News & events

Calmer waters

Calmer waters

by Niall O'Connor

  • Volatility changes were mixed. Most asset volatilities were medium to high relative to their 12-month averages, although gold and copper were low.
  • Realised volatility (of the Eurostoxx index over 30 days) fell from 11.6% to 10.1% (high down to medium).
  • Equity market price moves were mixed. Volatility trends were mostly downwards again. Sector volatilities ended at 8-13% (Energy 18% though) and were mostly medium to high relative to the last 12 months.
  • Sovereign bond price moves were dramatic, with Italy falling and Germany rising. Volatility moves were generally upwards, ending at 4-5% (but 0.7% in Japan). All were high outside Japan.
  • FX moves were also large. Volatility moves were mixed and ended at 6-9%. Volatilities relative to the euro all rose to high.
  • Option volatility will probably have been higher than recently as underlying prices during the month were larger, although volatility of volatility remained subdued at e.g. 132% for the US (medium).
  • Commodities’ price moves were again small, with the exception of a continuing rally in oil. Volatility moves were moderate and mixed e.g. Oil up to 25.0% (medium back up to high), and Copper down to 14.2% (high back down to low).
  • Real Estate (equity) price moves were mixed.Volatility moves were mixed and finished at 8-13% (ranging from low to medium). PE Funds fell while hedge funds were flat, with volatility moves downwards.

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