aud – MbMktBot

Rate Recap

Rate USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- Bond 2y 1.74 -0.71 0.46 -0.17 0.29 1.43 -0.86 0.50 1.76 1.96 2.07 Bond 5y 2.05 -0.34 0.73 -0.12 1.61 -0.24 1.04 2.09 2.39 2.34 Bond 10y 2.33 0.34 1.25 0.04 -0.14 1.87 0.71 1.49 2.52 2.80 2.53 Bond 30y 2.77 1.18 1.81 0.84 0.39 2.22 2.52 ------------------------------------------------------------------------------- Bond 2s5s 0.31 0.37 0.27 0.05 0.18 0.62 0.33 0.43 0.27 Bond 2s10s 0.59 1.05 0.79 0.21 -0.42 0.44 1.57 0.76 0.84 0.46 Bond 5s10s 0.28 0.68 0.52 0.16 0.25 0.95 0.46 0.43 0.41 0.19 Bond 5s30s 0.72 1.52 1.07 0.96 0.61 0.18 Bond 10s30s 0.44 0.84 0.55 0.80 0.53 0.36 -0.01 Bond 2s5s10s 0.03 -0.32 -0.25 -0.10 -0.07 -0.33 -0.11 0.02 0.08 Bond5s10s30s -0.16 -0.15 -0.03 -0.64 -0.10 0.20 ------------------------------------------------------------------------------- Central Bank 1.25 -0.40 0.50 -0.10 -0.75 1.00 -0.50 0.50 1.50 1.75 1.25 OIS 1.16 -0.36 0.46 3m 1.47 -0.33 0.52 -0.02 -0.75 1.40 -0.64 0.80 1.73 1.92 1.63 1y 1.75 -0.32 0.64 0.02 -0.63 1.60 -0.44 0.86 1.77 2.00 1.80 1y1y 2.07 -0.19 0.93 0.06 -0.40 1.95 -0.06 1.05 1.97 2.32 2.10 2y 1.92 -0.19 0.83 0.04 -0.51 1.77 -0.25 1.03 1.88 2.16 1.95 2y2y 2.23 0.32 1.18 0.12 -0.08 2.10 0.55 1.57 2.29 2.81 2.24 5y 2.11 0.20 1.08 0.10 -0.19 1.98 0.34 1.38 2.19 2.62 2.13 5y5y 2.54 1.43 1.57 0.41 0.70 2.43 1.89 2.30 3.04 3.67 2.32 10y 2.32 0.81 1.31 0.26 0.25 2.19 1.09 1.81 2.71 3.12 2.22 10y10y 2.74 2.04 1.76 1.08 1.07 2.91 2.52 2.40 3.41 3.92 2.31 20y 2.51 1.37 1.52 0.66 0.65 2.51 1.74 2.08 3.03 2.26 30y 2.53 1.48 1.50 0.86 0.74 2.47 1.84 2.08 3.09 2.26 ------------------------------------------------------------------------------- 2s5s 0.19 0.39 0.25 0.06 0.32 0.21 0.59 0.34 0.32 0.46 0.18 2s10s 0.40 0.99 0.49 0.21 0.77 0.43 1.34 0.79 0.83 0.96 0.27 5s10s 0.21 0.60 0.23 0.15 0.45 0.22 0.76 0.44 0.52 0.50 0.09 5s30s 0.42 1.28 0.42 0.75 0.94 0.49 1.50 0.71 0.90 0.13 10s30s 0.21 0.67 0.19 0.60 0.49 0.28 0.75 0.27 0.38 0.04 2s5s10s -0.01 -0.21 0.02 -0.09 -0.13 -0.01 -0.17 -0.10 -0.20 -0.04 0.09 5s10s30s -0.00 -0.07 0.04 -0.45 -0.04 -0.06 0.01 0.17 0.14 0.05

#rate #recap, #curve, #fly, #ger, #eur, #sek, #gbp, #cad, #chf, #usd, #jpy, #nok, #krw, #aud, #nzd

Vol Recap

Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- fxVol 1m 6.97 7.04 7.87 6.69 6.41 8.79 8.56 7.20 8.15 fxVol 3m 6.64 7.20 8.06 6.67 6.38 8.32 8.33 7.48 8.50 fxVol 6m 7.20 7.69 8.72 7.19 6.82 8.68 8.68 8.08 9.07 fxVol 1y 7.44 8.19 9.15 7.71 7.34 8.88 9.06 8.71 9.62 fxVol 2y 7.88 8.71 9.31 8.21 7.81 9.25 9.53 9.30 10.12 ------------------------------------------------------------------------------- Realized 1m 6.39 7.78 6.63 6.79 5.78 7.01 7.27 6.43 7.48 6.29 Realized 3m 7.26 8.63 7.22 7.10 7.61 8.14 8.40 7.27 8.90 5.58 ------------------------------------------------------------------------------- Gamma 2y 43.0 16.3 37.6 10.0 37.8 58.9 28.8 34.5 40.7 44.0 48.0 Realized 1m 28.5 11.5 32.8 4.3 12.0 28.9 15.1 19.9 30.2 35.2 29.2 Realized 3m 31.7 11.5 35.7 5.4 14.5 41.8 22.8 16.2 35.5 28.0 36.9 ------------------------------------------------------------------------------- Gamma 5y 53.5 32.0 48.9 11.8 34.9 55.4 41.2 47.8 49.6 58.4 46.4 Realized 1m 40.6 19.2 44.1 9.7 17.7 36.8 24.3 23.9 43.3 36.4 31.7 Realized 3m 48.0 27.2 50.5 9.9 20.8 41.4 32.2 29.2 44.5 36.6 37.8 ------------------------------------------------------------------------------- Gamma 10y 57.2 39.6 54.0 16.1 42.3 54.4 45.5 46.6 55.4 65.4 51.3 Realized 1m 47.0 26.7 42.9 13.4 26.7 41.7 29.7 28.8 53.2 47.0 35.8 Realized 3m 53.7 35.3 51.2 13.5 28.1 44.0 37.4 35.6 51.8 44.7 37.9 ------------------------------------------------------------------------------- irVol 1m2y 32.4 10.6 31.6 7.3 35.9 47.1 18.9 29.5 30.3 34.7 45.1 irVol 1m5y 46.1 24.8 40.9 8.9 34.4 43.3 32.8 40.1 43.5 55.0 46.2 irVol 1m10y 50.6 30.1 44.8 11.9 35.4 48.4 38.5 37.1 52.2 62.5 51.3 irVol 1m30y 52.4 33.1 43.1 25.0 irVol 3m2y 37.3 13.2 34.9 9.1 36.7 51.7 23.3 31.4 36.0 41.1 46.6 irVol 3m5y 49.0 27.7 46.7 10.7 34.7 50.8 36.3 41.9 47.2 57.1 46.1 irVol 3m10y 53.3 34.5 51.0 14.2 37.9 51.9 41.6 40.8 53.5 64.6 50.2 irVol 3m30y 53.5 37.8 48.5 25.2 irVol 1y1y 43.8 18.9 34.3 10.9 38.0 60.3 32.4 46.3 44.0 49.0 46.7 irVol 1y2y 51.3 25.6 42.6 11.5 39.2 69.4 38.7 52.5 49.7 52.5 48.2 irVol 1y5y 59.8 39.3 55.3 13.8 40.3 58.7 48.0 57.7 53.8 60.1 47.4 irVol 1y10y 62.4 46.2 60.6 18.5 48.8 56.3 52.2 55.2 58.1 66.5 48.4 irVol 1y30y 59.5 47.9 57.7 29.9 irVol 2y2y 62.0 38.4 54.3 14.2 49.1 74.8 49.8 60.9 61.4 59.2 48.8 irVol 2y5y 66.3 47.6 63.3 16.7 52.3 63.5 56.3 64.5 59.9 63.5 47.1 irVol 2y10y 67.8 53.2 66.2 21.9 58.1 58.3 59.7 63.5 61.1 68.5 48.7 irVol 2y30y 62.7 52.9 62.4 30.4 irVol 5y5y 74.1 62.2 72.9 23.5 irVol 5y10y 72.1 63.7 70.7 27.5 irVol 5y30y 64.4 57.2 64.8 33.6 irVol 10y10y 67.9 65.5 68.4 32.1 irVol 10y30y 59.2 54.5 60.5 37.8

#vol #recap, #fxvol, #irvol, #eur, #sek, #gbp, #cad, #chf, #usd, #jpy, #nok, #krw, #aud, #nzd

Implied Vol Below Realized

Cheapest 1m Implied Vol vs Realized: Ratio vImpl vReal Cheap 0.63 44.0 69.9 AUD_1y1y 0.72 49.0 68.4 NZD_1y1y 0.78 34.3 44.1 GBP_1y1y 0.83 18.1 21.8 NOK_1y 0.89 11.9 13.4 JPY_10y 0.90 7.0 7.8 GBP 0.92 8.9 9.7 JPY_5y 0.92 10.6 11.5 EUR_2y 0.93 40.9 44.1 GBP_5y 0.94 21.0 22.3 NZD_1y 0.96 31.6 32.8 GBP_2y 0.98 52.2 53.2 AUD_10y 0.99 33.1 33.6 EUR_30y 0.99 6.7 6.8 CHF 0.99 34.7 35.2 NZD_2y 0.99 52.4 52.8 USD_30y

#eur, #gbp, #rate, #chf, #irvol, #usd, #jpy, #fx, #nok, #fxvol, #aud, #nzd

Crossed 200dma

Crossed 200dma: 0.136 AUD_5s10s30s -0.104 CAD_5s10s30s_Bond 2.434 CAD_5y5y 0.9817 CHF 0.488 CHF_10s30s 25.22 ETF_Tsy_Bonds 1.479 EUR_30y 0.202 EUR_5y 7383.9 FTSE100 0.254 GBP_2s5s 1.179 GER_30y_Bond -0.341 GER_5y_Bond -0.362 ITA_2s5s10s_Bond 0.023 JPY_1y 0.844 JPY_30y_Bond 0.159 JPY_5s10s_Bond 0.785 NOK_2s10s 0.440 NOK_5s10s 0.007 SEK_5s10s30s 130.85 SX7E -0.159 USD_5s10s30s_Bond

#dma, #fly, #sek, #cad, #gbp, #eur, #rate, #chf, #ita, #usd, #jpy, #curve, #fx, #stock, #nok, #etf, #ger, #aud

Highest + Lowest RSI

Highest + Lowest RSI: RSI=98.7 4.710 Shibor RSI=98.1 1.630 KRW_3m RSI=97.2 1.468 USD_3m RSI=88.5 0.462 Sonia RSI=87.5 0.523 GBP_3m RSI=81.5 9652.7 XBT RSI=78.3 1.755 USD_1y RSI=73.6 -0.438 SPA_2s5s10s_Bond RSI=73.4 110.90 ETF_Internet RSI=70.8 64.50 ETF_Technology ---------------- RSI=28.8 0.345 NOK_2s5s RSI=28.6 84.46 AUDJPY RSI=28.1 1.118 SPA_5s10s_Bond RSI=27.5 -0.239 POR_2y_Bond RSI=27.4 0.935 CHF_5s30s RSI=27.3 3.223 POR_30y_Bond RSI=27.2 2.382 SPA_5s30s_Bond RSI=21.3 0.530 POR_5y_Bond RSI=13.9 -0.635 SEK_3m RSI= 0.2 -0.751 CHF_3m

#rsi, #fly, #sek, #cnh, #gbp, #eur, #rate, #chf, #por, #usd, #jpy, #fixing, #curve, #fx, #stock, #nok, #etf, #spa, #xbt, #krw, #aud

Biggest Vol Moves

Biggest Vol Moves: +11.1% +7.5 74.8 CAD_2y2y_bpVol +8.8% +4.1 50.8 CAD_3m5y_bpVol +8.7% +5.4 67.8 CAD_2y1y_bpVol +5.9% +0.20 3.60 TYVIX +5.4% +0.69 13.55 VSTOXX +5.1% +2.1 43.5 AUD_1m5y_bpVol +4.6% +2.3 52.2 AUD_1m10y_bpVol +4.5% +1.3 30.3 AUD_1m2y_bpVol ------------------------ -4.2% -2.1 48.4 KRW_1y10y_bpVol -4.2% -0.31 7.04 GBP_Vol1m -4.5% -0.29 6.21 GBP_Vol1w -5.4% -0.46 8.09 NOK_Vol1w -6.0% -1.2 18.7 SEK_3m1y_bpVol -8.1% -0.53 6.03 CHF_Vol1w -8.6% -5.3 56.3 CAD_1y10y_bpVol -9.9% -6.4 58.3 CAD_2y10y_bpVol

#bigmove, #eur, #sek, #gbp, #cad, #chf, #irvol, #usd, #nok, #vol, #fxvol, #krw, #aud

Biggest Rates Moves

Biggest Rates Moves: +4.5% +0.048 1.122 USDvsNZD_5y5y +4.1% +0.046 1.178 USDvsNZD_10y10y +9.0% +0.039 0.473 USDvsNZD_10y_Bond +0.8% +0.038 4.710 Shibor +0.037 -2.129 USDvsJPY_5y5y +6.5% +0.035 0.574 USDvsNZD_2y2y +0.034 -1.013 EURvsJPY_5y5y +21.0% +0.034 0.196 USDvsAUD_10y_Bond +7.0% +0.034 0.516 AUDvsNZD_2y2y +5.5% +0.033 0.631 AUDvsNZD_5y5y ------------------------ -0.027 -0.099 USDvsAUD_1y1y -1.1% -0.027 2.544 USD_5y5y -1.4% -0.028 2.036 JPYvsKRW_1y1y -5.2% -0.030 0.545 ITA_5y_Bond -0.031 -0.121 FRA_5y_Bond -1.8% -0.037 1.971 AUD_1y1y -1.6% -0.046 2.896 GRE_2y_Bond -12.1% -0.055 0.400 JPY_5y5y_Inflation -0.066 -1.287 EURvsJPY_5y5y_Inflation -0.073 -1.858 USDvsJPY_5y5y_Inflation

#bigmove, #eur, #cnh, #fixing, #rate, #ita, #fra, #jpy, #usd, #gre, #xmarket, #krw, #aud, #inflation, #nzd

