New 1y High: ASX200=5912.9
#stock #aud https://t.co/FEDva7hVgv
Mb's Market Bot
New 1y High: ASX200=5912.9
#stock #aud https://t.co/FEDva7hVgv
Cheapest 1m Implied Vol vs Realized:
Ratio vImpl vReal Cheap
0.38 50.7 133.6 AUD_1y1y
0.63 37.5 59.4 AUD_2y
0.72 41.2 57.4 CAD_1y1y
0.73 52.2 71.8 USD_1y1y
0.93 8.4 9.0 GBP
0.98 9.0 9.2 AUD
Biggest Vol Moves:
+13.1% +2.55 22.09 VSTOXX
+9.5% +5.5 63.2 NOK_1m1y_bpVol
+9.4% +2.1 24.5 SEK_1m1y_bpVol
+9.3% +1.5 17.6 EUR_1m1y_bpVol
+9.2% +1.18 14.05 VIX
+7.3% +2.1 30.7 SEK_1m2y_bpVol
+7.2% +4.5 66.8 NOK_1m2y_bpVol
+7.2% +1.6 23.9 EUR_1m2y_bpVol
+7.1% +1.00 15.03 VIX1
+6.8% +1.60 25.10 VSTOXX1
------------------------
-2.7% -0.17 6.11 EUR_Vol1w
-2.8% -1.2 41.6 SEK_1y1y_bpVol
-3.0% -0.23 7.54 CHF_Vol3m
-3.4% -1.3 37.5 AUD_1m2y_bpVol
-3.5% -2.3 63.0 AUD_1m5y_bpVol
-3.8% -0.22 5.52 CHF_Vol1w
-4.4% -0.28 6.03 CAD_Vol1w
-5.0% -2.3 44.2 KRW_1y10y_bpVol
-6.2% -0.54 8.21 JPY_Vol1w
-6.8% -0.50 6.91 GBP_Vol1w
Biggest Rates Moves:
+20.9% +0.097 0.562 AUDvsNZD_1y1y
+7.2% +0.081 1.213 USDvsNZD_5y5y
+0.073 -1.857 USDvsJPY_5y5y_Inflation
+10.7% +0.072 0.748 USDvsNZD_10y_Bond
+12.3% +0.068 0.621 AUDvsNZD_5y5y
+15.6% +0.065 0.482 AUDvsNZD_10y
+6.8% +0.065 1.014 USDvsNZD_10y
+9.5% +0.064 0.738 AUDvsNZD_10y10y
+9.5% +0.062 0.715 AUDvsNZD_2y2y
+8.9% +0.059 0.724 GERvsFRA_10y_Bond
------------------------
-1.8% -0.042 2.357 AUD_2y2y
-1.9% -0.044 2.207 SPAvsPOR_10y_Bond
-8.9% -0.045 0.458 USDvsAUD_5s30s
-1.2% -0.045 3.820 POR_10y_Bond
-3.2% -0.054 1.643 GBP_10y10y
-0.9% -0.062 6.574 GERvsGRE_10y_Bond
-44.0% -0.080 0.102 USDvsAUD_1y1y
-1.2% -0.083 6.781 GRE_10y_Bond
-5.0% -0.101 1.906 AUD_1y1y
-2.9% -0.221 7.443 GRE_2y_Bond
Biggest Market Moves:
+1.4% +0.193 13.952 ZAR
+1.3% +0.74 55.98 Oil
+0.9% +50.4 5912.9 ASX200
+0.7% +0.103 14.017 CADMXN
+0.7% +133 18798 Nikkei
+0.7% +9.8 1499.6 Topix
+0.6% +6.4 1143.4 KRW
+0.5% +0.56 121.27 ETF_20+_Bonds
+0.4% +0.285 64.565 INR
+0.4% +64 15731 TSX
------------------------
-0.5% -0.19 39.78 ETF_EM_Vanguard
-0.5% -0.0072 1.3326 CAD
-0.5% -27.9 5107.4 CAC40
-0.6% -0.23 38.51 ETF_China
-0.6% -0.0060 0.9996 AUDCAD
-0.9% -18.4 2133.3 KOSPI
-1.0% -0.74 74.71 Iron
-1.1% -1.35 124.60 SX7E
-1.3% -0.230 17.920 Silver
-1.6% -4.30 260.40 Copper
1mVol Implied < Realized: AUD_1y1y r0.40
#rate #aud #histvol #irvol https://t.co/sY9DCB1Njq
1mVol Implied < Realized: CAD_1y1y r0.69
#rate #histvol #irvol #cad https://t.co/6HOlUyeVmI
1mVol Implied < Realized: USD_1y1y r0.72
