Arkus Focus November 2016
The Presidential Pause
by Niall O'Connor
- Volatilities fell during October. Volatilities were almost all low relative to their 12-month averages.
- Realised volatility (of Eurostoxx equities over 30 days) fell from 16.4% to 11.4% (low).
- Equity market price moves were moderate during the month outside Japan which rose +5.9%. Volatility trends were generally downwards. Sector volatilities fell to 5-9% (with Energy at just 11%). Sector volatilities were all low relative to the last 12 months.
- Sovereign bond price moves were mostly downwards. Bond volatility changes were also small, ending at 4% (and 0.8% in Japan). The US and Japan were low, Germany medium
- FX price moves were once again relatively high. Volatility trends were mixed: e.g. €/£ up to 10.8%. Volatilities were low for all major currencies relative to the euro, except €/£ which rose to medium.
- Option volatility will likely have fallen, driven by sharply falling volatility of volatility and with most underlying price moves small during the month. Volatility of volatility for the US ended at 82% (low).
- Commodities’ price moves were relatively small, with Oil dropping -1.5% and Gold -3.1%. Volatility moves were also mixed e.g. Oil sharply down to 26% (medium down to low).
- Real Estate (equity) price moves were all downwards outside Japan. Volatility changes were mixed and finished at 16.9% in the US (medium) and 17.2% in Europe (medium). PE Funds prices rose again, with volatility trends in PE and hedge funds mixed.
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