Z-Score Outliers

1y Z-Score Outlier: USDvsAUD_1y1y (-3.00), GBP_5s30s (-2.90), USD_5s30s (-2.86), USDvsAUD_10y10y (-2.86), USD_5s30s_Bond (-2.80), USDvsAUD_10y (-2.79), SEK_2y_Bond (-2.75), GBP_5s10s (-2.73), USD_5s10s_Bond (-2.69), USDvsNZD_2y2y (-2.66), 2yNote (-2.63), USD_5s10s (-2.61), USD_10s30s_Bond (-2.55), USD_2y (+2.56), GBP_2s5s10s (+2.58), Nikkei (+2.60), KRW_2y_Bond (+2.68), EURTRY (+2.72), USD_2y_Bond (+2.84), KRW_1y (+2.93), XBT (+3.52)


 5y Z-Score Outlier: CAD_5s30s_Bond (-2.95), OBX (+2.52), USD_1y (+2.56), ETF_Internet (+2.57), MSCIAP (+2.57), Dow (+2.62), ETF_Technology (+2.67), USD_2y_Bond (+2.76), EURTRY (+2.77), KOSPI (+3.20), XBT (+6.80)

10y Z-Score Outlier: ETF_Internet (+2.63), ETF_Technology (+2.78), EURTRY (+3.09), XBT (+7.99)

#zscore, #eur, #cad, #gbp, #em, #aud, #sek, #usd, #nok, #xbt, #krw, #jpy, #xmarket, #future, #try, #fly, #asia, #rate, #curve, #fx, #stock, #etf, #nzd

New Highs & Lows

New 1y High: CHF_1y1y=-0.397, CHF_2y=-0.512, EURvsCHF_1y1y=-0.209, KRW_3m=1.630


New  1y Low : CAD_2s10s_Bond=0.437, CAD_2s5s_Bond=0.184, GBP_2s10s=0.486, GBP_5s10s=0.232, GBP_5s30s=0.422, SEK_2s5s10s_Bond=-0.326, USD_2s10s=0.401, USD_2s5s=0.193
New  5y High: USDvsJPY_2s10s=-0.186
New  5y Low : CAD_5s10s_Bond=0.253
New 10y High: NZX50=8176.1, XBT=9652.7

New 10y Low : EURvsUSD_2s10s=-0.591, SEK_3m=-0.635, USD_2s5s_Bond=0.307, USDvsAUD_1y1y=-0.099

#highlow, #fly, #sek, #cad, #gbp, #eur, #rate, #chf, #fixing, #usd, #jpy, #curve, #fx, #stock, #xmarket, #xbt, #krw, #aud, #nzd

Rate Recap

Rate USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- Bond 2y 1.73 -0.69 0.46 -0.18 0.28 1.44 -0.89 0.50 1.76 1.95 2.07 Bond 5y 2.04 -0.33 0.73 -0.13 1.63 -0.26 1.04 2.09 2.36 2.33 Bond 10y 2.32 0.35 1.25 0.03 -0.14 1.89 0.69 1.50 2.51 2.78 2.52 Bond 30y 2.74 1.18 1.81 0.81 0.40 2.24 2.52 ------------------------------------------------------------------------------- Bond 2s5s 0.32 0.36 0.27 0.05 0.19 0.63 0.33 0.42 0.26 Bond 2s10s 0.59 1.04 0.79 0.21 -0.42 0.46 1.57 0.75 0.83 0.45 Bond 5s10s 0.28 0.68 0.52 0.15 0.27 0.94 0.46 0.42 0.41 0.20 Bond 5s30s 0.70 1.51 1.08 0.94 0.61 0.19 Bond 10s30s 0.42 0.83 0.56 0.78 0.54 0.34 -0.01 Bond 2s5s10s 0.04 -0.31 -0.25 -0.10 -0.07 -0.32 -0.09 0.00 0.06 Bond5s10s30s -0.14 -0.15 -0.04 -0.63 -0.08 0.20 ------------------------------------------------------------------------------- Central Bank 1.25 -0.40 0.50 -0.10 -0.75 1.00 -0.50 0.50 1.50 1.75 1.25 OIS 1.16 -0.36 0.46 3m 1.46 -0.33 0.52 -0.03 -0.75 1.40 -0.63 0.80 1.72 1.91 1.62 1y 1.74 -0.32 0.64 0.01 -0.63 1.60 -0.45 0.86 1.78 2.00 1.79 1y1y 2.06 -0.19 0.91 0.05 -0.41 1.94 -0.07 1.06 2.00 2.32 2.10 2y 1.91 -0.19 0.82 0.03 -0.52 1.77 -0.26 1.03 1.89 2.15 1.94 2y2y 2.23 0.33 1.17 0.11 -0.10 2.10 0.53 1.58 2.31 2.79 2.23 5y 2.11 0.21 1.06 0.10 -0.21 1.98 0.33 1.38 2.19 2.60 2.12 5y5y 2.56 1.43 1.59 0.39 0.67 2.46 1.90 2.32 3.03 3.63 2.32 10y 2.32 0.81 1.32 0.25 0.23 2.20 1.09 1.82 2.71 3.10 2.21 10y10y 2.73 2.04 1.76 1.05 1.06 2.92 2.52 2.41 3.39 3.87 2.30 20y 2.50 1.38 1.53 0.65 0.63 2.51 1.74 2.08 3.02 2.25 30y 2.53 1.48 1.51 0.84 0.73 2.46 1.84 2.10 3.08 2.25 ------------------------------------------------------------------------------- 2s5s 0.20 0.40 0.24 0.07 0.31 0.21 0.58 0.34 0.30 0.45 0.17 2s10s 0.41 1.00 0.50 0.22 0.75 0.43 1.34 0.79 0.82 0.94 0.27 5s10s 0.21 0.60 0.26 0.15 0.44 0.22 0.76 0.45 0.52 0.49 0.10 5s30s 0.41 1.27 0.45 0.74 0.94 0.48 1.51 0.71 0.89 0.13 10s30s 0.20 0.67 0.20 0.59 0.50 0.26 0.75 0.27 0.37 0.04 2s5s10s -0.01 -0.20 -0.02 -0.08 -0.12 -0.01 -0.17 -0.10 -0.23 -0.05 0.08 5s10s30s 0.01 -0.07 0.06 -0.44 -0.07 -0.03 0.01 0.17 0.15 0.06

#rate #recap, #curve, #fly, #ger, #eur, #usd, #chf, #sek, #nzd, #nok, #cad, #krw, #jpy, #aud, #gbp

Vol Recap

Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- fxVol 1m 6.68 7.55 8.15 6.78 6.54 8.74 8.48 7.62 8.60 fxVol 3m 6.29 7.46 8.17 6.52 6.38 8.09 8.21 7.63 8.66 fxVol 6m 6.89 7.82 8.78 7.04 6.77 8.48 8.58 8.15 9.16 fxVol 1y 7.30 8.25 9.22 7.62 7.32 8.76 9.00 8.72 9.68 fxVol 2y 7.75 8.78 9.38 8.09 7.77 9.10 9.38 9.27 10.18 ------------------------------------------------------------------------------- Realized 1m 7.99 8.33 6.52 7.36 5.82 8.98 9.98 6.75 7.89 5.81 Realized 3m 7.47 8.72 7.17 7.32 7.60 8.55 8.75 7.37 8.88 5.56 ------------------------------------------------------------------------------- Gamma 2y 43.5 16.1 38.3 9.8 37.8 57.3 28.5 34.1 40.9 43.8 47.0 Realized 1m 30.3 9.8 33.1 3.5 15.0 30.2 18.5 22.3 30.1 35.2 30.7 Realized 3m 32.1 10.4 35.7 5.2 14.6 41.8 22.8 16.2 36.1 28.0 36.9 ------------------------------------------------------------------------------- Gamma 5y 54.4 31.3 49.3 11.5 34.9 52.9 40.4 46.9 49.7 57.9 46.9 Realized 1m 40.9 22.6 44.4 9.6 20.2 38.4 27.1 26.8 44.2 36.2 35.8 Realized 3m 48.1 27.1 50.5 10.0 20.8 41.5 32.1 29.4 44.8 36.5 38.2 ------------------------------------------------------------------------------- Gamma 10y 58.2 38.9 54.4 15.6 42.3 56.4 44.7 45.6 55.4 64.9 51.0 Realized 1m 51.0 30.4 43.6 13.3 27.4 43.7 31.9 32.4 56.0 47.4 39.5 Realized 3m 53.8 35.1 51.2 13.6 28.0 44.0 37.3 35.7 51.8 44.6 38.5 ------------------------------------------------------------------------------- irVol 1m2y 34.1 10.5 32.6 7.2 35.9 45.7 19.1 29.3 29.0 34.6 46.6 irVol 1m5y 47.9 24.4 42.4 8.7 34.4 45.1 30.7 39.3 41.6 54.6 46.3 irVol 1m10y 52.7 29.5 46.5 11.7 35.4 48.4 36.9 36.6 49.9 62.0 50.9 irVol 1m30y 54.6 32.4 44.7 24.2 irVol 3m2y 38.3 13.1 36.1 8.8 36.7 50.5 24.1 31.3 36.1 40.9 46.6 irVol 3m5y 50.2 27.2 47.1 10.4 34.7 47.8 35.1 41.1 47.3 56.7 46.5 irVol 3m10y 54.5 33.9 51.5 13.7 37.9 53.1 40.5 39.9 53.5 64.0 50.9 irVol 3m30y 54.6 36.5 49.0 24.4 irVol 1y1y 43.7 18.8 34.3 10.6 38.0 58.7 32.2 46.6 43.9 48.7 44.4 irVol 1y2y 51.3 25.4 42.6 11.2 39.2 67.4 38.4 52.2 49.8 52.5 46.6 irVol 1y5y 60.5 38.9 55.6 13.1 40.3 58.5 47.5 57.6 53.9 59.7 46.6 irVol 1y10y 63.1 46.1 60.9 17.9 48.8 56.0 52.0 54.9 58.2 65.9 50.5 irVol 1y30y 60.1 47.1 58.0 29.8 irVol 2y2y 62.0 38.1 54.2 13.9 49.1 66.1 49.5 60.4 61.5 59.2 46.2 irVol 2y5y 66.8 47.2 63.2 16.1 52.3 61.4 55.8 64.1 60.0 63.3 46.5 irVol 2y10y 68.3 52.8 66.2 21.3 58.1 64.7 59.3 62.8 61.1 67.8 47.2 irVol 2y30y 63.1 52.5 62.3 30.9 irVol 5y5y 74.3 62.0 72.9 22.5 irVol 5y10y 72.3 63.7 70.7 27.1 irVol 5y30y 64.6 57.2 64.8 34.2 irVol 10y10y 67.9 65.5 68.4 31.7 irVol 10y30y 59.2 54.5 60.5 38.4

#vol #recap, #fxvol, #irvol, #eur, #usd, #chf, #sek, #nzd, #nok, #cad, #krw, #jpy, #aud, #gbp

Implied Vol Below Realized

Cheapest 1m Implied Vol vs Realized: Ratio vImpl vReal Cheap 0.62 43.9 70.9 AUD_1y1y 0.71 48.7 68.2 NZD_1y1y 0.77 34.3 44.3 GBP_1y1y 0.83 18.1 21.8 NOK_1y 0.84 6.7 8.0 EUR 0.85 8.5 10.0 NOK 0.88 11.7 13.3 JPY_10y 0.89 49.9 56.0 AUD_10y 0.91 8.7 9.6 JPY_5y 0.91 7.5 8.3 GBP 0.92 6.8 7.4 CHF 0.93 21.0 22.5 NZD_1y 0.94 41.6 44.2 AUD_5y 0.95 42.4 44.4 GBP_5y 0.96 29.0 30.1 AUD_2y 0.97 43.7 45.1 USD_1y1y 0.97 29.5 30.4 EUR_10y 0.97 8.7 9.0 SEK 0.98 34.6 35.2 NZD_2y 0.98 32.6 33.1 GBP_2y 0.99 54.6 55.3 USD_30y 0.99 32.4 32.6 EUR_30y

#eur, #usd, #sek, #chf, #fx, #nok, #irvol, #rate, #gbp, #jpy, #aud, #fxvol, #nzd

Biggest Vol Moves

Biggest Vol Moves: +12.4% +3.5 31.8 NOK_3m1y_bpVol +11.2% +6.5 64.7 CAD_2y10y_bpVol +6.3% +0.35 5.94 CHF_Vol1w +5.4% +1.6 31.3 NOK_3m2y_bpVol +5.1% +2.4 49.8 AUD_1y2y_bpVol +4.8% +0.25 5.47 CAD_Vol1w +4.8% +2.8 61.5 AUD_2y2y_bpVol ------------------------ -7.3% -2.5 31.6 EUR_1m20y_bpVol -7.3% -2.9 36.6 NOK_1m10y_bpVol -7.4% -2.6 32.4 EUR_1m30y_bpVol -7.5% -3.0 36.9 SEK_1m10y_bpVol -7.5% -2.4 29.5 EUR_1m10y_bpVol -8.4% -5.6 61.4 CAD_2y1y_bpVol -8.7% -4.4 46.2 KRW_2y2y_bpVol -9.0% -4.3 43.6 KRW_3m1y_bpVol -9.1% -4.3 43.1 KRW_1m1y_bpVol -10.9% -8.1 66.1 CAD_2y2y_bpVol

#bigmove, #eur, #sek, #chf, #nok, #irvol, #krw, #cad, #aud, #fxvol

Z-Score Outliers

1y Z-Score Outlier: SEK_2y_Bond (-3.15), USD_5s30s_Bond (-3.13), USD_5s30s (-3.10), USD_10s30s_Bond (-2.99), USDvsAUD_10y10y (-2.94), USDvsAUD_10y (-2.92), USDvsNZD_2y2y (-2.86), USD_5s10s_Bond (-2.85), USDvsNZD_10y (-2.81), USDvsAUD_1y1y (-2.80), CHF_5s10s (-2.74), 2yNote (-2.66), USD_5s10s (-2.65), SEK_5y_Bond (-2.58), USDvsNZD_10y10y (-2.55), GBP_5s30s (-2.54), KRW_2y (+2.53), TRY (+2.53), USD_2y (+2.54), Nikkei (+2.71), KRW_2y_Bond (+2.79), EURTRY (+2.82), USD_2y_Bond (+2.85), XBT (+2.91), KRW_1y (+2.94)


