Arkus Focus November 2015
by Niall O'Connor
- Volatility trends were sharply downwards during October. Volatilities ended mostly medium relative to their 12-month averages.
- Realised volatility (of Eurostoxx equities over 30 days) fell sharply from 29.6% to 18.6% (High down to medium).
- Equity market price moves were sharply upwards in all regions. Volatility trends were sharply downwards. Sector volatilities ranged from 10-15%, although Energy was at 26%. All major sectors had medium volatilities relative to the last 12 months, with the exception of Energy at High.
- Sovereign bond price moves were small during the month. Bond volatilities were down ending at 5-6% (and 0.8% in Japan). Germany was High, US and Japan low.
- In FX the big move was the weakening of the euro by 1-3% vs other major currencies. Volatility trends were slightly downwards: e.g. €/£ down to 9.8%. Volatilities were all medium, with the exception of €/Yen at low compared to the last 12 months.
- Option volatility will have been driven both by sharp falls in volatility of volatility and large moves in underlying prices during the month. Volatility of volatility for the US fell sharply to 95% (low).
- Commodities’ price moves were mixed and smaller than of late. Volatility moves were downwards: e.g. Oil down to 40% (medium).
- Real Estate (equity) price moves were also strongly positive. Volatility changes were sharply downwards: down to 13% in the US (low) and to 15% in Europe (also now low). PE Funds and Hedge Funds prices bounced back upwards, and volatilities also dropped.
Read the full Market Risk Report here.
View the online version of our September Newsletter here.