#usd #rate #histvol #irvol https://t.co/PqnkrYb0GY
1mVol Implied < Realized: AUD_2y r0.66
#rate #aud #histvol #irvol https://t.co/nSjp8nhtKI
New 1y Low: USDvsAUD_2y2y=0.163
#usd #aud #xmarket #rate https://t.co/Tiy5Ydf6HR
New 1y Low: USDvsAUD_10y=0.532
#usd #aud #xmarket #rate https://t.co/yIKsYar2w9
New 1y High: USD_3m=1.158
#usd #rate https://t.co/AZlDdA8kw9
New 1y High: Stoxx600=381.26
#stock #eur https://t.co/QGWd3tiBX5
New 1y Low: INR=64.28
#inr #em #fx https://t.co/T0TW8Zkm69
New 1y Low: EURvsSEK_2s10s=0.448
#rate #xmarket #eur #sek https://t.co/ncoy0jKZuD
New 1y Low: EURvsCHF_5y5y=-0.805
#chf #rate #xmarket #eur https://t.co/JrDnYbUE7f
New 1y Low: EURCZK=26.579
#czk #eur #fx #em https://t.co/E1u1biNl72
New 1y High: CAC40=5135.3
#stock #fra #eur https://t.co/jj0FaILMIr
Cheapest 1m Implied Vol vs Realized:
Ratio vImpl vReal Cheap
0.40 51.8 129.7 AUD_1y1y
0.66 38.8 58.4 AUD_2y
0.69 40.3 58.7 CAD_1y1y
0.72 52.0 71.8 USD_1y1y
0.92 8.6 9.3 AUD
0.93 8.4 9.0 GBP
0.99 8.6 8.7 NZD
Biggest Vol Moves:
+8.8% +3.9 48.1 AUD_6m2y_bpVol
+7.7% +3.1 43.6 AUD_3m2y_bpVol
+7.4% +4.5 65.3 AUD_1m5y_bpVol
+7.0% +2.3 35.0 AUD_6m1y_bpVol
+6.5% +4.6 75.9 AUD_1m10y_bpVol
+6.4% +1.8 29.9 AUD_3m1y_bpVol
+6.0% +2.6 46.3 KRW_2y10y_bpVol
+5.9% +3.7 66.4 AUD_3m5y_bpVol
+5.7% +0.36 6.66 CAD_Vol1m
+5.6% +3.6 67.6 AUD_6m5y_bpVol
------------------------
-3.0% -1.5 47.8 SEK_3m5y_bpVol
-3.5% -0.32 8.75 JPY_Vol1w
-5.4% -0.36 6.28 EUR_Vol1w
-5.4% -3.5 60.9 CAD_1m5y_bpVol
-5.5% -0.41 7.03 NOK_Vol1w
-6.8% -0.42 5.74 CHF_Vol1w
-7.5% -0.60 7.41 GBP_Vol1w
-7.6% -0.57 6.97 AUD_Vol1w
-8.4% -0.65 7.04 SEK_Vol1w
-9.4% -0.70 6.76 NZD_Vol1w
Biggest Rates Moves:
+21.5% +0.089 0.503 USDvsAUD_5s30s
+4.4% +0.084 2.007 AUD_1y1y
+4.2% +0.081 2.014 EURvsUSD_2y2y
+3.9% +0.075 2.013 EURvsUSD_1y1y
+3.1% +0.067 2.236 USD_2y2y
+3.6% +0.063 1.825 USD_1y1y
+3.3% +0.061 1.920 USD_5y_Bond
+4.8% +0.058 1.263 CAD_1y1y
+2.7% +0.053 2.027 USD_5y
+3.6% +0.051 1.463 CAD_5y
------------------------
-7.3% -0.075 0.949 USDvsNZD_10y
-0.077 -2.546 USDvsCHF_10y_Bond
-15.4% -0.085 0.465 AUDvsNZD_1y1y
-0.088 -1.310 USDvsGBP_1y1y
-0.091 -2.560 USDvsCHF_2y2y
-0.095 -1.361 USDvsGBP_2y2y
-10.9% -0.100 0.816 USDvsNZD_2y2y
-3.3% -0.227 6.636 GERvsGRE_10y_Bond
-3.0% -0.240 7.664 GRE_2y_Bond
-3.7% -0.262 6.864 GRE_10y_Bond
Biggest Market Moves:
+1.5% +0.870 57.251 RUB
+0.7% +1.140 172.200 Buxl
+0.7% +0.0241 3.7332 TRY
+0.7% +9.6 1489.8 Topix
+0.6% +0.35 55.24 Oil
+0.6% +46.2 7349.4 FTSE100