 5y Z-Score Outlier: CAD_5s30s_Bond (-2.97), ETF_Internet (+2.53), USD_1y (+2.55), Dow (+2.60), ETF_Technology (+2.64), MSCIAP (+2.68), OBX (+2.68), USD_2y_Bond (+2.75), EURTRY (+2.79), KOSPI (+3.43), XBT (+5.85)

10y Z-Score Outlier: TRY (+2.53), ETF_Internet (+2.61), ETF_Technology (+2.76), EURTRY (+3.10), XBT (+6.89)

#zscore, #xbt, #nok, #gbp, #asia, #chf, #fx, #try, #jpy, #aud, #etf, #xmarket, #stock, #eur, #krw, #future, #curve, #em, #sek, #usd, #rate, #cad, #nzd

New Highs & Lows

New 1y High: EURvsCHF_1y1y=-0.223, KRW_3m=1.620


New  1y Low : CHF_5s10s=0.438, CHF_5s10s30s=-0.065, CZK=21.459, EURCZK=25.428, EURvsNOK_2y2y=1.254, KRW=1084.0, NZD_10y10y=3.869, SEK_5y_Bond=-0.258, USD_2s10s=0.415, USDvsAUD_5y5y=0.473
New  5y High: USDvsJPY_2s10s=-0.197
New 10y High: EURTRY=4.6491, TotalReturn_MSCI_World=5779.76

New 10y Low : NZD_3m=1.905, SEK_2y_Bond=-0.885

#highlow, #eur, #em, #chf, #sek, #fx, #nzd, #usd, #nok, #rate, #czk, #krw, #curve, #fly, #fixing, #try, #jpy, #aud, #etf, #xmarket

Rate Recap

Rate USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- Bond 2y 1.73 -0.70 0.47 -0.18 0.28 1.45 -0.88 0.50 1.77 1.96 2.08 Bond 5y 2.04 -0.33 0.75 -0.13 1.64 -0.23 1.04 2.10 2.38 2.36 Bond 10y 2.32 0.35 1.27 0.03 -0.13 1.90 0.72 1.51 2.52 2.79 2.54 Bond 30y 2.74 1.18 1.83 0.81 0.41 2.25 2.52 ------------------------------------------------------------------------------- Bond 2s5s 0.32 0.37 0.29 0.05 0.19 0.65 0.33 0.42 0.28 Bond 2s10s 0.59 1.05 0.81 0.21 -0.42 0.45 1.60 0.75 0.83 0.46 Bond 5s10s 0.28 0.68 0.52 0.15 0.26 0.95 0.47 0.42 0.41 0.18 Bond 5s30s 0.70 1.52 1.08 0.94 0.61 0.16 Bond 10s30s 0.42 0.83 0.56 0.78 0.54 0.35 -0.02 Bond 2s5s10s 0.04 -0.32 -0.23 -0.10 -0.07 -0.29 -0.10 0.01 0.10 Bond5s10s30s -0.14 -0.15 -0.03 -0.63 -0.09 0.20 ------------------------------------------------------------------------------- Central Bank 1.25 -0.40 0.50 -0.10 -0.75 1.00 -0.50 0.50 1.50 1.75 1.25 OIS 1.16 -0.36 0.46 3m 1.45 -0.33 0.52 -0.04 -0.75 1.40 -0.63 0.76 1.73 1.91 1.61 1y 1.74 -0.32 0.64 0.01 -0.63 1.60 -0.45 0.85 1.76 1.99 1.80 1y1y 2.06 -0.19 0.92 0.05 -0.44 1.95 -0.06 1.06 1.98 2.31 2.13 2y 1.90 -0.19 0.82 0.04 -0.54 1.78 -0.25 1.04 1.89 2.15 1.97 2y2y 2.23 0.32 1.19 0.11 -0.11 2.13 0.55 1.58 2.32 2.81 2.26 5y 2.11 0.19 1.07 0.10 -0.22 2.00 0.34 1.39 2.19 2.60 2.15 5y5y 2.55 1.45 1.61 0.39 0.70 2.47 1.92 2.33 3.04 3.63 2.34 10y 2.32 0.81 1.33 0.25 0.24 2.22 1.10 1.83 2.71 3.09 2.24 10y10y 2.73 2.05 1.78 1.05 1.07 2.93 2.53 2.42 3.39 3.88 2.32 20y 2.50 1.39 1.54 0.65 0.64 2.54 1.75 2.10 3.02 2.27 30y 2.52 1.49 1.53 0.84 0.73 2.49 1.84 2.10 3.07 2.27 ------------------------------------------------------------------------------- 2s5s 0.21 0.39 0.25 0.06 0.32 0.21 0.58 0.34 0.30 0.45 0.18 2s10s 0.42 1.01 0.51 0.21 0.78 0.44 1.35 0.80 0.82 0.94 0.27 5s10s 0.21 0.62 0.26 0.15 0.46 0.23 0.77 0.45 0.52 0.49 0.09 5s30s 0.41 1.29 0.45 0.74 0.95 0.49 1.50 0.72 0.88 0.12 10s30s 0.20 0.67 0.19 0.59 0.49 0.27 0.73 0.27 0.37 0.04 2s5s10s 0.00 -0.24 -0.01 -0.09 -0.14 -0.01 -0.18 -0.10 -0.22 -0.04 0.10 5s10s30s 0.00 -0.05 0.07 -0.44 -0.04 -0.04 0.03 0.18 0.15 0.05

#rate #recap, #curve, #fly, #ger, #jpy, #aud, #cad, #usd, #krw, #nok, #sek, #gbp, #eur, #nzd, #chf

Vol Recap

Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- fxVol 1m 6.67 7.61 8.20 6.66 6.53 8.71 8.53 7.68 8.83 fxVol 3m 6.27 7.47 8.25 6.50 6.37 8.03 8.18 7.70 8.77 fxVol 6m 6.89 7.81 8.85 6.98 6.77 8.39 8.49 8.21 9.24 fxVol 1y 7.29 8.26 9.26 7.58 7.31 8.74 8.98 8.76 9.76 fxVol 2y 7.73 8.78 9.43 8.09 7.78 9.13 9.41 9.28 10.24 ------------------------------------------------------------------------------- Realized 1m 8.09 8.96 6.51 7.37 6.75 8.77 9.92 7.40 7.95 5.84 Realized 3m 7.45 8.72 7.23 7.32 7.62 8.48 8.76 7.36 8.87 5.56 ------------------------------------------------------------------------------- Gamma 2y 43.5 15.7 38.3 9.8 37.8 57.9 27.8 33.3 40.8 43.4 48.0 Realized 1m 30.3 10.0 33.9 3.4 13.9 31.3 18.7 22.5 35.9 35.0 29.8 Realized 3m 32.2 10.4 35.7 5.3 14.5 41.8 22.8 16.2 36.1 27.9 36.6 ------------------------------------------------------------------------------- Gamma 5y 54.4 31.1 49.2 11.5 34.9 54.5 40.1 46.7 49.8 57.8 47.0 Realized 1m 41.4 22.3 46.9 9.5 19.8 38.9 28.6 28.5 45.8 36.1 35.9 Realized 3m 48.3 27.1 50.4 10.0 20.7 41.9 32.2 29.4 45.0 36.6 37.4 ------------------------------------------------------------------------------- Gamma 10y 58.2 38.8 54.5 15.6 42.3 54.2 44.3 45.6 55.4 64.8 50.9 Realized 1m 51.1 30.9 47.2 13.2 27.7 43.9 34.3 34.4 55.9 47.6 41.7 Realized 3m 54.1 35.5 51.1 13.7 27.9 43.9 37.3 35.7 51.8 44.8 38.1 ------------------------------------------------------------------------------- irVol 1m2y 34.1 11.1 33.9 7.2 35.9 46.5 20.3 31.1 30.2 34.4 46.3 irVol 1m5y 47.9 25.6 43.8 8.7 34.4 44.9 32.2 41.3 43.6 54.5 46.3 irVol 1m10y 52.7 31.9 48.5 11.7 35.4 48.6 39.9 39.5 52.1 61.9 50.8 irVol 1m30y 54.6 35.0 46.6 24.2 irVol 3m2y 38.3 12.3 36.1 8.8 36.7 51.0 23.8 29.7 36.3 40.6 46.6 irVol 3m5y 50.2 26.9 46.9 10.4 34.7 49.3 34.8 40.9 47.8 56.7 46.5 irVol 3m10y 54.5 33.8 51.8 13.7 37.9 51.8 40.3 40.0 53.9 64.0 50.8 irVol 3m30y 54.6 36.4 49.2 24.4 irVol 1y1y 43.7 18.1 34.3 10.6 38.0 59.3 32.0 45.3 43.6 48.3 46.6 irVol 1y2y 51.3 24.8 42.6 11.2 39.2 68.4 38.1 50.9 47.4 51.8 48.1 irVol 1y5y 60.5 38.4 55.8 13.1 40.3 58.9 46.8 57.0 53.9 59.6 46.8 irVol 1y10y 63.1 46.0 61.0 17.9 48.8 56.3 51.9 54.9 58.1 65.8 50.4 irVol 1y30y 60.1 47.0 58.0 29.8 irVol 2y2y 62.0 37.4 54.3 13.9 49.1 74.2 49.2 58.8 58.7 58.7 50.6 irVol 2y5y 66.8 47.0 63.4 16.1 52.3 63.6 55.6 63.9 60.2 63.0 47.1 irVol 2y10y 68.3 52.8 66.4 21.3 58.1 58.2 59.2 62.9 61.5 67.7 49.0 irVol 2y30y 63.1 52.5 62.5 30.0 irVol 5y5y 74.3 61.9 72.9 22.5 irVol 5y10y 72.3 63.7 70.7 27.1 irVol 5y30y 64.6 57.2 64.8 33.3 irVol 10y10y 67.9 65.3 68.4 31.7 irVol 10y30y 59.2 54.3 60.5 38.0

#vol #recap, #fxvol, #irvol, #jpy, #aud, #cad, #usd, #krw, #nok, #sek, #gbp, #eur, #nzd, #chf

Implied Vol Below Realized

Cheapest 1m Implied Vol vs Realized: Ratio vImpl vReal Cheap 0.58 43.6 75.8 AUD_1y1y 0.71 48.3 68.0 NZD_1y1y 0.74 34.3 46.4 GBP_1y1y 0.82 6.7 8.1 EUR 0.83 17.8 21.4 NOK_1y 0.84 30.2 35.9 AUD_2y 0.85 7.6 9.0 GBP 0.86 8.5 9.9 NOK 0.89 11.7 13.2 JPY_10y 0.90 6.7 7.4 CHF 0.92 8.7 9.5 JPY_5y 0.92 20.9 22.6 NZD_1y 0.93 52.1 55.9 AUD_10y 0.93 43.8 46.9 GBP_5y 0.95 43.6 45.8 AUD_5y 0.97 6.5 6.8 CAD 0.97 43.7 45.1 USD_1y1y 0.98 34.4 35.0 NZD_2y 0.99 54.6 55.4 USD_30y 0.99 8.7 8.8 SEK 0.99 17.5 17.6 AUD_1y

#irvol, #aud, #jpy, #usd, #cad, #fx, #fxvol, #nok, #sek, #gbp, #eur, #nzd, #chf, #rate

Biggest Vol Moves

Biggest Vol Moves: +10.3% +0.66 7.09 JPY_Vol1w +9.4% +5.2 60.2 AUD_2y5y_bpVol +9.1% +4.2 50.6 KRW_2y2y_bpVol +4.9% +1.2 25.6 EUR_1m5y_bpVol +4.9% +1.5 32.2 SEK_1m5y_bpVol +3.7% +0.20 5.59 CHF_Vol1w +3.5% +1.8 53.9 AUD_1y5y_bpVol +2.7% +1.3 49.6 CAD_6m1y_bpVol ------------------------ -4.0% -2.0 47.5 GBP_1m20y_bpVol -4.1% -1.3 30.2 AUD_6m1y_bpVol -4.1% -1.3 30.2 AUD_1m2y_bpVol -4.2% -0.32 7.39 NZD_Vol1w -4.6% -2.5 52.1 AUD_1m10y_bpVol -5.3% -0.20 3.59 TYVIX -5.3% -3.3 58.7 AUD_2y2y_bpVol -5.6% -2.8 47.4 AUD_1y2y_bpVol -7.4% -1.8 22.4 AUD_3m1y_bpVol

#bigmove, #vol, #jpy, #aud, #irvol, #usd, #cad, #fxvol, #krw, #sek, #eur, #gbp, #nzd, #chf

Biggest Rates Moves

Biggest Rates Moves: +0.081 -2.492 USDvsCHF_1y1y +0.069 -2.337 USDvsCHF_2y2y +0.065 -0.102 USDvsCAD_2y2y +0.062 -2.003 USDvsJPY_1y1y +0.062 -2.119 USDvsJPY_2y2y +0.060 -1.141 USDvsGBP_1y1y +13.8% +0.055 0.455 JPY_5y5y_Inflation +0.054 -1.042 USDvsGBP_2y2y +0.053 -1.212 EURvsJPY_5y5y_Inflation +0.050 -2.071 USDvsJPY_10y ------------------------ -2.2% -0.045 1.984 AUD_1y1y -8.7% -0.045 0.473 USDvsAUD_5s30s -1.6% -0.049 3.071 AUD_30y -2.3% -0.050 2.114 USD_5y -1.7% -0.057 3.387 AUD_10y10y -2.7% -0.057 2.042 USD_5y_Bond -2.7% -0.061 2.229 USD_2y2y -3.0% -0.063 2.056 USD_1y1y -3.7% -0.073 1.905 EURvsUSD_2y2y -3.4% -0.078 2.247 EURvsUSD_1y1y

#bigmove, #inflation, #jpy, #aud, #cad, #usd, #eur, #xmarket, #gbp, #chf, #rate

Z-Score Outliers

1y Z-Score Outlier: USD_5s30s (-3.21), USD_5s30s_Bond (-3.20), USDvsAUD_10y10y (-3.20), SEK_2y_Bond (-3.10), USD_10s30s_Bond (-3.05), USDvsAUD_10y (-2.98), USDvsAUD_1y1y (-2.93), USD_5s10s_Bond (-2.90), USDvsNZD_10y (-2.87), USDvsNZD_2y2y (-2.80), USD_5s10s (-2.79), 2yNote (-2.71), GBP_5s30s (-2.56), USDvsNZD_10y10y (-2.56), USDvsNZD_5y5y (-2.51), USDvsCHF_5s30s (+2.51), USD_2y (+2.52), TRY (+2.55), KRW_2y2y (+2.56), JPYvsKRW_5y5y (+2.57), USDvsJPY_5s30s (+2.57), KRW_10y (+2.59), JPYvsKRW_10y_Bond (+2.61), JPYvsKRW_2y2y (+2.63), JPYvsKRW_10y (+2.65), KRW_5y (+2.68), KRW_5y_Bond (+2.68), KRW_2y (+2.74), Nikkei (+2.75), EURTRY (+2.78), KRW_2y_Bond (+2.90), USD_2y_Bond (+2.90), XBT (+2.98), KRW_1y (+3.17)


