August was a month in which stock markets rose broadly while US long-term interest rates stopped tracking inflation data. The short end of the yield curve was driven by a weak labor market. The long end was driven by government finances: on August 14, the US thirty-year bond was sold at auction at the highest interest rate since 2001, in the middle of a week with the softest inflation figures of the month.

At the end of the month, a speech from the Federal Reserve's new chairman was enough to move the pricing of a September hike from 35 to over 50 percent, without any new statistics being added.

The price of risk fell during the month in almost every respect. Volatility on stock indices reached its lowest level this year and credit spreads tightened. One measure went the other way: the cost of protection against a big drop rose. That says something about where the market actually sees risk, and it is that difference that we build our structures around.