Arkus Focus September 2017
Does it look like 2007 again?
by Niall O'Connor
- Volatilities remained low during the month. Most assets’ volatility remained low or medium relative to their 12-month averages.
- Realised volatility (of the Eurostoxx index over 30 days) rose slightly to 12.0% (medium).
- Equity market price moves were mixed, with Asia ex-Japan up but Japan down. Volatility trends were upwards. Sector volatilities ended at 5-12% and were all low or medium relative to the last 12 months.
- Sovereign bond prices rose. Volatility moves were downwards, ending at 3-4% (but down to just 0.8% in Japan). All major regions bond volatilities were low.
- In FX the euro strengthened again. Volatility trends were mixed and ended at 6-8%. Dollar volatility was medium, Yen and Sterling volatility were low relative to the euro.
- Option volatility will have been driven by a large spike in volatility of volatility, while underlying price moves during the month were generally small. Volatility of volatility for the US rose to 221% (low up to high).
- Commodities price moves were mixed. Volatility moves were downwards e.g. Oil fell to 25.0% (medium down to low).
- Real Estate (equity) price moves were mixed. Volatility moves were mixed and finished at 7-12% (all low). PE Funds rose and hedge funds were down, with volatility changes in PE downwards and hedge funds upwards.
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