News & events

Arkus Focus October 2017

Phillips curve

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 to 6.9% (low).
  • Equity market price moves were again upwards during the month, outside the UK. Volatility trends were mostly downwards. Sector volatilities ended at 6-10% and were all low or medium relative to the last 12 months.
  • Sovereign bond price moves were downwards. Volatility moves were all up, ending at 3-5% (but at just 1.5% in Japan). Germany was low, Japan and the US rose from low to high.
  • IIn FX Sterling strengthened. Volatility trends were mixed and ended at 6-9%. Dollar volatility was medium, Yen rose from low to medium and Sterling volatility rose from low to high relative to the euro.
  • Option volatility will have been driven by some large moves in underlying prices during the month. Volatility of volatility for the US fell to 94% though (high down to medium).
  • Commodities price moves were mixed but large. Volatility moves were mixed e.g. Oil down again to 21.7% (low).
  • Real Estate (equity) price moves were small.. . Volatility moves were mostly downwards and finished at 8-9% (all low). PE Funds rose as did hedge funds, with volatility moves in PE and hedge funds down.

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