News & events

June Volatility risk newsletter - Keynesian Desires

  • Most Volatilities returned to medium regimes. Volatility in most of Equity and Commodity markets decreased.
  • Realized volatility (of the Euro Stoxx 50 index over 30 days) continued to shrink from 36.3% to 29.9% (high).
  • All the observed equity markets closed the month in a gain position. Sector volatilities spanned a range of 15.4% to 40.2% with only financial remaining in high regimes; all other sectors moved to medium.
  • Sovereign bond price moves were mixed: Germany closed the month with the highest negative price movement with -1.1%. Japan lost -0.3%. On the other side of the spectrum, Italy ended gaining +2.6%, and the USA closed with a small gain of +0.4%. Volatility moves were mixed. Volatility regimes spanned a range between 7.8% and 3.8%, with Germany and Japan moving back to a low regime with 3.8%, and 1.3% respectively. On the other hand, Italy remained in high regime with 7.8% and the USA in a low regime with 3.6%.
  • The EUR closed in positive territory against all currencies. Euro gained +1.1% against the US Dollar, +2.1% against the Japanese Yen, +1.1% against the Swiss Franc, and +2.4% against the British Pound.
  • FX volatility moves were mixed. FX Volatility ended ranging between 4.3% and 8.6%, with Japanese Yen being the highest mover (€/Yen moved from 7.9% to 8.6% - high-).
  • Option volatility declined slightly in Europe (Vstoxx-from 126.4% to 135%-) and increased in the US (Vix- from 115% to 112%-).
  • Commodities’ prices all moved upward: Oil (Brent) advanced an impressive +33.6%, Gold gained +2.1%, Copper increased +4.6%, and Iron price appreciated 14.5% during the last month. Volatility changes were mixed across commodities; volatility ranged between 16.4% to 69.5%; with the Brent experiencing the biggest increase moving from 131.6% to 149%.
  • Real Estate (equity) price moves were all positive; Europe appreciated +2.3%, the US gained +3.6%, and Japan gained +7.4%. Volatility moves were all down, ranging from 26.2% to 42.6%. The US remained in the high regime, with Europe and Japan changing to medium volatility.
  • PE Funds surged +5.6%, while the Hedge Funds appreciated +1.1%. Volatility for the average hedge fund decreased from 4.1% to 1.8% (medium to down), while the average PE fund fell from 30% to 23.5% (high).

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