Arkus Focus October 2015
by Niall O'Connor
- Volatility trends were slightly downwards but from very elevated levels during September. Volatilities were almost all High relative to their 12-month averages.
- Realised volatility (of Eurostoxx equities over 30 days) fell fractionally from 35.1% to 29.6% (High).
- Equity market price moves were downwards in all regions, especially in Japan. Volatility trends were generally downwards, with the exception of Japan. Sector volatilities ranged from 17-26%. All major sectors had High volatilities relative to the last 12 months.
- Sovereign bond prices were generally up during the month. Bond volatilities trends were mixed ending at 5-6% (and 1.4% in Japan). Germany was High, US medium and Japan low.
- In FX the Yen strengthened while Sterling weakened vs the euro. Volatility moves were mixed: e.g. €/$ down to 10.4%. Volatilities were all medium, with the exception of €/£ at High compared to the last 12 months.
- Option volatility will have been driven both by high volatility of volatility and moves in underlying prices during the month. Volatility of volatility for the US fell sharply to 135% (medium).
- Commodities’ price moves were again downwards. Volatility moves were upwards: e.g. Oil up to 60% (High).
- Real Estate (equity) price moves were close to flat. Volatility changes were mixed: down to 20% in the US (High) and to 21% in Europe (also High). Japan was up to 31% though. PE funds and Hedge Fund prices also fell, but despite this volatilities dropped.
Read the full Market Risk Report here.
View the online version of our September Newsletter here.