News & events



by Niall O'Connor

  • Volatility changes were again mixed. Most asset volatilities were medium relative to their 12-month averages, although Asia ex-Japan, Energy and Italy were high.
  • Realised volatility (of the Eurostoxx index over 30 days) rose from 10.1% to 14.5% (medium back up to high).
  • Equity market price moves were small outside the fall in Asia ex-Japan. Volatility trends were mostly upwards. Sector volatilities ended at 9-13% (Energy 18% though) and were mostly medium relative to the last 12 months.
  • Sovereign bond price moves were small, with Italy recovering slightly and Germany rising.Volatility moves were generally downwards, ending at 3-8% (but 0.6% in Japan). All were medium or high outside Japan.
  • FX moves were also . smallVolatility moves were downwards and ended at 4-9%.Volatilities relative to the euro ranged from low to high.
  • Option volatility will probably have been lower than recently as underlying prices during the month were mostly small, and volatility of volatility remained subdued at e.g. 139% for the US (medium).
  • Commodities’ price moves were larger than other asset classes. Volatility moves were moderate and mixed e.g. Oil up to 27.4% (high), and Gold down again to 8.7% (low).
  • Real Estate (equity) price moves were mixed.Volatility moves were also mixed and finished at 9-11% (ranging from low to medium). PE Funds fell as did hedge funds, with volatility moves mixed.

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