News & events

Earthquakes

Earthquakes


by Niall O'Connor

  • Volatility changes were all upwards on the month, outside FX. Asset volatilities were almost all high relative to their 12-month averages, although FX was low or medium.
  • Realised volatility (of the Eurostoxx index over 30 days) rose from 10.8% to 15.5% (medium up to high).
  • Equity market price moves were strongly negative. Volatility trends were all upwards. Sector volatilities ended at 17-33% and were all high relative to the last 12 months.
  • Sovereign bond price moves were small. Volatility moves were all upwards, ending at just 1-4% (Italy at 10.0% though). All were medium or high.
  • FX moves were upwards against the euro. Volatility moves were downwards and ended at 5-6%. Volatilities relative to the euro were all low or medium.
  • Option volatility will probably have been very high, as underlying price moves during the month were large, and volatility of volatility was strongly up e.g. to 213% for the US (high).
  • Commodities’ price moves were once again large. Volatility moves were mixed e.g. Oil up to 26.6% (low).
  • Real Estate (equity) price moves were again negative. Volatility moves were upwards and finished at 13-20% (all medium or high). PE Funds and hedge funds fell, with volatilities up.

Read the full Market Risk Report here.