News & events

Arkus Focus September 2015

Taper Tantrum, Mk2
by Niall O'Connor

  • Volatility trends were strongly upwards in August. Volatilities were almost all High relative to their 12-month averages.
  • Realised volatility (of Eurostoxx equities over 30 days) rose from 24.1% to 35.0% (High).
  • Equity market price moves were strongly downwards in all regions. Volatility trends were all upwards. Sector volatilities ranged from 16-33%. All major sectors had High volatilities relative to the last 12 months.
  • Sovereign bond price moves were relatively minor during the month. Bond volatility trends were also minor ending at 5-6% (and 1.5% in Japan). All were High with the exception of Japan at low.
  • In FX the Dollar and Sterling weakened vs the euro. Volatility moves were mixed: e.g. €/$ rose to 13.3%. Volatilities were mixed: €/£ at High and €/Yen low compared to the last 12 months.
  • Option volatility will have been driven strongly by moves in both underlying prices and a large increase in volatility of volatility, which for the US rose to 260% (High).
  • Commodities’ price moves were strongly downwards, followed by a huge rally for Oil in the last few days of the month. Volatility moves were upwards: e.g. Oil up to 61% (High).
  • Real Estate (equity) price moves were sharply downwards. Volatility changes were upwards: to 25% in the US (High), and to 31% in Europe (also High).

Read the full Market Risk Report here.

View the online version of our September Newsletter here.