Arkus Focus May2016
by Niall O'Connor
- Volatilities dropped for most assets during April outside Japan. Volatilities ended low to medium relative to their 12-month averages.
- Realised volatility (of Eurostoxx equities over 30 days) rose slightly from 18.4% to 22.0% (still low).
- Equity market price moves were slightly positive, although Japan fell; volatility trends were mixed. Sector volatilities ranged from 9-16%, although Energy fell to 21%. Sector volatilities were low or medium relative to the last 12 months.
- Sovereign bond price moves were small during the month. Bond volatility changes were mostly down, ending at 4% (and 2.4% in Japan). Germany and the US were low, Japan was high.
- FX moves were small, although the Yen strengthened. Volatility trends were downwards: e.g. €/$ down to 6.2% and €/£ to 8.5%. Volatilities were low (Yen high though) compared to the last 12 months.
- Option volatility will have likely fallen as volatility of volatility was largely unchanged, and moves in underlying prices were small during the month. Volatility of volatility for the US rose to 102% (low).
- Commodities’ prices rose for a third consecutive month. Volatility moves were small e.g. Oil up to 43% (High).
- Real Estate (equity) price moves were slightly downwards. Volatility changes were downwards: to 13% in the US (low) and to 13% in Europe (low), but Japan rose to 24% (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.