News & events

Taking away the punchbowl

A hard act to follow

by Niall O'Connor

  • Volatility moves were generally up on the month. Most assets’ volatilities remained low or medium relative to their 12-month averages, although equities rose to high.
  • Realised volatility (of the Eurostoxx index over 30 days) fell to 9.7% (medium) though.
  • Equity market price moves were strongly positive on the month. Volatility trends were mostly upwards. Sector volatilities ended at 7-14% and ranged from low to high relative to the last 12 months.
  • Sovereign bond prices declined on the month as inflationary concerns rose. Volatility moves were downwards though, ending at 3-4% (but just 1.0% in Japan). All were low, except Japan at medium.
  • In FX the euro strengthened again. Volatility trends were upwards and ended at 5-8%. Volatilities relative to the euro ranged from low to high.
  • Option volatility will have been driven by moves in underlying prices during the month. Volatility of volatility for the US rose to 123% (medium).
  • Commodities’ price moves were mostly positive. Volatility moves were mixed though e.g. Oil down to 15.9% (low), but Gold close to flat at 9.0% (low).
  • Real Estate (equity) price moves were large but mixed. Volatility moves were all upwards and finished at 13-15% (all now high). PE Funds rose as did hedge funds, with volatility moves in PE and hedge funds mixed.

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