+0.6% +6.2 1137.0 KRW
+0.6% +0.050 9.074 SEK
+0.5% +0.0344 6.4640 CADNOK
+0.5% +0.51 101.18 DXY
------------------------
-0.4% -0.060 13.914 CADMXN
-0.4% -0.082 18.666 MXN
-0.5% -0.69 137.48 GBPJPY
-0.5% -0.0053 1.0591 EUR
-0.6% -0.100 18.150 Silver
-0.6% -0.0045 0.7500 AUD
-0.6% -45.7 7243.8 NZX50
-0.6% -0.0064 1.0056 AUDCAD
-0.8% -0.0099 1.2371 GBP
-6.8% -5.47 75.45 Iron
1mVol Implied < Realized: AUD_1y1y r0.40
#histvol #irvol #aud #rate https://t.co/7wMwbkGoh3
1mVol Implied < Realized: CAD_1y1y r0.73
#cad #histvol #irvol #rate https://t.co/bKwlOb1UcY
1mVol Implied < Realized: USD_1y1y r0.75
#histvol #irvol #usd #rate https://t.co/NQZLOG8ktW
1mVol Implied < Realized: AUD_2y r0.65
#histvol #irvol #aud #rate https://t.co/0CUZQFg2MD
1mVol Implied < Realized: EUR_5y r0.87
#histvol #irvol #eur #rate https://t.co/2xx1qf9M0x
New 1y High: SEKvsNOK_2s10s=-0.612
#xmarket #sek #nok #rate https://t.co/tumf2tJfFb
New 1y High: KRW_10y10y=2.0
#rate #krw https://t.co/mHDvfR0UMp
New 1y Low: INR=64.534
#inr #em #fx https://t.co/p6BZ7B1bpe
New 1y Low: EURCZK=26.631
#eur #czk #fx #em https://t.co/lP5IBb4ZP4
Cheapest 1m Implied Vol vs Realized:
Ratio vImpl vReal Cheap
0.40 50.6 125.3 AUD_1y1y
0.65 36.9 56.6 AUD_2y
0.73 40.3 54.9 CAD_1y1y
0.75 51.8 69.3 USD_1y1y
0.87 46.6 53.5 EUR_5y
0.95 8.7 9.2 AUD
0.96 27.3 28.4 EUR_1y1y
0.99 44.9 45.5 KRW_10y
1.00 8.6 8.6 NZD
Biggest Vol Moves:
+36.0% +3.15 11.89 EUR_Vol1m
+22.5% +2.02 10.98 SEK_Vol1m
+19.7% +1.79 10.89 JPY_Vol1m
+15.2% +1.09 8.28 CHF_Vol1m
+12.4% +1.14 10.31 NOK_Vol1m
+9.9% +0.78 8.66 AUD_Vol1m
+9.7% +6.9 78.4 NOK_1m5y_bpVol
+9.5% +5.0 57.4 NOK_1m1y_bpVol
+9.4% +4.0 46.6 EUR_1m5y_bpVol
+9.3% +1.9 22.3 EUR_1m2y_bpVol
------------------------
-3.4% -1.3 36.7 KRW_1m2y_bpVol
-3.9% -0.50 12.39 VIX
-3.9% -1.8 43.9 KRW_3m5y_bpVol
-4.0% -1.8 43.5 KRW_1m5y_bpVol
-4.0% -1.5 35.9 KRW_1y1y_bpVol
-5.0% -2.3 43.7 KRW_2y10y_bpVol
-6.3% -3.0 44.4 KRW_6m10y_bpVol
-7.2% -3.5 45.1 KRW_3m10y_bpVol
-7.2% -3.5 44.9 KRW_1m10y_bpVol
Biggest Rates Moves:
+11.2% +0.114 1.133 USDvsGBP_5y5y_Inflation
+0.085 -1.946 USDvsJPY_5y5y_Inflation
+8.1% +0.067 0.892 JPYvsKRW_10y10y
+3.9% +0.065 1.714 JPYvsKRW_5y5y
+2.9% +0.060 2.120 KRW_5y5y
+2.8% +0.058 2.124 JPYvsKRW_10y_Bond
+2.4% +0.052 2.184 KRW_10y_Bond
+0.050 -1.018 EURvsCHF_10y10y
+2.6% +0.050 2.000 KRW_10y10y
+2.8% +0.050 1.870 KRW_5y_Bond
------------------------
-3.0% -0.050 1.617 NOK_2y2y
-7.1% -0.053 0.695 USDvsNZD_1y1y