 5y Z-Score Outlier: CAD_5s30s_Bond (-3.00), ETF_Internet (+2.54), USD_1y (+2.54), Dow (+2.61), ETF_Technology (+2.65), MSCIAP (+2.72), OBX (+2.73), EURTRY (+2.76), USD_2y_Bond (+2.76), KOSPI (+3.47), XBT (+5.96)

10y Z-Score Outlier: TRY (+2.53), ETF_Internet (+2.61), ETF_Technology (+2.77), EURTRY (+3.08), XBT (+7.01)

#zscore, #krw, #asia, #stock, #future, #etf, #jpy, #aud, #fx, #gbp, #eur, #nzd, #try, #sek, #xmarket, #chf, #curve, #cad, #usd, #xbt, #nok, #em, #rate

New Highs & Lows

New 1y High: ETF_China=48.32, ETF_EM_Vanguard=45.77


New  1y Low : CAD_2s10s_Bond=0.449, CZK=21.552, EURCZK=25.480, EURvsNOK_2y2y=1.259, GBP_Vol1w=6.08, GERvsPOR_10y_Bond=1.556, KRW=1086.3, NZD_10y10y=3.881, POR_10y_Bond=1.905, POR_2s5s_Bond=0.752, POR_30y_Bond=3.215, USD_2s10s=0.416, USDvsAUD_10y10y=0.653
New  5y High: ETF_EM_MSCI=47.81, MSCIEM=1156.7, USDvsJPY_2s10s=-0.203
New  5y Low : CAD_5s10s_Bond=0.259, CAD_5s30s_Bond=0.606, USD_2s5s_Bond=0.315
New 10y High: ETF_Internet=110.05, MSCIAP=568.47, Nasdaq=6867.4, TotalReturn_MSCI_World=5770.29

New 10y Low : EURvsUSD_2s10s=-0.590, ITA_2y_Bond=-0.367, POR_2y_Bond=-0.227, POR_5y_Bond=0.525, USDvsAUD_10y=0.385

#highlow, #krw, #asia, #stock, #ita, #etf, #jpy, #aud, #fx, #gbp, #eur, #por, #nzd, #czk, #fxvol, #ger, #xmarket, #curve, #cad, #usd, #nok, #em, #rate

Rate Recap

Rate USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- Bond 2y 1.77 -0.72 0.50 -0.20 0.29 1.46 -0.88 0.51 1.77 2.00 2.08 Bond 5y 2.10 -0.35 0.76 -0.13 1.65 -0.24 1.04 2.11 2.42 2.36 Bond 10y 2.36 0.35 1.27 0.03 -0.14 1.92 0.72 1.51 2.55 2.83 2.54 Bond 30y 2.76 1.20 1.82 0.81 0.42 2.26 2.53 ------------------------------------------------------------------------------- Bond 2s5s 0.33 0.37 0.26 0.06 0.19 0.64 0.34 0.42 0.29 Bond 2s10s 0.58 1.07 0.78 0.23 -0.43 0.46 1.60 0.78 0.84 0.47 Bond 5s10s 0.26 0.70 0.52 0.17 0.27 0.96 0.47 0.44 0.41 0.18 Bond 5s30s 0.66 1.55 1.06 0.95 0.61 0.17 Bond 10s30s 0.40 0.85 0.54 0.78 0.55 0.34 -0.01 Bond 2s5s10s 0.07 -0.33 -0.26 -0.10 -0.07 -0.31 -0.10 0.01 0.10 Bond5s10s30s -0.14 -0.15 -0.03 -0.62 -0.08 0.20 ------------------------------------------------------------------------------- Central Bank 1.25 -0.40 0.50 -0.10 -0.75 1.00 -0.50 0.50 1.50 1.75 1.25 OIS 1.16 -0.36 0.46 3m 1.45 -0.33 0.53 -0.03 -0.75 1.40 -0.63 0.77 1.72 1.92 1.61 1y 1.76 -0.32 0.64 0.01 -0.64 1.62 -0.46 0.84 1.76 1.99 1.79 1y1y 2.12 -0.21 0.92 0.05 -0.45 1.98 -0.07 1.05 2.03 2.32 2.12 2y 1.94 -0.18 0.83 0.03 -0.54 1.79 -0.26 1.03 1.90 2.15 1.95 2y2y 2.29 0.31 1.19 0.11 -0.12 2.12 0.54 1.58 2.35 2.82 2.26 5y 2.16 0.19 1.09 0.09 -0.23 2.01 0.33 1.38 2.21 2.63 2.14 5y5y 2.58 1.46 1.59 0.39 0.71 2.48 1.93 2.32 3.08 3.65 2.35 10y 2.36 0.81 1.33 0.24 0.24 2.23 1.10 1.82 2.75 3.12 2.24 10y10y 2.76 2.07 1.76 1.05 1.06 2.96 2.55 2.41 3.44 3.91 2.33 20y 2.54 1.39 1.53 0.64 0.65 2.55 1.75 2.08 3.07 2.28 30y 2.55 1.50 1.51 0.83 0.75 2.50 1.86 2.10 3.12 2.28 ------------------------------------------------------------------------------- 2s5s 0.22 0.37 0.25 0.06 0.32 0.22 0.59 0.34 0.31 0.47 0.19 2s10s 0.42 0.99 0.50 0.21 0.79 0.45 1.36 0.80 0.85 0.96 0.29 5s10s 0.20 0.62 0.24 0.14 0.47 0.22 0.78 0.45 0.54 0.49 0.10 5s30s 0.39 1.31 0.43 0.73 0.97 0.49 1.53 0.72 0.91 0.14 10s30s 0.19 0.69 0.18 0.59 0.51 0.27 0.76 0.27 0.37 0.04 2s5s10s 0.03 -0.25 0.01 -0.08 -0.15 -0.00 -0.18 -0.10 -0.22 -0.01 0.09 5s10s30s 0.00 -0.07 0.06 -0.44 -0.04 -0.04 0.02 0.18 0.17 0.06

#rate #recap, #curve, #fly, #ger, #chf, #nok, #nzd, #krw, #sek, #usd, #jpy, #eur, #gbp, #cad, #aud

Vol Recap

Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- fxVol 1m 6.72 7.83 8.19 6.76 6.63 8.84 8.68 7.84 8.93 fxVol 3m 6.30 7.64 8.18 6.48 6.44 8.14 8.31 7.82 8.93 fxVol 6m 6.88 7.95 8.77 7.03 6.86 8.47 8.60 8.29 9.39 fxVol 1y 7.27 8.35 9.24 7.55 7.36 8.81 9.03 8.85 9.82 fxVol 2y 7.71 8.90 9.42 8.06 7.82 9.14 9.37 9.34 10.32 ------------------------------------------------------------------------------- Realized 1m 7.69 8.89 5.65 6.91 6.34 7.64 9.46 7.11 7.86 5.80 Realized 3m 7.35 8.65 6.93 7.08 7.51 8.21 8.70 7.27 8.80 5.57 ------------------------------------------------------------------------------- Gamma 2y 43.8 15.7 38.3 9.8 37.8 56.6 27.8 33.2 41.5 43.9 48.0 Realized 1m 26.5 9.3 33.9 3.2 14.1 31.7 18.3 22.9 37.2 34.9 29.5 Realized 3m 31.7 10.2 35.6 5.3 14.5 41.9 22.8 16.1 36.1 27.9 36.5 ------------------------------------------------------------------------------- Gamma 5y 55.3 30.6 49.6 11.4 34.9 54.7 39.5 45.7 50.6 58.6 47.2 Realized 1m 40.0 24.5 47.7 9.5 20.7 41.0 30.6 28.9 46.5 34.3 36.2 Realized 3m 48.0 27.4 50.4 10.0 20.7 41.9 32.1 29.4 45.1 35.9 37.5 ------------------------------------------------------------------------------- Gamma 10y 59.1 38.8 55.1 15.6 42.3 55.0 44.6 45.6 56.4 65.5 51.0 Realized 1m 53.8 32.7 48.4 12.7 29.2 46.7 37.1 35.2 58.1 47.1 42.0 Realized 3m 54.5 35.8 51.4 13.5 28.1 44.5 37.3 35.7 51.3 44.4 38.2 ------------------------------------------------------------------------------- irVol 1m2y 34.7 11.1 33.9 7.5 35.9 46.0 20.3 31.7 31.5 34.5 46.4 irVol 1m5y 48.7 24.4 45.3 8.7 34.4 45.1 30.7 40.3 45.4 55.3 46.3 irVol 1m10y 53.6 32.2 50.2 11.3 35.4 49.3 40.2 40.8 54.6 62.6 50.9 irVol 1m30y 55.3 34.6 48.3 24.4 irVol 3m2y 38.6 12.3 36.1 8.8 36.7 50.4 23.8 29.4 36.8 40.9 46.7 irVol 3m5y 50.8 26.5 47.4 10.4 34.7 49.7 34.3 40.2 48.3 57.4 46.6 irVol 3m10y 55.3 34.1 52.7 14.0 37.9 52.1 40.8 40.5 54.7 64.6 50.7 irVol 3m30y 55.4 36.0 50.2 24.7 irVol 1y1y 44.3 18.1 34.6 10.6 38.0 59.7 32.0 44.8 44.3 48.6 46.3 irVol 1y2y 51.8 24.4 42.9 11.2 39.2 68.5 37.8 50.1 50.2 52.6 47.9 irVol 1y5y 61.4 37.9 55.9 13.1 40.3 58.8 46.3 56.1 52.1 60.4 47.5 irVol 1y10y 64.0 46.2 61.1 18.0 48.8 56.8 52.1 55.0 59.1 66.5 51.0 irVol 1y30y 61.0 47.3 58.1 29.7 irVol 2y2y 62.2 37.4 54.3 13.9 49.1 73.5 49.2 59.4 62.0 59.8 46.4 irVol 2y5y 67.3 46.9 63.5 16.1 52.3 63.6 55.4 63.4 55.0 63.7 46.8 irVol 2y10y 68.8 52.9 66.5 21.4 58.1 58.5 59.4 62.8 61.8 68.4 48.0 irVol 2y30y 63.6 52.7 62.6 30.0 irVol 5y5y 74.5 61.9 72.9 22.5 irVol 5y10y 72.5 63.7 70.7 27.1 irVol 5y30y 64.7 57.2 64.8 33.0 irVol 10y10y 68.0 65.0 68.4 31.7 irVol 10y30y 59.3 54.1 60.5 37.4

#vol #recap, #fxvol, #irvol, #chf, #nok, #nzd, #krw, #sek, #usd, #jpy, #eur, #gbp, #cad, #aud

Implied Vol Below Realized

Cheapest 1m Implied Vol vs Realized: Ratio vImpl vReal Cheap 0.57 44.3 77.4 AUD_1y1y 0.72 48.6 67.8 NZD_1y1y 0.73 34.6 47.3 GBP_1y1y 0.83 18.1 21.7 NOK_1y 0.85 31.5 37.2 AUD_2y 0.87 6.7 7.7 EUR 0.88 7.8 8.9 GBP 0.89 11.3 12.7 JPY_10y 0.92 8.7 9.5 JPY_5y 0.92 21.0 22.9 NZD_1y 0.92 8.7 9.5 NOK 0.93 55.3 59.3 USD_30y 0.94 54.6 58.1 AUD_10y 0.95 45.3 47.7 GBP_5y 0.96 54.7 56.9 USD_20y 0.98 45.4 46.5 AUD_5y 0.98 6.8 6.9 CHF 0.98 17.7 18.0 AUD_1y 0.98 32.2 32.7 EUR_10y 0.99 34.5 34.9 NZD_2y 0.99 34.6 34.9 EUR_30y 0.99 34.1 34.3 EUR_20y 1.00 24.4 24.5 EUR_5y 1.00 53.6 53.8 USD_10y

#rate, #fx, #irvol, #chf, #nzd, #nok, #usd, #fxvol, #jpy, #eur, #gbp, #aud

Biggest Vol Moves

Biggest Vol Moves: +14.6% +3.1 24.3 USD_1m1y_bpVol +9.5% +2.5 28.9 USD_3m1y_bpVol +5.8% +1.9 34.7 USD_1m2y_bpVol +3.9% +1.3 34.9 USD_6m1y_bpVol +3.5% +1.3 38.6 USD_3m2y_bpVol +2.9% +1.9 67.0 CAD_2y1y_bpVol +1.8% +0.13 7.49 NOK_Vol1w ------------------------ -6.0% -0.34 5.33 EUR_Vol1w -6.2% -2.5 37.8 CHF_6m2y_bpVol -6.2% -2.5 37.8 CHF_2yGamma -6.8% -2.7 36.7 CHF_3m2y_bpVol -8.3% -0.55 6.10 GBP_Vol1w -8.3% -3.2 35.4 CHF_1m10y_bpVol -8.3% -4.2 46.4 KRW_2y2y_bpVol -8.6% -0.92 9.73 VIX -9.2% -5.6 55.0 AUD_2y5y_bpVol

