6  BIS Review 44/2009  Appendix: Figure 1: Developments in volatility Panel A: realised volatility Equity markets  euro/dollar exchange rate  Panel B: implied volatilities  Source: Bloomberg, Thomson Financial Datastream and ECB staff calculations. Note: daily data, % annualised. Last observation 10 March 2009.
In the U.S., for example, people thought that the subprime market was relatively small and that Lehman Brothers’ balance sheet was not especially big. Both of them, however – the subprime market and Lehman Brothers – ultimately dealt the system a very grave blow when they collapsed.