Co-Chief Investment Officer
Volatility – still waters run deep
07.07.2016 - Emmanuel Bourdeix
In the wake of the Brexit vote, and despite an 8.5% drop in the Euro Stoxx 50 on June 24th, implied volatility didn’t spike in Europe.
On the below chart, the red dot represents the 1-day implied volatility shift of a 3M option between the 23rd and the 24th June. Implied volatility decreases by 0.34% when the markets lose 8.5%. Compared to previous market movements (the blue dots), the actual impact of the Brexit on volatility is a clear outlier.
While headline volatility like the VSTOXX moved up (+3.4 points to 35.42), it nonetheless closed below its level of June 22nd at 36. Intuitively, VSTOXX should move up when market moves down. While both usually move in sync, it was not the case after the Brexit.
Emmanuel Bourdeix holds an engineering degree from Ecole Nationale des Ponts et Chaussées and a DEA [post-graduate diploma] in probabilities and finance from Université Pierre et Marie Curie.
Emmanuel Bourdeix began his career in 1995 at Dresdner Kleinwort Benson as arbitrage analyst and structurer. In 1998, he joined CAAM where he acted as portfolio manager, then head of convertible bonds and volatility in 2002 and finally head of satellite equity management in 2006. In 2007, he was appointed deputy CEO of equity and diversified management and, at the inception of Amundi, head of equity Europe, world and emerging countries. In 2010, he became CIO equity, asset allocation & structured products of Natixis Asset Management.
Emmanuel Bourdeix is currently member of the executive committee, Co-CIO in charge of the investment divisions Seeyond*, European equities, Investment and client solutions, Global emerging of Natixis Asset Management.