#bigmove, #irvol, #vol, #chf, #nok, #krw, #usd, #fxvol, #eur, #gbp, #cad, #aud

Z-Score Outliers

1y Z-Score Outlier: USD_5s30s (-3.66), USD_5s30s_Bond (-3.62), USD_10s30s_Bond (-3.43), USD_5s10s_Bond (-3.29), 2yNote (-3.24), SEK_2y_Bond (-3.21), USDvsNZD_2y2y (-3.20), USDvsAUD_1y1y (-3.13), USD_5s10s (-3.08), USDvsNZD_10y (-3.04), GBP_5s30s (-3.01), USDvsAUD_10y (-2.99), USD_10s30s (-2.89), USDvsJPY_1y1y (-2.82), USDvsNZD_1y1y (-2.80), USDvsAUD_10y10y (-2.75), GBP_5s10s (-2.64), USDvsNZD_5y5y (-2.64), CHF_2s10s_Bond (-2.60), USDvsNZD_10y10y (-2.57), KRW_10y_Bond (+2.52), KRW_2y2y (+2.56), JPYvsKRW_10y_Bond (+2.63), JPYvsKRW_2y2y (+2.64), KRW_10y (+2.64), KRW_5y (+2.66), KRW_2y (+2.67), Nikkei (+2.68), KRW_5y_Bond (+2.74), JPYvsKRW_5y5y (+2.75), USD_1y1y (+2.75), JPYvsKRW_10y (+2.79), USDvsJPY_5s30s (+2.81), USD_2y (+2.85), EURTRY (+2.89), TRY (+2.90), KRW_2y_Bond (+2.95), XBT (+3.01), EURvsUSD_1y1y (+3.05), KRW_1y (+3.05), USDvsCHF_5s30s (+3.19), USD_2y_Bond (+3.28)


 5y Z-Score Outlier: CAD_5s30s_Bond (-3.00), Eurodollar_Whites (-2.55), ETF_Internet (+2.53), USD_2y (+2.57), USD_1y (+2.59), Dow (+2.64), MSCIAP (+2.65), ETF_Technology (+2.67), OBX (+2.74), EURTRY (+2.80), USD_2y_Bond (+2.89), KOSPI (+3.42), XBT (+5.99)

10y Z-Score Outlier: TRY (+2.59), ETF_Internet (+2.60), ETF_Technology (+2.78), EURTRY (+3.11), XBT (+7.04)

#zscore, #future, #asia, #usd, #eur, #cad, #fx, #xbt, #chf, #etf, #nzd, #sek, #gbp, #try, #nok, #krw, #aud, #stock, #rate, #jpy, #xmarket, #curve, #em

New Highs & Lows

New 1y High: ETF_China=48.23, ETF_EM_Vanguard=45.62, SMI=9324.5, USDvsCHF_5s30s=0.585, USDvsJPY_2s10s=-0.211, USDvsJPY_5s30s=0.345


New  1y Low : 2yNote=107.391, CAD_2s10s_Bond=0.456, CAD_Vol1w=5.16, EURCZK=25.491, GBP_10s30s=0.185, GBP_5s30s=0.428, GBP_5s30s_Bond=1.058, GBP_Vol1w=6.10, GERvsPOR_10y_Bond=1.566, KRW=1090.8, NZD_10y10y=3.910, POR_10y_Bond=1.917, POR_2s5s_Bond=0.756, POR_30y_Bond=3.225, SEK_5y_Bond=-0.236, USD_2s10s=0.417, USDvsAUD_10y10y=0.687
New  5y High: ETF_EM_MSCI=47.69, MSCIEM=1151.0, USD_1y=1.756, USD_1y1y=2.119, USD_2y=1.943, USD_2y_Bond=1.772, USDvsCHF_2s10s=0.368
New  5y Low : CAD_5s10s_Bond=0.265, Eurodollar_Whites=98.213, GBP_10s30s_Bond=0.543, USD_10s30s=0.193, USD_10s30s_Bond=0.402, USD_2s5s_Bond=0.327, USD_5s30s=0.389, USDvsJPY_1y1y=-2.065
New 10y High: Dow=23591, ETF_Internet=109.75, ETF_Technology=64.26, EURTRY=4.6462, EURvsUSD_1y1y=2.325, MSCIAP=565.46, Nasdaq=6862.5, OAT=158.890, S&P500=2599.0, TRY=3.9565

New 10y Low : EURvsUSD_5s30s=-0.918, ITA_2y_Bond=-0.364, POR_2y_Bond=-0.215, POR_5y_Bond=0.541, SEK_2y_Bond=-0.879, USD_2s10s_Bond=0.584, USD_5s10s=0.196, USD_5s10s_Bond=0.257, USD_5s30s_Bond=0.659, USDvsAUD_10y=0.389, USDvsAUD_1y1y=-0.090, USDvsAUD_2y2y=0.064, USDvsNZD_10y=0.760, USDvsNZD_1y1y=0.204, USDvsNZD_2y2y=0.533

#highlow, #czk, #future, #asia, #usd, #eur, #cad, #fx, #chf, #etf, #nzd, #sek, #fra, #gbp, #try, #krw, #por, #aud, #stock, #rate, #ger, #fxvol, #jpy, #xmarket, #curve, #ita, #em

10y Moves: USD_10y , AUD_10y #usd #aud #rate #low https://t.co/LBU9GiFpnp

10y Moves: USD_10y , AUD_10y
#usd #aud #rate #low https://t.co/LBU9GiFpnp

New 10y Low: USDvsAUD_10y=0.389 #xmarket #usd #aud #rate https://t.co/dam

New 10y Low: USDvsAUD_10y=0.389
#xmarket #usd #aud #rate https://t.co/dam7xcYRwL

Rate Recap

Rate USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- Bond 2y 1.31 -0.70 0.11 -0.20 0.29 0.68 -0.63 0.68 1.71 2.06 1.58 Bond 5y 1.89 -0.32 0.53 -0.15 0.99 -0.03 1.04 2.17 2.41 1.88 Bond 10y 2.35 0.39 1.12 0.02 -0.07 1.54 0.62 1.67 2.64 3.02 2.21 Bond 30y 3.00 1.18 1.78 0.80 0.39 2.15 2.38 ------------------------------------------------------------------------------- Bond 2s5s 0.58 0.38 0.43 0.04 0.31 0.60 0.46 0.35 0.30 Bond 2s10s 1.05 1.09 1.01 0.22 -0.37 0.85 1.25 0.93 0.95 0.63 Bond 5s10s 0.47 0.72 0.58 0.17 0.55 0.65 0.63 0.47 0.61 0.33 Bond 5s30s 1.11 1.50 1.25 0.95 1.15 0.50 Bond 10s30s 0.64 0.79 0.66 0.78 0.46 0.61 0.17 Bond 2s5s10s 0.11 -0.34 -0.16 -0.13 -0.24 -0.05 -0.01 -0.26 -0.02 Bond5s10s30s -0.18 -0.07 -0.08 -0.60 -0.06 0.15 ------------------------------------------------------------------------------- Central Bank 1.00 -0.40 0.25 -0.10 -0.75 0.50 -0.50 0.50 1.50 1.75 1.25 OIS 0.91 -0.36 0.21 3m 1.17 -0.33 0.32 0.00 -0.73 0.91 -0.48 0.93 1.74 1.98 1.38 1y 1.40 -0.31 0.37 0.03 -0.66 0.93 -0.46 1.02 1.75 2.07 1.47 1y1y 1.79 -0.15 0.53 0.03 -0.54 1.13 -0.12 1.17 2.02 2.56 1.64 2y 1.60 -0.14 0.58 0.03 -0.60 1.02 -0.28 1.20 1.89 2.31 1.55 2y2y 2.18 0.34 0.91 0.07 -0.21 1.47 0.56 1.74 2.48 3.20 1.80 5y 1.98 0.23 0.82 0.07 -0.29 1.35 0.33 1.54 2.30 2.91 1.73 5y5y 2.66 1.47 1.57 0.38 0.69 2.27 1.98 2.43 3.35 3.94 2.10 10y 2.30 0.83 1.19 0.22 0.20 1.79 1.13 1.96 2.92 3.40 1.91 10y10y 2.81 2.02 1.78 1.05 0.93 2.91 2.64 2.40 3.71 4.50 1.99 20y 2.53 1.38 1.46 0.63 0.55 2.29 1.81 2.15 3.27 1.95 30y 2.55 1.47 1.45 0.79 0.67 2.29 1.92 2.17 3.33 1.95 ------------------------------------------------------------------------------- 2s5s 0.38 0.37 0.25 0.04 0.31 0.32 0.61 0.34 0.41 0.60 0.17 2s10s 0.70 0.97 0.61 0.20 0.80 0.77 1.41 0.77 1.03 1.09 0.35 5s10s 0.32 0.60 0.36 0.16 0.49 0.45 0.80 0.42 0.62 0.49 0.18 5s30s 0.57 1.24 0.62 0.72 0.96 0.94 1.58 0.62 1.03 0.22 10s30s 0.25 0.63 0.26 0.56 0.47 0.50 0.79 0.20 0.41 0.04 2s5s10s 0.06 -0.23 -0.12 -0.12 -0.18 -0.12 -0.19 -0.07 -0.20 0.11 -0.01 5s10s30s 0.07 -0.03 0.10 -0.41 0.02 -0.05 0.01 0.21 0.21 0.14

#rate #recap, #curve, #fly, #ger, #cad, #aud, #usd, #eur, #krw, #sek, #chf, #nzd, #nok, #gbp, #jpy

Vol Recap

Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- fxVol 1m 7.70 7.00 8.36 6.28 7.14 8.00 8.18 8.06 8.34 fxVol 3m 7.76 7.79 8.89 6.73 7.20 8.38 8.75 8.58 8.98 fxVol 6m 7.74 8.07 9.17 6.89 7.34 8.56 9.02 8.96 9.38 fxVol 1y 7.84 8.42 9.37 7.22 7.58 8.77 9.32 9.35 9.80 fxVol 2y 7.93 8.69 9.59 7.34 7.98 8.84 9.51 9.77 10.33 ------------------------------------------------------------------------------- Realized 1m 7.56 9.83 8.11 5.42 5.27 9.35 8.32 8.50 7.22 7.58 Realized 3m 7.50 8.42 8.11 6.17 5.72 8.18 8.01 8.32 7.90 8.85 ------------------------------------------------------------------------------- Gamma 2y 50.9 26.1 34.2 12.2 53.9 44.2 35.4 60.7 43.0 48.8 37.1 Realized 1m 41.8 15.2 14.5 5.1 22.8 33.1 18.9 14.2 59.0 20.1 19.8 Realized 3m 41.9 15.1 19.5 4.7 22.5 28.4 19.8 19.8 52.9 28.5 21.5 ------------------------------------------------------------------------------- Gamma 5y 68.6 44.2 54.3 15.2 47.9 60.6 51.3 67.0 65.8 65.4 47.9 Realized 1m 61.0 31.0 30.2 15.6 31.4 52.8 37.2 26.5 36.6 33.1 32.0 Realized 3m 64.1 41.0 41.2 11.7 32.3 50.2 40.4 33.3 45.8 37.1 33.0 ------------------------------------------------------------------------------- Gamma 10y 72.1 55.7 64.9 18.7 51.9 63.0 61.6 65.3 74.4 72.0 49.6 Realized 1m 64.6 39.0 32.9 15.4 41.5 57.5 47.2 36.5 68.1 43.5 42.9 Realized 3m 66.0 46.1 46.1 14.6 44.8 58.8 45.6 43.7 64.9 44.9 41.3 ------------------------------------------------------------------------------- irVol 1m2y 44.5 17.0 26.3 10.2 53.9 38.0 21.6 47.8 31.7 37.6 36.5 irVol 1m5y 64.0 37.7 46.6 13.0 47.9 60.6 39.7 63.5 55.5 61.4 47.4 irVol 1m10y 65.0 46.5 55.9 14.6 49.7 63.0 49.5 57.6 67.3 68.7 49.3 irVol 1m30y 62.3 56.0 56.7 34.4 irVol 3m2y 47.4 22.1 30.2 11.6 48.8 39.5 28.1 53.4 38.6 45.5 37.1 irVol 3m5y 67.0 43.1 50.1 14.6 45.1 58.9 47.4 67.0 63.0 64.2 47.9 irVol 3m10y 69.8 53.4 61.4 17.3 50.9 61.5 57.7 62.9 73.0 71.2 49.6 irVol 3m30y 66.2 63.0 61.2 34.6 irVol 1y1y 49.4 26.8 34.7 12.2 42.2 40.8 38.7 65.0 48.5 54.7 34.2 irVol 1y2y 60.1 32.9 43.2 13.4 43.3 54.4 45.1 68.4 58.0 59.5 37.4 irVol 1y5y 72.9 49.0 60.3 16.5 45.7 59.7 58.3 73.0 68.9 67.6 46.8 irVol 1y10y 75.1 59.7 69.6 20.8 55.2 59.3 65.1 71.0 75.4 73.3 48.8 irVol 1y30y 71.3 64.2 69.0 35.7 irVol 2y2y 72.8 45.8 56.6 16.5 53.2 58.2 58.5 73.6 68.7 67.8 41.4 irVol 2y5y 77.0 55.7 67.9 19.5 57.1 62.1 65.0 75.9 71.8 71.0 45.0 irVol 2y10y 77.6 63.5 72.5 24.0 63.5 58.0 69.2 75.0 74.0 75.2 47.4 irVol 2y30y 72.3 64.1 69.9 34.9 irVol 5y5y 81.1 67.6 76.3 25.8 irVol 5y10y 78.8 69.0 73.5 30.4 irVol 5y30y 69.4 61.9 67.8 37.6 irVol 10y10y 70.7 67.9 68.1 34.4 irVol 10y30y 61.8 55.6 60.2 40.1

#vol #recap, #fxvol, #irvol, #cad, #aud, #usd, #eur, #krw, #sek, #chf, #nzd, #nok, #gbp, #jpy

Implied Vol Below Realized

Cheapest 1m Implied Vol vs Realized: Ratio vImpl vReal Cheap 0.42 48.5 115.4 AUD_1y1y 0.54 31.7 59.0 AUD_2y 0.68 40.8 59.6 CAD_1y1y 0.71 7.0 9.8 GBP 0.77 49.4 64.4 USD_1y1y 0.81 18.4 22.8 AUD_1y 0.83 13.0 15.6 JPY_5y 0.86 8.0 9.3 SEK 0.95 14.6 15.4 JPY_10y 0.95 8.1 8.5 AUD 0.98 8.2 8.3 NOK 0.99 67.3 68.1 AUD_10y

#cad, #aud, #usd, #sek, #fx, #fxvol, #nok, #irvol, #gbp, #jpy, #rate

Crossed 200dma

Crossed 200dma: -0.203 AUD_2s5s10s 1.711 AUD_2y_Bond 160.900 Bund 1.025 CAD_2y 1.154 CAD_5s30s_Bond 0.016 CHF_5s10s30s 7.70 CHF_Vol1w 98.80 DXY 0.662 GBP_10s30s_Bond 1.116 GBP_10y_Bond 0.579 GBP_2y 1.778 GBP_30y_Bond 0.625 NOK_5s30s 9.76 NOK_Vol1w 0.778 POR_5s10s30s_Bond -0.631 SEK_2y_Bond 0.704 USD_2s10s 0.114 USD_2s5s10s_Bond 13.656 ZAR

