards, ending at 4% (but down to 1.2% in Japan). All three major regions had low volatility.
- FX price moves were bigger than of late with the euro weaker. Volatility trends were downwards: e.g. €/£ down to 5.8%. Volatilities were low for all major currencies relative to the euro.
- Option volatility will likely have been mixed, driven not by volatility of volatility, which was flat, but with some large moves in underlying prices during the month. Volatility of volatility for the US ended at 76% (low).
- Commodities’ price moves were small, with Oil falling but Gold up. Volatility moves were downwards e.g. Oil down to 18% (low).
- Real Estate (equity) price moves were all upwards. Volatility moves were small and finished at 10-11% (all low). PE Funds prices were fractionally down, with volatility trends in PE and hedge funds down.
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