News & events

Sugar Rush

Sugar Rush

by Niall O'Connor

  • Volatility changes were slightly upwards on the month. Asset volatilities were spread across low, medium and high relative to their 12-month averages, with FX high and property low.
  • Realised volatility (of the Eurostoxx index over 30 days) rose from 10.1% to 11.7% (medium).
  • Equity market price moves were strongly positive in the US, but mixed elsewhere. Volatility trends were mixed. Sector volatilities ended at 8-16% and were all medium relative to the last 12 months, with the exception of IT at low.
  • Sovereign bond price moves were generally positive, but with Italy falling. Volatility moves were generally downwards, ending at just 1-4%. The US and Japan were medium, while Germany was high.
  • FX moves were also moderate with the euro weaker. Volatility moves were upwards and ended at 6-8%. Volatilities relative to the euro were all high, except sterling at medium.
  • Option volatility will probably have been low, as underlying prices during the month were moderate, while volatility of volatility was largely unchanged e.g. to 111% for the US (medium).
  • Commodities’ price moves were once again larger than other asset classes. Volatility moves were mixed e.g. Oil down to 22.7% (medium).
  • Real Estate (equity) price moves were mostly positive again. Volatility moves were again mixed and finished at 8-10% (all low). PE Funds rose while hedge funds fell, with volatilities down.

Read the full Market Risk Report here.

View the online version of our Newsletter here.