Historic moves after UK referendum – Goldman Sachs

Research Team at Goldman Sachs, suggests that the “Brexit” has triggered global risk-off moves as the outcome of the UK referendum took financial markets by surprise.

Key Quotes

“After pricing in a higher likelihood of a “remain” decision just a day earlier, risky assets sharply sold off on Friday, with some daily moves setting new all-time highs. The ~8% decline in the GBP against the USD was the largest move on record.

Safe-haven currencies, gold rally USD, JPY and gold rallies placed their 1d moves within their top percentiles relative to history. Against these gains were sharp sell-offs across the equity and commodity space, with key indices posting some of their lowest returns on record.

The VIX landed at 25.8 last Friday and has only closed higher on 16% of trading days back to 1990. Three of the top five highest SPX 1m skew levels on record occurred last week. The VSTOXX landed at 35.4 on Friday and has only closed higher on 12% of trading days in its history.”