News & events

Creeping upwards

Creeping Upwards

by Niall O'Connor

  • Volatilities in general declined again their very elevated levels of the prior months. Asset volatilities were mixed relative to their 12-month averages, with equities mostly high but FX and bonds mostly low.
  • Realised volatility (of the Eurostoxx index over 30 days) fell from 15.2% to 11.6% (high).
  • Equity market price moves returned to positive on the month. Volatility trends were all downwards again. Sector volatilities ended at 10-20% and were mostly high relative to the last 12 months.
  • Sovereign bond price moves were again small. Volatility moves were small and mixed, ending at 3-4% (but up to 0.9% in Japan). All were low.
  • FX moves were . moderateVolatility moves were mixed and ended at 5-7%.Volatilities relative to the euro were again low to medium.
  • Option volatility will have been lower than recently as underlying prices during the month were small and volatility of volatility dropped back for the US to 119% (medium).
  • Commodities’ price moves were small, with the exception of a rally in oil. Volatility moves were small e.g. Oil fractionally down to 24.4% (high down to medium), and Copper up to 19.3% (low back to high).
  • Real Estate (equity) price moves were positive again.Volatility moves were mixed and finished at 7-15% (ranging from low to high). PE Funds fell fractionally as did hedge funds, with volatility moves mixed.

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