News & events

Wake-up call

Wake-up call

by Niall O'Connor

  • Volatility moves were strongly upwards on the month. Most assets’ volatilities shot from low or medium to high relative to their 12-month averages, particularly equities.
  • Realised volatility (of the Eurostoxx index over 30 days) doubled, rising to 18.0% (high).
  • Equity market price moves were strongly negative on the month. Volatility trends were all upwards. Sector volatilities ended at 17-27% and were all high relative to the last 12 months.
  • Sovereign bond price moves were small. Volatility moves were mostly upwards, ending at 4-6% (but just 0.9% in Japan). All were high, except Japan at low.
  • In FX the euro weakened. Volatility moves were small and ended at 5-8%. Volatilities relative to the euro ranged from low to medium.
  • Option volatility will have been driven both by moves in underlying prices during the month and volatility of volatility, which spiked for the US to 447% (high).
  • Commodities’ price moves were all negative. Volatility moves were mixed though e.g. Oil up to 21.0% (medium), and Gold up to 12.2% (high).
  • Real Estate (equity) price moves were strongly negative.Volatility moves were all upwards and finished at 19-25% (all high). PE Funds fell as did hedge funds, with volatility moves in PE down but hedge funds strongly up.

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