March Volatility risk newsletter - Silver lining or just a breather?
The Arkus Risk Team
- Volatilities remained in high regimes. Although at a smaller rate of change, most of Equity markets and Commodities volatility continued increasing.
- Realized volatility (of the Euro Stoxx 50 index over 30 days) shrank from 75% to 36.3% (high).
- All the observed equity markets closed month in a loss position. Sector volatilities spanned a range of 21.8% to 57.8% and were all high.
- Sovereign bond price moves were mixed: Italy closed with a negative price movement of 2%, Japan gained 0.1%, US gained 0.27%, and Germany closed with a gain of 1.1%. Volatility moves were mixed. Volatility regimes spanned a range of 1.8% to 7.6%, with US moving back to low regime with 4.2%, Japan moving back to medium with 1.8%, and Germany and Italy remained in the high volatility regime with 6.1% and 7.6% respectively.
- The EUR closed in negative against all currencies. Euro lost 0.3% against the US Dollar, lost 1.1% against the Japanese Yen, lost 0.3% against the Swiss Franc and lost 1.8% against the British Pound.
- FX volatility moves were all downwards. FX Volatility ended ranging between 2.6% and 7.9%, with Japanese Yen being the highest mover (€/Yen moved from 10.1% to 7.9% - high-).
- Option volatility declined considerably in both Europe (Vstoxx-from 266.1% to 126%-) and in the US (VIX- from 248.1% to 115%-).
- Commodities’ prices all moved upward: Oil (Brent) won 11%, Gold gained 7%, Copper won 6%, and Iron price appreciated 1.5% during the last month. Volatility changes were mixed across commodities; volatility ranged between 16% to 149%; with the Brent experiencing the biggest increase moving from 131.6% to 149%.
- Real Estate (equity) price moves were all positive; Europe appreciated 3.3%, US gained 8.1%, and Japan gained 1.8%. Volatility moves were all up, ranging from 31% to 64%. All observed markets ended in a high regime.
- PE Funds rose 3.7%, while the Hedge Funds appreciated 2.5%. Volatility for the average hedge fund decreased from 5% to 4% (high down to medium), while the average PE fund increased from 23% to 30%(high).
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