News & events

On Edge

The Arkus Risk Team
  • Volatilities were significantly down. Asset volatilities were low-medium except for government bonds (still medium-high).
  • Realized volatility (of the Euro Stoxx50 index over 30 days) decreased from 20.7% to 7.1% (low)
  • Equity markets closed the month with small gains, but volatility trends were all downwards. Sector volatilities spanned a range of 8%-16% and were all low except for energy (still medium).
  • Sovereign bond price moves were down. Volatility trends were mixed with German bonds showing significant daily price moves. Volatility regimes were unchanged finishing in a range of 2.3% to 6.3% (all medium-high).
  • FX moves against the EUR were mild but edging lower against major currencies. The euro lost -0.7% against the US Dollar, gained +0.9% against the Japanese Yen, lost -0.1% against the Swiss Franc and lost -1.9% against the British Pound. FX volatility moves were mixed. The British Pound and the Japanese Yen experienced the most significant daily movements. FX Volatility is ranging between 5.3% and 7.2%.
  • Option volatility decreased as a result of steady underlying price moves during the month and volatility of implied volatility in Europe (Vstoxx) and the US (Vix) falling quickly.
  • Commodities’ price moves were mixed with Gold -3.8%%, Brent crude +0.6%, Copper +1.8% and Iron Ore +5.3%. Volatilities were unchanged except for Iron Core (high down to low).
  • Real Estate (equity) price moves were strongly positive again with Europe +4.4%, US +2.2% and Japan +4.4%. Volatility moves were mostly down ending in either a low or medium volatility regime.
  • PE Funds and hedge funds were unchanged (+1.2% and +0.1% respectively). Volatility slightly decreased from 2.1% to 1.7% (medium down to low) for the average hedge fund and the average PE fund volatility moved down from 10.0% to 7.9% (high down to medium).

Read the full Market Risk Report Here.