News & events

Arkus Focus May 2017

10 years on

by Niall O'Connor

  • Volatility rose as a result of the relief rally following the first round of the French elections, but ended the month generally down. Most assets’ volatility remained low relative to its 12-month averages.
  • Realised volatility (of the Eurostoxx index over 30 days) rose from 9.7% to 15.3% (low up to medium).
  • Equity market price moves were upwards during the month. Volatility trends were mixed. Sector volatilities ended at 7-13%. Sector volatilities were all low relative to the last 12 months, with the exception of Financials at medium.
  • Sovereign bond price price moves were slightly upward. Volatility moves were downwards, ending at 4% (and down to just 1.1% in Japan). Germany was medium, Japan stayed low and the US fell from high to low.
  • In FX the euro strengthened post the French election. Volatility trends were mixed: e.g. €/£ flat at 8.2%. Dollar volatility fell from high to low, while Yen and Sterling volatilities were medium relative to the euro.
  • Option volatility will likely have risen, as there were some larger moves in underlying prices during the month. Volatility of volatility for the US rose to 119% (low up to medium).
  • Commodities’price moves were mixed with oil down and gold up. Volatility moves were mixed e.g. Oil down to 18.5% (low).
  • Real Estate (equity) price moves were moderate.Volatility moves were also moderate and finished at 9-10% (all low). PE Fund and hedge fund prices were fractionally up, with volatility changes in PE and hedge funds down.

Read the full Market Risk Report here.

View the online version of our Newsletter here.