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.
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