-3.8% -0.054 1.381 EURvsNOK_2y2y
-2.7% -0.054 1.914 AUD_1y1y
-1.5% -0.055 3.641 GERvsPOR_10y_Bond
-29.7% -0.062 0.147 USDvsAUD_1y1y
-2.7% -0.062 2.272 SPAvsPOR_10y_Bond
-13.5% -0.076 0.487 POR_2y_Bond
-3.8% -0.095 2.386 USD_5y5y_Inflation
-10.9% -0.096 0.787 EURvsUSD_5y5y_Inflation
Biggest Market Moves:
+6.3% +71.1 1199.2 XBT
+1.0% +0.53 54.89 Oil
+0.8% +1.04 125.84 SX7E
+0.6% +0.15 23.62 ETF_Financials
+0.6% +29.6 5121.4 CAC40
+0.5% +17.0 3489.6 EuroStoxx
+0.4% +4.9 1250.3 Gold
+0.4% +0.033 9.024 SEK
+0.3% +5.4 1564.0 OMX
+0.3% +54 15697 TSX
------------------------
-0.5% -0.0050 1.0120 AUDCAD
-0.5% -2.58 480.20 MSCIAP
-0.5% -0.349 64.534 INR
-0.6% -5.9 963.3 MSCIEM
-0.8% -0.62 80.92 Iron
-0.8% -2.20 265.80 Copper
-1.4% -0.344 25.014 CZK
-1.4% -264 18597 Nikkei
-1.5% -0.410 26.631 EURCZK
-1.6% -24.5 1480.2 Topix
1mVol Implied < Realized: AUD r0.83
#fxvol #fx #histvol #aud https://t.co/epfqfzZlrs
1mVol Implied < Realized: AUD_1y1y r0.41
#irvol #histvol #aud #rate https://t.co/lTgNUAyLFh
1mVol Implied < Realized: CAD_1y1y r0.74
#irvol #histvol #cad #rate https://t.co/e78CthCp9m
1mVol Implied < Realized: USD_1y1y r0.73
#irvol #histvol #usd #rate https://t.co/5Kjw1BLIKK
1mVol Implied < Realized: AUD_2y r0.64
#irvol #histvol #aud #rate https://t.co/ZsMGI6uMnd
1mVol Implied < Realized: EUR_5y r0.79
#irvol #histvol #rate #eur https://t.co/Twu9x9sEMQ
New 1y Low: USDvsAUD_10y=0.542
#usd #aud #rate #xmarket https://t.co/zaalAvjS0y
New 1y High: SEKvsNOK_2s10s=-0.626
#nok #sek #rate #xmarket https://t.co/vlDvpGnYhl
New 1y High: JPY_1y=0.048
#jpy #rate https://t.co/9BTDy9CsCe
Cheapest 1m Implied Vol vs Realized:
Ratio vImpl vReal Cheap
0.41 51.4 126.7 AUD_1y1y
0.64 36.8 57.8 AUD_2y
0.73 52.1 71.0 USD_1y1y
0.74 41.0 55.5 CAD_1y1y
0.79 42.6 53.9 EUR_5y
0.83 7.9 9.5 AUD
0.90 8.0 8.8 NZD
0.94 51.8 55.2 EUR_10y
0.95 27.3 28.7 EUR_1y1y
0.96 72.5 75.2 USD_10y
0.97 8.2 8.5 GBP
0.97 68.0 70.0 USD_30y
0.97 69.7 71.7 USD_20y
0.99 49.7 50.3 CHF_10y
0.99 71.4 72.2 USD_5y
Biggest Vol Moves:
+12.5% +7.0 63.1 CAD_1m5y_bpVol
+9.3% +1.10 12.89 VIX
+8.7% +2.9 36.2 KRW_6m1y_bpVol
+4.9% +0.65 13.88 VIX1
+4.7% +3.2 71.5 NOK_1m5y_bpVol
+4.5% +2.8 65.6 CAD_1m10y_bpVol
+4.4% +1.8 42.6 EUR_1m5y_bpVol
+4.2% +1.5 37.4 KRW_1y1y_bpVol
+4.2% +1.8 44.9 SEK_1m5y_bpVol
------------------------
-2.8% -0.23 7.88 AUD_Vol1m
-3.0% -1.2 39.4 KRW_2y1y_bpVol
-3.9% -2.2 54.8 CAD_2y10y_bpVol
-4.4% -0.33 7.24 AUD_Vol1w
-4.4% -2.6 56.3 CAD_1y10y_bpVol
-4.6% -2.8 58.2 CAD_6m10y_bpVol
