News & events

Arkus Focus September 2016

Blowing Bubbles
by Niall O'Connor

  • Volatilities fell slightly for most assets during August. Volatilities almost all ended low relative to their 12-month averages, with the exception of US and Japanese government bonds.
  • Realised volatility (of Eurostoxx equities over 30 days) fell from 16.6% to 14.8% (low).
  • Equity market price moves were flat or upwards; volatility trends were down across the board. Sector volatilities ranged from 6-8% (with Energy at 15%). Sector volatilities were all low relative to the last 12 months.
  • Sovereign bond price moves were also modest during the month. Bond volatility changes were also small, ending at 4-5% (and 2.2% in Japan). They were low, with the exceptions of the US at medium and Japan at high.
  • FX price moves were also minor. Volatility trends were generally downwards: e.g. €/£ down to 8.8%. Volatilities were low for all major currencies relative to the euro.
  • Option volatility will likely have remained low as volatility of volatility stayed low and most underlying price moves were small during the month. Volatility of volatility for the US ended at just 75% (low).
  • Commodities’ price moves were mixed again, with Oil rising +11% but Gold dropping back. Volatility moves were downwards e.g. Oil down to 35% (low).
  • Real Estate (equity) price moves were mixed. Volatility changes were down: and finished at 10.8% in the US and 9.4% in Europe (low). PE Funds and Hedge Funds prices rose again, with volatility trends mixed.

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