*Low and subdued equity volatility shows no sign of abating
*Equity benchmarks brush all-time highs but fail to hold
*Out of hours China Mfg PMI beat could kick start Monday trading
Thanks but no thanks
It was an interesting week for risk sentiment with equities reaching higher amid light participation from the US off the back of Thanksgiving celebrations. The ASX made new all-time highs on higher rate cut expectations but failed to hold. GBP pressed 1.3 following YouGov MRP projections that Conservatives win majority government with 359 seats. Crude retreated on Russia's reluctance to acquiesce to OPEC+ supply cuts. Nervousness surrounding US-China negotiations continues to keep price action honest across FX, equities and rates which did indeed pull back in late Friday trading. Ultimately, however, the positive impact of low and subdued volatility on broad bullishness and positioning is something we remain extremely mindful of.
In case you missed it:
Fixed Income & Commodities:
Source: Eikon data, ThinkMarkets.
We continue to build out the above tables.
Returns are measured from the first available hourly data point till the end of NY Friday.
FX, equities and commods are measured in log returns.
Fixed income returns are the difference in basis points.
Volatility is an annualised measure based on the hourly returns of the week.
Z-Score = weekly return/annualised volatility scaled to a week.