News & events

Just a Glitch?

by The Arkus Risk Team

  • Volatility changes were mostly upwards on the moderate levels of November, outside FX. Asset volatilities were almost all high relative to their 12-month averages.
  • Realised volatility (of the Euro Stoxx50 index over 30 days) rose from 12.6% to 19.0% (medium up to high).
  • Equity market price moves were sharply negative. Volatility trends were upwards. Sector volatilities spanned a range of 13-32% and were all high relative to the last 12 months.
  • Sovereign bond price moves were all positive but volatility trends showed a mixed picture. Volatility trends were either stable or slightly upwards with the exception of Italy and Japan. The former decreased from 7% to 5.7% (back to a low regime) whereas the latter increased from 0.8% to 1.5% (entering a high volatility regime).
  • FX moves were slightly downwards against the euro. Volatility moves were downwards and ended at 3-6%. Volatilities relative to the euro were all low with the exception of the British Pound which is still considered to be in a high volatility regime.
  • Option volatility will probably have been very high, as underlying price moves during the month were again large, and volatility of volatility was still moderate e.g. 154% for the US (unchanged at medium).
  • Commodities’ price moves were once again large. Volatility moves were mixed e.g. Oil increased even further from 41% to 54% with Gold and Copper reducing in volatility.
  • Real Estate (equity) price moves were sharply down. Volatility moves were upwards and finished at 14-27% (all high now). PE Funds and hedge funds fell again, with a high volatility regime.

Read the full Market Risk Report here.