#dma, #dxy, #future, #aud, #cad, #usd, #eur, #fly, #sek, #chf, #fx, #zar, #fxvol, #em, #nok, #por, #gbp, #rate, #curve

Highest + Lowest RSI

Highest + Lowest RSI: RSI=80.8 93.68 ETF_Internet RSI=80.4 9.531 EURNOK RSI=78.0 1.3749 CAD RSI=76.7 2241.2 KOSPI RSI=76.3 12648 DAX RSI=76.2 8980.0 SMI RSI=76.1 5372.4 CAC40 RSI=75.9 145.34 GBPJPY RSI=75.6 1.4827 EURAUD RSI=75.3 3627.9 EuroStoxx ---------------- RSI=21.0 7.34 CHF_Vol2y RSI=20.0 3.029 GERvsPOR_10y_Bond RSI=18.3 16.240 Silver RSI=18.2 5.574 GERvsGRE_10y_Bond RSI=18.1 5.720 GRE_2y_Bond RSI=17.0 5.968 GRE_10y_Bond RSI=15.7 8.42 GBP_Vol1y RSI=14.5 1.740 AUD_3m RSI=11.7 0.912 CAD_3m RSI=11.6 8.69 GBP_Vol2y

#rsi, #fixing, #commodity, #por, #krw, #aud, #usd, #stock, #eur, #gre, #xmarket, #cad, #fxvol, #chf, #fx, #nok, #ger, #etf, #gbp, #jpy, #rate, #fra

Biggest Vol Moves

Biggest Vol Moves: +13.1% +0.89 7.70 CHF_Vol1w +8.0% +0.81 10.97 EUR_Vol1w +7.6% +0.68 9.58 NZD_Vol1w +6.3% +0.52 8.80 AUD_Vol1w +6.0% +2.7 47.4 KRW_2y10y_bpVol +5.9% +1.1 19.7 GBP_3m1y_bpVol +5.3% +0.53 10.51 SEK_Vol1w +5.3% +0.49 9.76 NOK_Vol1w +5.0% +0.30 6.28 CHF_Vol1m +4.8% +1.2 26.3 GBP_1m2y_bpVol ------------------------ -5.0% -2.5 47.9 KRW_6m5y_bpVol -5.0% -2.5 47.9 KRW_5yGamma -5.2% -2.2 40.1 JPY_10y30y_bpVol -5.3% -0.92 16.48 VSTOXX -6.2% -2.6 39.0 JPY_7y30y_bpVol -7.2% -2.9 37.6 JPY_5y30y_bpVol -7.2% -2.7 34.9 JPY_2y30y_bpVol -7.3% -2.9 36.8 JPY_4y30y_bpVol -8.0% -3.1 35.8 JPY_3y30y_bpVol

#bigmove, #krw, #aud, #eur, #vol, #nzd, #chf, #sek, #fxvol, #nok, #irvol, #gbp, #jpy

Biggest Rates Moves

Biggest Rates Moves: +14.5% +0.087 0.688 CHF_5y5y +6.7% +0.074 1.180 GER_30y_Bond +5.3% +0.074 1.467 EUR_5y5y +1.6% +0.073 4.496 NZD_10y10y +20.9% +0.068 0.394 GER_10y_Bond +8.1% +0.059 0.784 AUDvsNZD_10y10y +41.0% +0.057 0.196 CHF_10y +2.2% +0.057 2.643 SEK_10y10y +2.7% +0.053 2.024 EUR_10y10y +3.0% +0.052 1.778 GBP_30y_Bond ------------------------ -0.054 -0.708 USDvsCAD_2y2y -0.056 -0.391 USDvsCAD_5y5y -3.5% -0.068 1.868 POR_5y_Bond -0.074 -1.091 EURvsJPY_5y5y -3.9% -0.076 1.859 GERvsITA_10y_Bond -6.2% -0.080 1.206 GERvsSPA_10y_Bond -2.0% -0.085 4.200 POR_30y_Bond -1.9% -0.106 5.574 GERvsGRE_10y_Bond -3.5% -0.110 3.029 GERvsPOR_10y_Bond -2.9% -0.173 5.720 GRE_2y_Bond

#bigmove, #spa, #ita, #por, #aud, #cad, #usd, #eur, #gre, #xmarket, #nzd, #chf, #sek, #ger, #gbp, #jpy, #rate

Biggest Market Moves

Biggest Market Moves: +1.8% +2.38 137.29 SX7E +1.7% +0.992 58.382 RUB +1.6% +0.218 13.656 ZAR +1.5% +0.0573 3.9066 EURTRY +1.4% +71.4 5372.4 CAC40 +1.2% +0.112 9.531 EURNOK +1.2% +41.7 3627.9 EuroStoxx +1.1% +0.0161 1.4827 EURAUD +1.0% +88.1 8980.0 SMI +1.0% +0.185 19.049 MXN ------------------------ -1.1% -0.43 39.98 ETF_EM_Vanguard -1.1% -0.45 39.86 ETF_EM_MSCI -1.2% -1.980 166.880 Buxl -1.2% -3.10 250.20 Copper -1.4% -0.54 37.75 ETF_China -1.5% -0.250 16.240 Silver -1.6% -19.9 1228.6 Gold -1.9% -3.39 177.01 CommodityIndex -4.8% -2.41 48.38 Oil -5.1% -3.48 65.20 Iron

#bigmove, #future, #rub, #commodity, #aud, #stock, #eur, #chf, #mxn, #fx, #zar, #em, #nok, #fra, #etf, #try

1mVol Implied < Realized: AUD_1y1y r0.42 #irvol #rate #histvol #aud ht

1mVol Implied < Realized: AUD_1y1y r0.42
#irvol #rate #histvol #aud https://t.co/Uvorr1Y5Ra

1mVol Implied < Realized: AUD_2y r0.54 #irvol #rate #histvol #aud http

1mVol Implied < Realized: AUD_2y r0.54
#irvol #rate #histvol #aud https://t.co/d8crrhHAUh

1mVol Implied < Realized: AUD_1y r0.81 #irvol #rate #histvol #aud http

1mVol Implied < Realized: AUD_1y r0.81
#irvol #rate #histvol #aud https://t.co/ySi3d3brmV

Crossed 200dma: AUD_2y_Bond=1.711 #dma #rate #dma #aud https://t.co/NMBpz

Crossed 200dma: AUD_2y_Bond=1.711
#dma #rate #dma #aud https://t.co/NMBpzRuTYe

Crossed 200dma: AUD_2s5s10s=-0.203 #dma #rate #dma #aud #fly https://t.co

Crossed 200dma: AUD_2s5s10s=-0.203
#dma #rate #dma #aud #fly https://t.co/90CxJTZDf9

High RSI: 75.6 for EURAUD=1.4827 60% 1y Range 69% 5y Range 35% 10y R

High RSI: 75.6 for EURAUD=1.4827
60% 1y Range
69% 5y Range
35% 10y Range
#rsi #eur #fx #aud #rsi https://t.co/wyM5TKf6Q0

Rate Recap

Rate USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- Bond 2y 1.29 -0.72 0.07 -0.20 0.25 0.70 -0.65 0.67 1.67 2.04 1.58 Bond 5y 1.85 -0.37 0.49 -0.15 1.00 -0.06 1.04 2.13 2.37 1.90 Bond 10y 2.32 0.33 1.07 0.02 -0.12 1.54 0.58 1.63 2.59 2.97 2.24 Bond 30y 2.97 1.11 1.73 0.80 0.34 2.15 2.41 ------------------------------------------------------------------------------- Bond 2s5s 0.56 0.34 0.42 0.04 0.30 0.58 0.46 0.33 0.31 Bond 2s10s 1.02 1.04 1.00 0.22 -0.37 0.84 1.23 0.92 0.94 0.65 Bond 5s10s 0.47 0.70 0.58 0.17 0.55 0.65 0.60 0.46 0.60 0.34 Bond 5s30s 1.12 1.48 1.23 0.95 1.15 0.51 Bond 10s30s 0.65 0.78 0.65 0.78 0.46 0.60 0.17 Bond 2s5s10s 0.09 -0.36 -0.16 -0.13 -0.25 -0.07 0.00 -0.27 -0.03 Bond5s10s30s -0.18 -0.08 -0.07 -0.60 -0.06 0.17 ------------------------------------------------------------------------------- Central Bank 1.00 -0.40 0.25 -0.10 -0.75 0.50 -0.50 0.50 1.50 1.75 1.25 OIS 0.91 -0.36 0.21 3m 1.17 -0.33 0.32 0.00 -0.73 0.91 -0.48 0.94 1.74 1.98 1.38 1y 1.39 -0.33 0.37 0.03 -0.67 0.94 -0.45 1.03 1.75 2.07 1.48 1y1y 1.77 -0.17 0.51 0.03 -0.57 1.16 -0.13 1.16 2.01 2.58 1.65 2y 1.58 -0.16 0.56 0.03 -0.62 1.04 -0.29 1.20 1.87 2.31 1.57 2y2y 2.14 0.30 0.87 0.07 -0.24 1.49 0.52 1.72 2.44 3.17 1.82 5y 1.96 0.21 0.79 0.07 -0.32 1.36 0.29 1.52 2.27 2.89 1.75 5y5y 2.62 1.39 1.52 0.38 0.60 2.28 1.93 2.38 3.32 3.92 2.14 10y 2.27 0.80 1.15 0.22 0.14 1.79 1.08 1.93 2.90 3.38 1.93 10y10y 2.77 1.97 1.73 1.05 0.91 2.90 2.59 2.37 3.70 4.42 2.03 20y 2.49 1.33 1.42 0.63 0.51 2.29 1.77 2.12 3.25 1.98 30y 2.52 1.42 1.41 0.79 0.62 2.29 1.88 2.13 3.30 1.98 ------------------------------------------------------------------------------- 2s5s 0.37 0.36 0.23 0.04 0.30 0.32 0.58 0.33 0.40 0.58 0.18 2s10s 0.69 0.96 0.59 0.19 0.76 0.75 1.37 0.73 1.02 1.07 0.36 5s10s 0.31 0.59 0.36 0.15 0.46 0.43 0.79 0.41 0.62 0.49 0.18 5s30s 0.56 1.21 0.61 0.72 0.95 0.92 1.58 0.61 1.03 0.23 10s30s 0.25 0.62 0.26 0.56 0.48 0.49 0.79 0.20 0.41 0.04 2s5s10s 0.06 -0.23 -0.12 -0.11 -0.16 -0.11 -0.21 -0.08 -0.23 0.09 -0.01 5s10s30s 0.06 -0.02 0.10 -0.41 -0.02 -0.06 -0.00 0.20 0.22 0.14

#rate #recap, #curve, #fly, #ger, #krw, #aud, #gbp, #cad, #nok, #nzd, #eur, #usd, #chf, #sek, #jpy

Vol Recap

Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- fxVol 1m 7.47 7.19 8.45 5.98 7.18 7.93 8.05 7.72 8.40 fxVol 3m 7.57 7.98 8.97 6.46 7.18 8.23 8.51 8.43 8.86 fxVol 6m 7.70 8.24 9.25 6.79 7.38 8.51 8.87 8.87 9.37 fxVol 1y 7.84 8.55 9.43 7.18 7.58 8.79 9.27 9.27 9.76 fxVol 2y 7.94 8.82 9.67 7.36 7.98 8.88 9.43 9.67 10.27 ------------------------------------------------------------------------------- Realized 1m 7.05 9.80 8.03 4.79 5.29 9.34 8.31 8.52 7.22 7.61 Realized 3m 7.29 8.66 8.13 5.93 5.74 8.17 8.00 8.55 7.91 9.01 ------------------------------------------------------------------------------- Gamma 2y 51.3 25.6 33.8 12.2 53.9 44.3 35.2 59.3 43.2 48.2 38.5 Realized 1m 42.3 14.4 12.4 5.1 22.8 32.9 19.4 14.2 59.6 20.2 18.9 Realized 3m 41.9 15.0 20.7 4.6 22.3 28.2 20.4 20.0 53.1 28.5 21.3 ------------------------------------------------------------------------------- Gamma 5y 68.7 43.8 53.7 15.2 47.9 60.9 51.4 66.3 66.1 64.8 50.4 Realized 1m 61.8 31.5 29.4 15.6 30.5 53.2 35.5 25.8 35.3 32.8 30.8 Realized 3m 63.9 40.9 42.2 11.7 31.9 50.3 41.4 33.7 45.8 36.9 32.7 ------------------------------------------------------------------------------- Gamma 10y 72.3 55.2 64.6 18.7 51.9 63.7 61.8 65.1 74.9 71.3 51.9 Realized 1m 64.1 38.2 31.8 15.5 37.4 57.9 44.6 34.6 69.2 44.0 41.6 Realized 3m 65.6 46.4 46.3 14.9 43.7 58.9 47.0 43.9 64.7 45.0 41.0 ------------------------------------------------------------------------------- irVol 1m2y 44.2 17.7 25.1 10.2 53.9 38.1 22.4 49.8 31.9 37.2 37.8 irVol 1m5y 63.5 38.0 46.2 13.0 47.9 60.9 40.4 64.2 55.9 60.9 48.3 irVol 1m10y 64.5 45.1 55.4 14.6 49.7 63.7 49.1 56.3 67.9 68.1 49.8 irVol 1m30y 61.9 54.5 56.2 34.5 irVol 3m2y 47.0 22.9 28.9 11.6 48.8 39.4 29.1 55.3 38.8 44.4 38.5 irVol 3m5y 66.3 42.2 49.4 14.6 45.1 59.2 47.4 65.6 63.0 63.2 48.9 irVol 3m10y 69.1 51.5 60.6 17.3 50.9 61.8 57.7 61.2 73.2 70.3 50.1 irVol 3m30y 66.1 60.8 60.7 34.7 irVol 1y1y 49.7 26.3 34.4 12.2 42.2 40.8 38.6 64.5 49.4 53.7 33.3 irVol 1y2y 60.4 32.3 43.1 13.4 43.3 54.4 45.0 66.9 58.2 58.8 37.3 irVol 1y5y 72.6 48.5 59.7 16.5 45.7 60.0 58.1 72.5 69.9 66.9 45.4 irVol 1y10y 75.0 59.1 69.3 20.8 55.2 59.5 64.9 70.5 76.0 72.4 48.3 irVol 1y30y 71.2 63.3 68.7 35.8 irVol 2y2y 73.0 44.4 56.8 16.5 53.2 58.2 58.2 71.1 68.2 67.2 41.4 irVol 2y5y 77.0 55.2 67.9 19.5 57.1 62.4 64.6 75.2 72.1 70.4 43.3 irVol 2y10y 77.7 63.0 72.5 24.0 63.5 58.2 68.9 74.8 74.3 74.3 44.7 irVol 2y30y 72.4 63.5 70.0 37.6 irVol 5y5y 81.1 67.6 76.6 25.8 irVol 5y10y 78.7 68.8 73.8 30.4 irVol 5y30y 69.4 61.7 68.0 40.5 irVol 10y10y 70.8 67.7 68.2 34.4 irVol 10y30y 61.9 55.3 60.2 42.3

