News & events



by Niall O'Connor

  • Volatility changes were generally downwards going into the summer.Most asset volatilities were medium or low relative to their 12-month averages.
  • Realised volatility (of the Eurostoxx index over 30 days) fell from 14.5% to 10.1% (high down to medium).
  • Equity market price moves were generally strongly positive outside Asia ex-Japan. Volatility trends were mostly downwards. Sector volatilities ended at 7-15% and were all medium relative to the last 12 months.
  • Sovereign bond price moves were slightly negative, with Italy recovering again but Germany falling.Volatility moves were generally downwards, ending at just 1-3%. Germany and US were low, Japan and Italy were high.
  • FX moves were also moderate with the euro stronger. Volatility moves were downwards and ended at 3-6%.Volatilities relative to the euro were all low.
  • Option volatility will probably have been mixed, as underlying prices during the month were moderate, while volatility of volatility continued to fall e.g. to 91% for the US (low).
  • Commodities’ price moves were again larger than other asset classes. Volatility moves were generally upwards e.g. Oil up to 32.5% (high).
  • Real Estate (equity) price moves were mostly positive. Volatility moves were again mixed and finished at 7-12% (ranging from low to medium). PE Funds rose while hedge funds fell, with volatilities up.

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