Arkus Focus Octobre 2016
A storm is coming
by Niall O'Connor
- Volatilities rose during September up from the very low levels of August. Volatilities were mixed with no clear pattern, but in aggregate slightly below their 12-month averages.
- Realised volatility (of Eurostoxx equities over 30 days) rose from 14.8% to 16.4% (low).
- Equity market price moves were moderate during the month but ended it close to flat; volatility trends were generally upwards. Sector volatilities ranged from 12-13% (with Energy at 23%). Sector volatilities ranged from low to high relative to the last 12 months.
- Sovereign bond price moves were larger than the previous month but mixed in direction. Bond volatility changes were also small, ending at 4% (and 2.0% in Japan). The US was low, Germany medium and Japan high.
- FX price moves were also larger than the prior month. Volatility trends were also mixed: e.g. €/£ down to 8.0%. Volatilities were low for all major currencies relative to the euro
- Option volatility will likely have risen, driven by sharply rising volatility of volatility but with most underlying price moves small during the month. Volatility of volatility for the US ended at 201% (high).
- Commodities’ price moves were mixed again, with Oil rising again by +4% but Gold was flat. Volatility moves were also mixed e.g. Oil up to 44% (low up to medium).
- Real Estate (equity) price moves were all downwards in response to possible Fed tightening. Volatility changes were mixed: and finished at 21.0% in the US (high) and 13.5% in Europe (low). PE Funds and Hedge Funds prices rose again, with volatility trends mixed.
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