#vol #recap, #fxvol, #irvol, #krw, #aud, #gbp, #cad, #nok, #nzd, #eur, #usd, #chf, #sek, #jpy

Implied Vol Below Realized

Cheapest 1m Implied Vol vs Realized: Ratio vImpl vReal Cheap 0.43 49.4 116.1 AUD_1y1y 0.54 31.9 59.6 AUD_2y 0.69 40.8 58.9 CAD_1y1y 0.73 7.2 9.8 GBP 0.75 49.7 66.5 USD_1y1y 0.80 18.3 22.8 AUD_1y 0.83 13.0 15.6 JPY_5y 0.85 7.9 9.3 SEK 0.91 7.7 8.5 AUD 0.94 14.6 15.5 JPY_10y 0.97 8.1 8.3 NOK 0.98 67.9 69.2 AUD_10y

#fxvol, #jpy, #gbp, #cad, #rate, #nok, #usd, #sek, #aud, #irvol, #fx

Crossed 200dma

Crossed 200dma: 108.258 2yNote -0.228 AUD_2s5s10s -0.249 CAD_2s5s10s_Bond 1.044 CAD_2y 0.702 CAD_2y_Bond 1.147 CAD_5s30s_Bond -0.024 CHF_5s10s30s 6.81 CHF_Vol1w 99.21 DXY 3.417 GBP_5y5y_Inflation 1248.5 Gold 9.27 NOK_Vol1w 0.009 POR_2s5s10s_Bond 1.936 POR_5y_Bond 0.650 USD_10s30s_Bond 0.372 USD_2s5s 1.116 USD_5s30s_Bond

#dma, #fxvol, #inflation, #commodity, #por, #dxy, #gbp, #fly, #cad, #rate, #nok, #curve, #eur, #future, #usd, #chf, #aud, #fx

Highest + Lowest RSI

Highest + Lowest RSI: RSI=80.5 93.59 ETF_Internet RSI=78.9 1.174 USD_3m RSI=77.7 1516.7 XBT RSI=77.0 1.3730 CAD RSI=75.2 145.09 GBPJPY RSI=74.7 54.81 ETF_Technology RSI=74.4 9.419 EURNOK RSI=73.1 7405.8 NZX50 RSI=72.4 122.76 EURJPY RSI=72.0 2219.7 KOSPI ---------------- RSI=21.4 7.36 CHF_Vol2y RSI=20.6 16.490 Silver RSI=20.0 5.680 GERvsGRE_10y_Bond RSI=19.8 5.893 GRE_2y_Bond RSI=19.5 0.709 POR_5s10s30s_Bond RSI=17.9 8.55 GBP_Vol1y RSI=17.7 6.006 GRE_10y_Bond RSI=14.5 1.740 AUD_3m RSI=13.4 8.82 GBP_Vol2y RSI=11.7 0.912 CAD_3m

#rsi, #stock, #fly, #eur, #fixing, #gbp, #etf, #rate, #nok, #xbt, #jpy, #commodity, #xmarket, #ger, #usd, #chf, #fx, #fxvol, #gre, #krw, #por, #cad, #nzd, #aud

Biggest Vol Moves

Biggest Vol Moves: +9.2% +1.3 15.4 EUR_1m1y_bpVol +9.0% +1.7 20.6 SEK_1m1y_bpVol +8.9% +4.4 53.8 NOK_1m1y_bpVol +8.7% +3.1 38.9 JPY_3y30y_bpVol +7.9% +2.9 39.7 JPY_4y30y_bpVol +7.7% +2.7 37.6 JPY_2y30y_bpVol +7.7% +2.9 40.5 JPY_5y30y_bpVol +7.2% +2.8 41.6 JPY_7y30y_bpVol +5.5% +2.2 42.3 JPY_10y30y_bpVol +4.2% +2.0 49.4 AUD_1y1y_bpVol ------------------------ -6.6% -2.7 38.1 CAD_1m2y_bpVol -7.2% -5.0 64.2 NOK_1m5y_bpVol -7.3% -3.2 40.8 CAD_1y1y_bpVol -7.3% -3.1 39.4 CAD_3m2y_bpVol -7.4% -0.74 9.27 NOK_Vol1w -8.1% -0.65 7.34 CAD_Vol1w -8.2% -3.6 40.4 SEK_1m5y_bpVol -8.2% -3.4 38.0 EUR_1m5y_bpVol -8.5% -3.0 32.2 CAD_6m1y_bpVol -12.6% -0.98 6.81 CHF_Vol1w

#bigmove, #fxvol, #cad, #nok, #eur, #sek, #chf, #aud, #irvol, #jpy

Biggest Rates Moves

Biggest Rates Moves: +0.089 -1.956 USDvsJPY_5y5y_Inflation +6.6% +0.066 1.061 USDvsGBP_5y5y_Inflation +16.0% +0.064 0.465 USDvsAUD_5s30s +1.8% +0.059 3.321 AUD_5y5y +2.7% +0.052 2.009 AUD_1y1y +5.8% +0.051 0.926 USDvsAUD_10y10y +1.3% +0.049 3.698 AUD_10y10y +2.7% +0.049 1.852 USD_5y_Bond +4.1% +0.046 1.162 CAD_1y1y +1.6% +0.045 2.895 AUD_10y ------------------------ -1.7% -0.057 3.324 ITA_30y_Bond -8.5% -0.067 0.725 AUDvsNZD_10y10y -10.4% -0.076 0.655 USDvsNZD_10y_Bond -1.9% -0.081 4.285 POR_30y_Bond -10.4% -0.082 0.705 EURvsUSD_5y5y_Inflation -4.1% -0.083 1.936 POR_5y_Bond -3.6% -0.089 2.356 USD_5y5y_Inflation -3.0% -0.097 3.139 GERvsPOR_10y_Bond -2.8% -0.099 3.465 POR_10y_Bond -1.8% -0.105 5.893 GRE_2y_Bond

#bigmove, #gre, #inflation, #por, #ita, #xmarket, #gbp, #cad, #rate, #ger, #nzd, #eur, #usd, #aud, #jpy

Biggest Market Moves

Biggest Market Moves: +5.4% +77.3 1516.7 XBT +1.1% +0.0162 1.4666 EURAUD +0.8% +0.19 23.84 ETF_Financials +0.8% +1.00 134.91 SX7E +0.7% +0.0602 8.6522 NOK +0.7% +0.094 13.438 ZAR +0.7% +0.76 112.75 JPY +0.7% +0.33 50.79 Oil +0.6% +0.360 57.390 RUB +0.6% +0.0353 6.3018 CADNOK ------------------------ -0.7% -0.0073 1.0792 AUDNZD -0.7% -8.5 1248.5 Gold -0.7% -0.29 40.41 ETF_EM_Vanguard -0.8% -0.0057 0.6878 NZD -0.8% -0.70 83.69 AUDJPY -1.0% -58.1 5892.3 ASX200 -1.4% -0.0139 1.0191 AUDCAD -1.5% -0.0113 0.7423 AUD -1.7% -0.280 16.490 Silver -3.5% -9.20 253.30 Copper

#bigmove, #zar, #stock, #commodity, #em, #cad, #etf, #nok, #rub, #nzd, #eur, #usd, #xbt, #jpy, #aud, #fx

1mVol Implied < Realized: AUD_1y1y r0.43 #rate #irvol #aud #histvol ht

1mVol Implied < Realized: AUD_1y1y r0.43
#rate #irvol #aud #histvol https://t.co/oqOulkelP5

1mVol Implied < Realized: AUD_2y r0.54 #rate #irvol #aud #histvol http

1mVol Implied < Realized: AUD_2y r0.54
#rate #irvol #aud #histvol https://t.co/3vqxqs5hoL

1mVol Implied < Realized: AUD_1y r0.80 #rate #irvol #aud #histvol http

1mVol Implied < Realized: AUD_1y r0.80
#rate #irvol #aud #histvol https://t.co/lWjJwkeZzp

Crossed 200dma: AUD_2s5s10s=-0.228 #dma #rate #aud #dma #fly https://t.co

Crossed 200dma: AUD_2s5s10s=-0.228
#dma #rate #aud #dma #fly https://t.co/HXqTLRyHWx

Rate Recap

Rate USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- Bond 2y 1.26 -0.72 0.08 -0.20 0.25 0.68 -0.65 0.66 1.67 2.05 1.58 Bond 5y 1.80 -0.37 0.51 -0.15 0.96 -0.06 1.04 2.14 2.40 1.90 Bond 10y 2.28 0.33 1.09 0.02 -0.11 1.51 0.60 1.64 2.60 3.01 2.24 Bond 30y 2.97 1.11 1.73 0.80 0.34 2.14 2.41 ------------------------------------------------------------------------------- Bond 2s5s 0.55 0.35 0.43 0.04 0.29 0.59 0.47 0.35 0.31 Bond 2s10s 1.02 1.05 1.01 0.22 -0.36 0.84 1.25 0.93 0.96 0.65 Bond 5s10s 0.48 0.70 0.58 0.17 0.55 0.66 0.60 0.47 0.61 0.34 Bond 5s30s 1.17 1.48 1.22 0.95 1.17 0.51 Bond 10s30s 0.69 0.78 0.64 0.78 0.46 0.62 0.17 Bond 2s5s10s 0.07 -0.35 -0.15 -0.13 -0.26 -0.08 0.00 -0.26 -0.03 Bond5s10s30s -0.21 -0.09 -0.06 -0.60 -0.07 0.17 ------------------------------------------------------------------------------- Central Bank 1.00 -0.40 0.25 -0.10 -0.75 0.50 -0.50 0.50 1.50 1.75 1.25 OIS 0.91 -0.35 0.21 3m 1.17 -0.33 0.33 0.00 -0.73 0.92 -0.47 0.96 1.75 1.99 1.39 1y 1.38 -0.32 0.37 0.03 -0.68 0.94 -0.45 1.03 1.75 2.07 1.48 1y1y 1.74 -0.17 0.51 0.03 -0.58 1.12 -0.12 1.16 1.96 2.55 1.65 2y 1.56 -0.15 0.56 0.03 -0.63 1.02 -0.28 1.20 1.85 2.31 1.57 2y2y 2.10 0.31 0.88 0.07 -0.24 1.45 0.53 1.71 2.41 3.18 1.82 5y 1.93 0.20 0.80 0.07 -0.32 1.32 0.30 1.52 2.29 2.90 1.75 5y5y 2.60 1.41 1.53 0.38 0.62 2.24 1.93 2.37 3.26 3.91 2.14 10y 2.25 0.79 1.16 0.22 0.15 1.77 1.09 1.93 2.85 3.38 1.93 10y10y 2.77 1.98 1.74 1.05 0.89 2.89 2.60 2.37 3.65 4.44 2.03 20y 2.48 1.34 1.43 0.63 0.51 2.25 1.77 2.12 3.21 1.98 30y 2.52 1.43 1.40 0.79 0.62 2.25 1.88 2.13 3.28 1.98 ------------------------------------------------------------------------------- 2s5s 0.36 0.35 0.24 0.04 0.31 0.30 0.58 0.33 0.44 0.59 0.18 2s10s 0.68 0.94 0.59 0.20 0.78 0.74 1.38 0.73 1.00 1.08 0.36 5s10s 0.32 0.59 0.36 0.16 0.47 0.44 0.79 0.41 0.56 0.49 0.18 5s30s 0.59 1.23 0.61 0.72 0.94 0.93 1.58 0.61 0.99 0.23 10s30s 0.27 0.64 0.25 0.56 0.47 0.48 0.79 0.20 0.43 0.04 2s5s10s 0.04 -0.24 -0.12 -0.12 -0.17 -0.14 -0.21 -0.08 -0.13 0.11 -0.01 5s10s30s 0.05 -0.05 0.11 -0.41 -0.00 -0.04 0.01 0.20 0.14 0.14

#rate #recap, #curve, #fly, #ger, #nzd, #nok, #cad, #chf, #jpy, #aud, #eur, #sek, #usd, #gbp, #krw

