Arkus Focus November 2017
2000 * 2007?
by Niall O'Connor
- Volatility moves were mixed over the month. Most assets’ volatility remained low or medium relative to their 12-month averages.
- Realised volatility (of the Eurostoxx index over 30 days) fell again to 6.1% (low).
- Equity market price moves were again upwards during the month, with Japan especially strong. Volatility trends were mostly downwards. Sector volatilities ended at just 5-9% and were all low or medium relative to the last 12 months.
- Sovereign bond price moves were generally upwards. Volatility moves were mixed, ending at just 3-4% (but at just 0.8% in Japan). All were low.
- In FX the euro weakened slightly. Volatility trends were mixed and ended at 6-7%. All volatilities relative to the euro were low.
- Option volatility will have been driven by some large moves in underlying prices during the month. Volatility of volatility for the US fell to 78% though (medium down to low).
- Commodities price moves were mostly strongly positive. Volatility moves were mixed e.g. Oil down to 21.0% (low), but Copper up to 19.4% (medium).
- Real Estate (equity) price moves were positive outside the US.. Volatility moves were mixed and finished at 6-9% (all low and close or at 12 month lows). PE Funds rose as did hedge funds, with volatility moves in PE and hedge funds slightly upwards.
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