-4.7% -3.0 60.6 CAD_3m10y_bpVol
-6.0% -1.5 23.7 CAD_1m1y_bpVol
-8.8% -4.2 43.4 CAD_1m2y_bpVol
Biggest Rates Moves:
+22.8% +0.260 1.400 KRW_3m
+0.083 -1.281 USDvsGBP_2y2y
+3.2% +0.078 2.481 USD_5y5y_Inflation
+0.068 -1.209 USDvsGBP_5y5y
+0.062 -2.064 USDvsJPY_2y2y
+0.061 -1.174 USDvsGBP_10y
+6.6% +0.059 0.947 USDvsNZD_2y2y
+6.6% +0.055 0.883 EURvsUSD_5y5y_Inflation
+0.051 -1.243 USDvsGBP_10y_Bond
+3.3% +0.048 1.493 GBP_5y5y
------------------------
-1.4% -0.040 2.858 AUD_10y
-1.4% -0.047 3.258 AUD_5y5y
-2.7% -0.048 1.759 USD_1y1y
-10.9% -0.048 0.391 USDvsAUD_5s30s
-2.6% -0.052 1.947 EURvsUSD_1y1y
-5.3% -0.057 1.019 USDvsGBP_5y5y_Inflation
-2.6% -0.057 2.164 USD_2y2y
-2.9% -0.057 1.932 EURvsUSD_2y2y
-0.068 -2.031 USDvsJPY_5y5y_Inflation
-0.9% -0.075 7.874 GRE_2y_Bond
Biggest Market Moves:
+2.6% +2.09 81.54 Iron
+2.6% +6.80 268.00 Copper
+1.3% +0.181 13.806 ZAR
+1.0% +6.24 623.29 OBX
+0.6% +2.96 482.78 MSCIAP
+0.6% +0.063 10.748 GBPNOK
+0.6% +0.0208 3.6993 TRY
+0.5% +0.299 56.384 RUB
+0.5% +0.0178 3.9446 EURTRY
+0.4% +4.0 969.2 MSCIEM
------------------------
-0.4% -0.22 53.08 ETF_Technology
-0.4% -0.0044 1.0443 NOKSEK
-0.4% -0.0038 0.8542 EURGBP
-0.5% -64 12218 DAX
-0.6% -8.7 1558.6 OMX
-0.6% -34.1 5864.5 Nasdaq
-0.7% -0.130 18.190 Silver
-0.8% -9.6 1245.4 Gold
-0.8% -0.18 23.47 ETF_Financials
-0.9% -10.8 1128.1 XBT
@mathiasberenger FLY(2 x Eurodollar6 – Eurodollar2 – Eurodollar10) 2yChart
#future #usd https://t.co/VoBosu5BP2
@mathiasberenger (VIX3 , VSTOXX3) 2yChart
#usd #vol #eur https://t.co/p6dVYSkkSU
@mathiasberenger SPR(VSTOXX3 – VSTOXX1) 2yChart
#vol #eur https://t.co/MLL0BN6pP7
@mathiasberenger (VSTOXX , VSTOXX3) 5yChart
#vol #eur https://t.co/toCzFpmtdS
@mathiasberenger SPR(VSTOXX3 – VSTOXX2) 5yChart
#vol #eur https://t.co/OazFTNIfPz
Cheapest 1m Implied Vol vs Realized:
Ratio vImpl vReal Cheap
0.40 51.5 127.7 AUD_1y1y
0.62 36.1 58.5 AUD_2y
0.71 40.6 56.8 CAD_1y1y
0.75 52.6 70.2 USD_1y1y
0.76 40.8 53.5 EUR_5y
0.85 8.1 9.5 AUD
0.90 8.1 9.1 NZD
0.92 26.9 29.2 EUR_1y1y
0.92 50.9 55.2 EUR_10y
0.96 71.9 74.8 USD_10y
0.98 69.8 71.5 USD_20y
0.98 8.3 8.5 GBP
0.98 68.6 69.9 USD_30y
0.98 70.3 71.6 USD_5y
0.99 49.7 50.1 CHF_10y
1.00 48.3 48.5 KRW_10y
1mVol Implied < Realized: NZD r0.90
#histvol #nzd #fxvol #fx https://t.co/a6q2aZvD4T
1mVol Implied < Realized: AUD r0.85
#aud #histvol #fxvol #fx https://t.co/I0aXpNnHSY
1mVol Implied < Realized: AUD_1y1y r0.40
#rate #aud #irvol #histvol https://t.co/kQl04Az5yy
