News & events

Too Far into the Woods

Too Far into the Woods

by Niall O'Connor

  • Volatility changes were mostly downwards on the high levels of October, outside FX. Asset volatilities were almost all high or medium relative to their 12-month averages.
  • Realised volatility (of the Eurostoxx index over 30 days) fell from 15.5% to 12.6% (high down to medium).
  • Equity market price moves were slightly positive. Volatility trends were downwards. Sector volatilities spanned a range of 8-28% and were all high relative to the last 12 months, with the exception of Consumer Staples at medium.
  • Sovereign bond price moves were small but positive. Volatility moves were all downwards, ending at just 1-3% (Italy at 7% though). All were low or medium.
  • FX moves were slightly downwards against the euro. Volatility moves were upwards and ended at 4-9%. Volatilities relative to the euro were all medium or high.
  • Option volatility will probably have been high, as underlying price moves during the month were again large, and volatility of volatility was still moderate e.g. 132% for the US (high down to medium).
  • Commodities’ price moves were once again large. Volatility moves were mixed e.g. Oil up to 41.3% (high).
  • Real Estate (equity) price moves were mixed. Volatility moves were downwards and finished at 9-14% (spread from low to high). PE Funds and hedge funds fell again, with volatilities down.

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