News & events

Risk ON

The Arkus Risk Team

  • Volatilities were up. Asset volatilities were all medium-high.
  • Realized volatility (of the Euro Stoxx50 index over 30 days) increased to 20.7% (high).
  • Equity markets closed the month with small losses, but volatility trends were all upwards except for Japan that remained relatively stable. Sector volatilities spanned a range of 26%-12% and were close to the highest levels relative to the last 12 months.
  • Sovereign bond price moves were up again. Volatility trends were all up as well finishing the month in a range of 1.9%-7.4% (all high).
  • FX moves against the EUR were uniform with the EUR depreciating against all major currencies. The euro lost -1.3% against the US Dollar, lost -3.3% against the Japanese Yen, lost 1.2% against the Swiss Franc and lost -0.8% against the British Pound. FX volatility moves were moderate but all oriented upwards, moving to a medium-high regime. The British Pound and the Japanese Yen experienced the most significant daily movements. FX Volatility is ranging between 4.4% and 8.3%.
  • Option volatility increased as a result of underlying price moves during the month and volatility of implied volatility in Europe (Vstoxx) and the US (Vix) hiked massively.
  • Commodities’ price moves were mixed with Gold +6.8%, Brent crude -7.3%, Copper -5% and Iron Ore -25%. Volatilities were all up.
  • Real Estate (equity) price moves were positive with Europe +3.2%, US +2.8% and Japan +2.8%. Volatility moves were small with no change in regime (all low to medium).
  • PE Funds and hedge funds were unchanged (-0.7% and -0.1% respectively). Volatility slightly increased from 1.8% to 2.1% (low up to medium) for the average hedge fund while a more marked upwards trend was observed for the average PE fund’s volatility which moved up from 7.6% to 10% (medium up to high).


Read the full Market Risk Report Here.