1mVol Implied < Realized: CAD_1y1y r0.71
#rate #irvol #cad #histvol https://t.co/ddYd2QGCEg
1mVol Implied < Realized: USD_1y1y r0.75
#rate #usd #irvol #histvol https://t.co/fBbLtZXLUc
1mVol Implied < Realized: AUD_2y r0.62
#rate #aud #irvol #histvol https://t.co/Bajf5WEhwy
1mVol Implied < Realized: EUR_5y r0.76
#rate #eur #irvol #histvol https://t.co/eDiIuD6aAC
Biggest Vol Moves:
+46.0% +6.3 20.0 SEK_1m1y_bpVol
+31.5% +6.2 25.9 SEK_1m2y_bpVol
+17.6% +3.7 24.7 SEK_3m1y_bpVol
+12.8% +3.8 33.6 SEK_3m2y_bpVol
+6.4% +2.6 43.1 SEK_1m5y_bpVol
+6.2% +2.8 47.6 CAD_1m2y_bpVol
+6.1% +2.8 48.9 CAD_3m2y_bpVol
+6.0% +1.8 31.7 SEK_6m1y_bpVol
+5.8% +1.1 19.9 EUR_1m2y_bpVol
------------------------
-3.7% -2.9 74.7 NOK_2y1y_bpVol
-3.8% -1.1 28.0 JPY_6m20y_bpVol
-3.9% -2.7 66.2 NOK_1y1y_bpVol
-3.9% -1.1 26.9 EUR_1y1y_bpVol
-4.8% -0.59 11.79 VIX
-5.0% -1.7 32.0 GBP_3m2y_bpVol
-5.6% -2.2 36.8 GBP_6m2y_bpVol
-6.5% -1.8 25.8 GBP_6m1y_bpVol
-6.5% -1.5 21.5 GBP_3m1y_bpVol
-7.7% -2.0 23.9 JPY_1m20y_bpVol
Biggest Rates Moves:
+2.5% +0.191 7.949 GRE_2y_Bond
+1.3% +0.086 6.822 GERvsGRE_10y_Bond
+8.6% +0.085 1.076 USDvsGBP_5y5y_Inflation
+0.077 -1.963 USDvsJPY_5y5y_Inflation
+0.9% +0.066 7.079 GRE_10y_Bond
+4.3% +0.057 1.389 EURvsUSD_5y5y
+1.8% +0.049 2.722 USD_5y5y
+2.4% +0.047 1.989 EURvsUSD_2y2y
+1.6% +0.044 2.882 USD_10y10y
+2.2% +0.043 1.999 EURvsUSD_1y1y
------------------------
-2.6% -0.070 2.605 AUD_10y_Bond
-0.071 -1.277 USDvsGBP_5y5y
-2.4% -0.075 3.084 NZD_10y_Bond
-7.9% -0.076 0.888 USDvsNZD_2y2y
-4.8% -0.079 1.583 USDvsNZD_10y10y
-0.081 -2.022 USDvsCHF_10y10y
-31.8% -0.089 0.191 USDvsAUD_2y2y
-31.5% -0.112 0.244 USDvsAUD_10y_Bond
-13.9% -0.117 0.723 USDvsNZD_10y_Bond
-19.7% -0.280 1.140 KRW_3m
Biggest Market Moves:
+2.0% +1.05 54.17 Oil
+0.9% +0.0362 3.9268 EURTRY
+0.9% +0.0332 3.6785 TRY
+0.8% +0.154 18.826 MXN
+0.7% +1.240 171.020 Buxl
+0.7% +7.5 1125.0 KRW
+0.7% +0.091 14.041 CADMXN
+0.6% +0.059 9.614 EURSEK
+0.6% +0.110 18.320 Silver
+0.6% +0.053 9.007 SEK
------------------------
-0.5% -0.062 13.625 ZAR
-0.5% -0.71 137.76 GBPJPY
-0.5% -0.0040 0.7565 AUD
-0.5% -0.66 121.01 ETF_20+_Bonds
-0.6% -0.0041 0.6973 NZD
-0.7% -0.55 83.78 AUDJPY
-0.8% -12.5 1504.5 Topix
-0.9% -5.41 617.05 OBX
-0.9% -173 18810 Nikkei
-1.3% -14.9 1138.9 XBT
New 1y Low: VSTOXX3=19.0
#vol #eur https://t.co/WESUKeMhq9
New 1y High: SEKvsNOK_5y5y=0.473
#nok #rate #sek #xmarket https://t.co/PrELs6w66d
New 1y High: SEKvsNOK_2s10s=-0.629
