Market Volatility Risk Newsletter - July Edition
- Most volatilities increased, settling in mixed regimes. Volatility in most of the equity market increased while mixed trends have been observed for commodities.
- Realized volatility (of the Euro Stoxx 50 index over 30 days) increased from 29.9% to 31.7%.
- All the observed equity markets closed the month in a gain position. Sector volatilities spanned a range of 16.1% to 49.3% with energy and financial remaining in high regimes; all other sectors are in a medium regime.
- Sovereign bond price moves were mixed: Germany closed the month with the highest gain (+2.4%) while US lost -0.1%, Japan lost -0.2%, Italy gained +1.2%. Volatility moves were mostly upwards. Volatility regimes spanned a range between 1.5% and 5.1%, with Germany moving from low to medium regime and on the opposite side Italy moving from high to low regime. The regime for USA and Japan remained unchanged (low).
- The EUR closed in positive territory against all currencies except for the Japanese Yen. Euro gained1.3% against the US Dollar, Euro gained1.2% against the Japanese Yen, Euro lost 0.2% against the Swiss Franc, Euro gained1.0% against the British Pound.
- FX volatility moves were mixed. FX Volatility ended ranging between 5.5% and 9.0.
- Options’ implied volatility declined both in Europe (Vstoxx moved from 43.0 to 31.7 and its volatility from 134.8% to 127.4%) and in the US (VIX moved from 41.9 to 30.4 its volatility from 111.6% to 187.9%).
- Commodities’ prices all moved upwards: Oil (Brent) gained +16.5%, Gold gained +3.7%, Copper gained +11.9% and Iron Ore gained +3.6%. Volatility changes were mixed: volatility ranged between 15.2% to 54.2%, with the Brent experiencing the biggest decrease moving from 69.5% to 54.2%.
- Real Estate (equity) price moves were mixed; Europe appreciated +0.8%, US gained +2.7% and Japan lost -3.3%%. Volatility moves were all upwards, ranging from 27.1% to 44.6%.
- PE Funds lost -0.4%, while the Hedge Funds appreciated +1.4%. Volatility for the average hedge fund increased from 1.8% to 3.8% (low up to medium), while the average PE fund fell from 23.5% to 21.6% (high).
Read the full Market Risk Newsletter Here.
By the Arkus Risk Team