#nok #rate #sek #xmarket https://t.co/nPkGTzDJG0
New 1y Low: KRW_3m=1.14
#rate #krw https://t.co/F1IRCBMWnJ
New 1y Low: EURvsSEK_2s10s=0.465
#rate #sek #xmarket #eur https://t.co/EDE4fQr4sw
New 1y Low: EURvsSEK_10y10y=0.67
#rate #sek #xmarket #eur https://t.co/xlivQgiR6z
New 1y Low: EURvsGBP_5y5y=0.112
#rate #gbp #xmarket #eur https://t.co/ef1qPhh5Eq
New 1y Low: EURvsGBP_2s10s=-0.359
#rate #gbp #xmarket #eur https://t.co/uiZjnB3hsQ
Cheapest 1m Implied Vol vs Realized:
Ratio vImpl vReal Cheap
0.39 50.6 128.4 AUD_1y1y
0.60 35.4 58.9 AUD_2y
0.71 39.4 55.2 CAD_1y1y
0.75 40.0 53.4 EUR_5y
0.76 68.3 90.3 AUD_2y2y
0.76 52.3 68.5 USD_1y1y
0.79 45.4 57.4 EUR_2y2y
0.81 41.5 51.2 KRW_2y2y
0.83 56.3 68.0 CAD_2y2y
0.83 7.8 9.4 AUD
0.85 75.8 89.0 USD_2y2y
0.87 7.8 9.0 NZD
0.91 50.2 55.2 EUR_10y
0.93 68.1 73.2 USD_10y
0.94 8.1 8.6 GBP
0.95 66.1 69.9 USD_20y
0.95 66.6 70.4 USD_5y
0.95 64.9 68.4 USD_30y
0.97 28.0 29.0 EUR_1y1y
0.97 19.7 20.3 SEK_2y
0.97 8.5 8.7 NOK
0.98 18.3 18.6 AUD_1y
0.99 13.7 13.9 SEK_1y
0.99 49.7 50.0 CHF_10y
1mVol Implied < Realized: NZD r0.87
#nzd #fxvol #histvol #fx https://t.co/FsEXoW2NOR
1mVol Implied < Realized: AUD r0.83
#fxvol #histvol #aud #fx https://t.co/5XSDaTjxfa
1mVol Implied < Realized: AUD_1y1y r0.39
#irvol #rate #histvol #aud https://t.co/mu2lFuYake
1mVol Implied < Realized: CAD_1y1y r0.71
#irvol #rate #histvol #cad https://t.co/wVAkalvXX3
1mVol Implied < Realized: USD_1y1y r0.76
#irvol #rate #usd #histvol https://t.co/1R1gln5Lhl
1mVol Implied < Realized: AUD_2y r0.60
#irvol #rate #histvol #aud https://t.co/zGbU6HKDgg
1mVol Implied < Realized: EUR_5y r0.75
#irvol #rate #histvol #eur https://t.co/zIhuZXBQqg
Biggest Vol Moves:
+8.7% +1.44 17.96 VSTOXX
+7.1% +1.6 24.2 CAD_1m1y_bpVol
+6.9% +1.6 24.7 CAD_3m1y_bpVol
+6.7% +2.2 35.0 CAD_6m1y_bpVol
+6.5% +3.6 58.7 CAD_1y10y_bpVol
+6.3% +3.4 57.2 CAD_2y10y_bpVol
+6.0% +3.4 60.0 CAD_6m10y_bpVol
+5.9% +2.8 50.0 CAD_6m2y_bpVol
+5.8% +0.27 4.95 TYVIX
+5.7% +3.0 55.6 CAD_2y5y_bpVol
------------------------
-4.7% -2.3 46.9 KRW_6m10y_bpVol
-4.8% -0.37 7.26 NZD_Vol1w
-5.3% -0.41 7.31 SEK_Vol1w
-5.9% -1.7 27.0 JPY_3m20y_bpVol
-6.3% -2.4 35.9 JPY_1y30y_bpVol
-6.5% -0.51 7.37 NOK_Vol1w
-6.7% -2.5 35.1 JPY_6m30y_bpVol
-7.0% -2.6 34.6 JPY_3m30y_bpVol
-7.3% -2.7 34.3 JPY_1m30y_bpVol
-8.1% -0.59 6.68 EUR_Vol1w
Biggest Rates Moves:
+2.9% +0.096 3.456 GBP_5y5y_Inflation
+11.1% +0.090 0.900 FedFund
+3.0% +0.071 2.465 USD_5y5y_Inflation
+21.3% +0.037 0.211 Sonia
+0.4% +0.027 7.013 GRE_10y_Bond
+0.026 -0.160 JPY_2y_Bond
+0.015 -0.103 JPY_5y_Bond
+1.0% +0.015 1.575 EUR_5y5y_Inflation
------------------------
-3.6% -0.074 1.978 USD_5y
-6.6% -0.075 1.064 GBP_10y_Bond
-3.2% -0.076 2.308 USD_10y
-4.4% -0.077 1.670 GBP_10y10y
-2.3% -0.078 3.325 AUD_30y
-2.9% -0.081 2.672 USD_5y5y
-1.8% -0.084 4.508 NZD_10y10y
-3.5% -0.089 2.484 NZD_1y1y
-2.9% -0.097 3.275 AUD_5y5y
-4.3% -0.099 2.184 USD_2y2y
Biggest Market Moves:
+7.4% +79.1 1153.8 XBT
+2.0% +0.273 13.687 ZAR
+0.8% +0.96 121.67 ETF_20+_Bonds
+0.8% +0.31 40.03 ETF_EM_Vanguard
+0.7% +1.220 169.780 Buxl
+0.7% +0.0060 0.8545 EURGBP
+0.7% +6.8 965.2 MSCIEM
+0.7% +4.19 622.46 OBX
+0.6% +0.906 151.750 Bond
+0.6% +0.23 38.72 ETF_China
------------------------
-0.8% -0.65 84.33 AUDJPY
-0.8% -0.0500 6.4110 CADNOK
-0.8% -0.111 13.950 CADMXN
-0.8% -28.0 3472.9 EuroStoxx
-0.9% -0.101 10.711 GBPNOK
-1.0% -1.34 138.47 GBPJPY
-1.0% -16.2 1571.4 OMX
-1.3% -1.03 79.36 Iron
-1.9% -4.90 260.40 Copper
-2.2% -2.78 124.74 SX7E
New 1y High: JPY_2y=0.055
#jpy #rate https://t.co/3LV18DOU4I
New 1y High: JPY_1y=0.048
#jpy #rate https://t.co/fodKSQJSHv
@mathiasberenger SPR(ITA_10y_Bond – GER_10y_Bond) 5yChart
#rate #eur #ger #ita https://t.co/cJEmCJKdMQ
Cheapest 1m Implied Vol vs Realized:
Ratio vImpl vReal Cheap
0.39 49.7 126.9 AUD_1y1y
0.58 33.5 57.7 AUD_2y
0.70 37.6 54.0 CAD_1y1y
0.72 41.0 56.7 EUR_5y
0.77 45.9 60.0 EUR_2y2y
0.77 68.2 88.6 AUD_2y2y
0.81 52.3 64.9 USD_1y1y
0.82 53.7 65.2 CAD_2y2y
0.83 7.8 9.3 AUD
0.87 28.4 32.6 EUR_1y1y
0.88 8.0 9.1 NZD
0.90 52.1 57.7 EUR_10y
0.92 75.8 82.7 USD_2y2y
0.93 8.5 9.1 NOK
0.93 8.4 9.0 EUR
0.96 66.0 68.6 USD_10y
0.97 8.1 8.3 GBP
0.98 64.4 65.9 USD_5y
0.98 17.5 17.9 AUD_1y
0.98 62.6 64.0 USD_30y
0.98 64.0 65.4 USD_20y
0.99 20.1 20.4 SEK_2y
0.99 8.6 8.7 SEK
0.99 57.5 58.2 CAD_10y
1mVol Implied < Realized: AUD_2y r0.58
#rate #aud #histvol #irvol https://t.co/S7yA1S6E4P
1mVol Implied < Realized: AUD_1y r0.98
#rate #aud #histvol #irvol https://t.co/R0RCwCaWws
1mVol Implied < Realized: SEK_2y r0.99
#rate #histvol #irvol #sek https://t.co/qxkYVSthmC
1mVol Implied < Realized: CAD_10y r0.99
#rate #cad #histvol #irvol https://t.co/XvnAeC42R8
1mVol Implied < Realized: EUR_10y r0.90
#rate #histvol #irvol #eur https://t.co/LFvFQXshDj
1mVol Implied < Realized: EUR_5y r0.72
#rate #histvol #irvol #eur https://t.co/70CL6oICoT
1mVol Implied < Realized: USD_30y r0.98
#rate #usd #histvol #irvol https://t.co/cKRQJ5Obdh