Vol Recap

Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- fxVol 1m 7.70 7.28 8.61 6.27 7.41 8.15 8.29 7.67 8.37 fxVol 3m 7.67 7.97 9.06 6.59 7.34 8.35 8.68 8.38 8.84 fxVol 6m 7.79 8.27 9.36 6.90 7.49 8.60 9.06 8.84 9.33 fxVol 1y 7.90 8.60 9.52 7.23 7.72 8.83 9.45 9.24 9.73 fxVol 2y 7.99 8.87 9.73 7.42 8.12 8.94 9.61 9.67 10.28 ------------------------------------------------------------------------------- Realized 1m 6.81 9.64 7.76 4.62 5.29 9.40 7.95 6.93 6.94 7.83 Realized 3m 7.26 8.66 8.06 5.95 5.74 8.10 7.91 8.00 7.80 8.97 ------------------------------------------------------------------------------- Gamma 2y 50.7 26.3 34.3 12.2 53.9 47.1 36.1 60.8 42.0 48.1 37.7 Realized 1m 41.9 14.2 12.6 4.9 22.9 32.8 19.9 14.2 59.0 19.9 20.4 Realized 3m 41.7 15.0 21.0 4.6 22.3 27.9 20.4 20.1 52.9 28.6 21.3 ------------------------------------------------------------------------------- Gamma 5y 68.8 44.9 54.1 15.2 47.9 64.2 52.7 69.2 65.9 64.9 50.4 Realized 1m 61.7 31.5 29.8 15.8 30.8 51.2 36.8 26.5 39.5 33.4 32.8 Realized 3m 63.7 40.9 42.9 11.8 32.0 49.7 41.4 34.3 45.7 36.9 32.7 ------------------------------------------------------------------------------- Gamma 10y 72.5 55.9 65.0 18.7 51.9 64.3 62.5 66.5 74.7 71.5 52.0 Realized 1m 65.0 38.1 32.4 15.9 37.3 57.8 45.8 34.8 67.3 44.2 44.1 Realized 3m 65.5 46.7 47.8 15.1 43.8 58.6 47.0 44.6 64.4 45.0 41.0 ------------------------------------------------------------------------------- irVol 1m2y 46.8 18.3 25.9 10.2 53.9 40.8 23.2 51.2 31.4 37.1 36.8 irVol 1m5y 67.2 41.4 47.6 13.0 47.9 64.2 44.0 69.2 56.4 60.9 49.1 irVol 1m10y 68.3 48.1 57.2 14.6 49.7 64.2 52.3 59.7 69.6 68.2 50.8 irVol 1m30y 65.5 58.1 58.0 34.4 irVol 3m2y 47.0 23.3 29.2 11.6 48.8 42.5 29.6 56.6 37.9 44.3 37.5 irVol 3m5y 66.8 44.3 49.9 14.6 45.1 61.8 49.7 68.5 63.0 63.3 49.6 irVol 3m10y 69.7 53.0 61.1 17.3 50.9 64.3 59.3 62.7 73.1 70.4 51.1 irVol 3m30y 66.4 61.0 61.3 34.6 irVol 1y1y 49.0 26.4 34.4 12.2 42.2 44.0 38.8 64.5 47.4 53.2 34.2 irVol 1y2y 60.1 32.3 43.4 13.4 43.3 57.3 45.0 66.7 58.2 58.5 37.3 irVol 1y5y 72.6 49.0 60.0 16.5 45.7 62.7 58.8 73.0 69.5 67.0 46.9 irVol 1y10y 75.2 59.2 69.7 20.8 55.2 62.1 65.1 70.9 75.9 72.7 48.9 irVol 1y30y 71.4 63.1 69.2 35.7 irVol 2y2y 73.2 44.4 57.0 16.5 53.2 59.5 58.2 70.6 69.3 67.5 41.4 irVol 2y5y 77.2 55.5 68.1 19.5 57.1 64.5 65.0 76.3 72.6 70.6 45.1 irVol 2y10y 77.8 63.3 72.8 24.0 63.5 60.3 69.2 75.4 74.3 74.6 47.5 irVol 2y30y 72.5 63.7 70.5 34.9 irVol 5y5y 81.3 67.6 76.6 25.8 irVol 5y10y 78.8 68.6 73.7 30.4 irVol 5y30y 69.5 61.5 68.2 37.6 irVol 10y10y 70.8 67.3 68.0 34.4 irVol 10y30y 62.0 54.9 60.1 40.1

#vol #recap, #fxvol, #irvol, #nzd, #nok, #cad, #chf, #jpy, #aud, #eur, #sek, #usd, #gbp, #krw

Implied Vol Below Realized

Cheapest 1m Implied Vol vs Realized: Ratio vImpl vReal Cheap 0.41 47.4 114.6 AUD_1y1y 0.53 31.4 59.0 AUD_2y 0.74 49.0 66.3 USD_1y1y 0.76 7.3 9.6 GBP 0.77 44.0 57.2 CAD_1y1y 0.80 18.3 22.9 AUD_1y 0.82 13.0 15.8 JPY_5y 0.87 8.2 9.4 SEK 0.92 14.6 15.9 JPY_10y

#usd, #cad, #irvol, #jpy, #aud, #fx, #sek, #rate, #fxvol, #gbp

Crossed 200dma

Crossed 200dma: 108.320 2yNote -0.126 AUD_2s5s10s 0.939 CAD_1y -0.261 CAD_2s5s10s_Bond 1.024 CAD_2y 0.677 CAD_2y_Bond 7.99 CAD_Vol1w 0.9916 CHF -0.363 CHF_2s10s_Bond -0.003 CHF_5s10s30s 100.305 Euribor_Whites 0.171 KRW_5s10s30s_Bond 150.050 OAT 0.681 USD_2s10s 0.361 USD_2s5s

#dma, #usd, #fly, #future, #chf, #cad, #aud, #curve, #fx, #eur, #fra, #rate, #fxvol, #krw

Highest + Lowest RSI

Highest + Lowest RSI: RSI=85.5 93.99 ETF_Internet RSI=77.6 54.91 ETF_Technology RSI=77.6 6095.4 Nasdaq RSI=77.6 1.172 USD_3m RSI=76.9 7422.5 NZX50 RSI=76.0 1.3709 CAD RSI=74.7 144.92 GBPJPY RSI=74.0 1636.5 OMX RSI=73.6 1439.4 XBT RSI=73.2 0.689 USD_10s30s_Bond ---------------- RSI=22.4 7.42 CHF_Vol2y RSI=21.7 0.205 NOK_10s30s RSI=21.5 0.743 POR_5s10s30s_Bond RSI=20.8 5.998 GRE_2y_Bond RSI=20.5 1.750 AUD_3m RSI=18.8 8.60 GBP_Vol1y RSI=18.7 5.662 GERvsGRE_10y_Bond RSI=16.4 5.990 GRE_10y_Bond RSI=14.2 8.87 GBP_Vol2y RSI=13.8 0.916 CAD_3m

#rsi, #fly, #nok, #cad, #chf, #rate, #gbp, #fx, #eur, #ger, #etf, #fxvol, #nzd, #xbt, #jpy, #sek, #gre, #fixing, #usd, #stock, #aud, #curve, #xmarket, #por

Biggest Rates Moves

Biggest Rates Moves: +10.0% +0.072 0.792 AUDvsNZD_10y10y +0.067 -1.069 USDvsGBP_5y5y +24.9% +0.064 0.321 USDvsAUD_10y_Bond +0.059 -1.725 USDvsJPY_10y10y +0.059 -2.096 USDvsCHF_10y +0.056 -1.038 USDvsGBP_10y10y +0.055 -2.223 USDvsJPY_5y5y +2.3% +0.054 2.445 USD_5y5y_Inflation +1.2% +0.053 4.366 POR_30y_Bond +0.049 -1.090 USDvsGBP_10y ------------------------ -3.9% -0.062 1.514 CAD_10y_Bond -1.8% -0.065 3.649 AUD_10y10y -2.9% -0.067 2.238 CAD_5y5y -3.2% -0.074 2.251 CAD_30y -2.3% -0.077 3.262 AUD_5y5y -0.080 -1.258 EURvsJPY_5y5y_Inflation -0.104 -2.045 USDvsJPY_5y5y_Inflation -5.6% -0.354 5.990 GRE_10y_Bond -6.1% -0.365 5.662 GERvsGRE_10y_Bond -6.0% -0.385 5.998 GRE_2y_Bond

#bigmove, #usd, #nzd, #cad, #chf, #jpy, #aud, #xmarket, #eur, #gre, #rate, #inflation, #ger, #gbp, #por

New Highs & Lows

New 1y High: AUDCAD=1.0330, CAD=1.3709, ETF_EM_MSCI=40.58, ETF_EM_Vanguard=40.70, FRAvsITA_10y_Bond=1.489, KRW_10y10y=2.027, KRW_30y_Bond=2.406, MSCIAP=490.61, MSCIEM=988.2, OMX=1636.5, SMI=8868.6, Stoxx600=389.53, USDvsCAD_2s10s=0.062


New  1y Low : CADMXN=13.691, CHF_Vol3m=6.59, EURPLN=4.2029, EUR_Vol1y=7.90, EUR_Vol2y=7.99, EUR_Vol6m=7.79, GBP_Vol1y=8.60, GBP_Vol2y=8.87, GERvsGRE_10y_Bond=5.662, GRE_10y_Bond=5.990, ILS=3.6086, NOK_Vol1y=9.45, NOK_Vol2y=9.61, NOK_Vol3m=8.68, NOK_Vol6m=9.06, SEK_Vol1y=8.83, SEK_Vol2y=8.94, SEK_Vol3m=8.35, SEK_Vol6m=8.60
New  5y High: CAC40=5304.2, KOSPI=2219.7
New  5y Low : EURvsNOK_10y10y=0.390
New 10y High: DAX=12508, ETF_Internet=93.99, ETF_Technology=54.91, Nasdaq=6095.4, TotalReturn_MSCI_World=5251.59, XBT=1439.4

New 10y Low : EURvsUSD_2s10s=-0.259

#highlow, #nok, #cad, #chf, #em, #rate, #gbp, #krw, #pln, #fx, #eur, #ger, #etf, #fxvol, #xbt, #ita, #sek, #gre, #usd, #ils, #mxn, #stock, #aud, #asia, #fra, #xmarket

1mVol Implied < Realized: AUD_1y1y r0.41 #irvol #rate #aud #histvol ht

1mVol Implied < Realized: AUD_1y1y r0.41
#irvol #rate #aud #histvol https://t.co/XAntE3W5Lv

1mVol Implied < Realized: AUD_2y r0.53 #irvol #rate #aud #histvol http

1mVol Implied < Realized: AUD_2y r0.53
#irvol #rate #aud #histvol https://t.co/PDM32DTbA5

1mVol Implied < Realized: AUD_1y r0.80 #irvol #rate #aud #histvol http

1mVol Implied < Realized: AUD_1y r0.80
#irvol #rate #aud #histvol https://t.co/N5715IjCXp

Crossed 200dma: AUD_2s5s10s=-0.126 #dma #rate #dma #aud #fly https://t.co

Crossed 200dma: AUD_2s5s10s=-0.126
#dma #rate #dma #aud #fly https://t.co/dafgzHyrPF

Rate Recap

Rate USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- Bond 2y 1.27 -0.73 0.07 -0.21 0.24 0.72 -0.65 0.65 1.66 2.06 1.58 Bond 5y 1.84 -0.39 0.50 -0.16 1.02 -0.07 1.04 2.11 2.41 1.86 Bond 10y 2.32 0.32 1.08 0.01 -0.11 1.58 0.59 1.63 2.58 3.02 2.19 Bond 30y 3.00 1.10 1.72 0.79 0.33 2.19 2.37 ------------------------------------------------------------------------------- Bond 2s5s 0.57 0.35 0.43 0.04 0.30 0.58 0.46 0.34 0.28 Bond 2s10s 1.04 1.05 1.01 0.22 -0.35 0.86 1.24 0.92 0.96 0.61 Bond 5s10s 0.48 0.70 0.58 0.17 0.55 0.66 0.59 0.46 0.61 0.33 Bond 5s30s 1.16 1.49 1.21 0.95 1.16 0.51 Bond 10s30s 0.68 0.79 0.63 0.78 0.45 0.61 0.17 Bond 2s5s10s 0.09 -0.36 -0.16 -0.13 -0.25 -0.08 -0.00 -0.27 -0.05 Bond5s10s30s -0.21 -0.08 -0.05 -0.60 -0.06 0.15 ------------------------------------------------------------------------------- Central Bank 1.00 -0.40 0.25 -0.10 -0.75 0.50 -0.50 0.50 1.50 1.75 1.25 OIS 0.91 -0.35 0.21 3m 1.17 -0.33 0.33 0.00 -0.73 0.92 -0.47 0.97 1.75 2.00 1.39 1y 1.39 -0.31 0.37 0.03 -0.68 0.97 -0.46 1.03 1.75 2.08 1.48 1y1y 1.77 -0.16 0.50 0.03 -0.59 1.18 -0.13 1.16 1.98 2.54 1.63 2y 1.58 -0.14 0.56 0.03 -0.64 1.07 -0.29 1.20 1.87 2.30 1.55 2y2y 2.14 0.28 0.86 0.06 -0.25 1.50 0.51 1.70 2.45 3.18 1.79 5y 1.96 0.20 0.79 0.06 -0.33 1.38 0.29 1.51 2.27 2.90 1.72 5y5y 2.65 1.41 1.51 0.37 0.59 2.31 1.91 2.37 3.34 3.96 2.09 10y 2.28 0.79 1.15 0.21 0.13 1.82 1.08 1.92 2.90 3.41 1.90 10y10y 2.81 1.96 1.72 1.03 0.91 2.93 2.59 2.36 3.71 4.43 1.99 20y 2.52 1.33 1.41 0.61 0.51 2.30 1.76 2.12 3.26 1.94 30y 2.55 1.41 1.39 0.77 0.61 2.33 1.87 2.12 3.33 1.94 ------------------------------------------------------------------------------- 2s5s 0.38 0.34 0.23 0.04 0.30 0.30 0.58 0.32 0.41 0.60 0.17 2s10s 0.70 0.94 0.58 0.19 0.77 0.75 1.37 0.72 1.03 1.11 0.34 5s10s 0.33 0.59 0.36 0.15 0.46 0.45 0.79 0.41 0.62 0.51 0.17 5s30s 0.59 1.22 0.60 0.71 0.94 0.95 1.57 0.61 1.06 0.22 10s30s 0.27 0.62 0.24 0.55 0.48 0.50 0.79 0.20 0.43 0.04 2s5s10s 0.05 -0.25 -0.13 -0.12 -0.15 -0.14 -0.20 -0.09 -0.22 0.09 -0.01 5s10s30s 0.06 -0.03 0.11 -0.40 -0.03 -0.05 -0.01 0.20 0.19 0.13

#rate #recap, #curve, #fly, #ger, #aud, #chf, #eur, #nok, #gbp, #cad, #jpy, #sek, #nzd, #krw, #usd

Vol Recap

Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- fxVol 1m 7.91 7.26 8.49 6.30 7.44 8.23 8.34 7.75 8.39 fxVol 3m 7.82 7.94 9.12 6.69 7.42 8.50 8.76 8.41 8.80 fxVol 6m 7.87 8.21 9.33 6.90 7.51 8.68 9.09 8.81 9.27 fxVol 1y 7.96 8.61 9.52 7.23 7.71 8.95 9.52 9.26 9.68 fxVol 2y 8.03 8.89 9.73 7.41 8.09 9.00 9.69 9.69 10.22 ------------------------------------------------------------------------------- Realized 1m 6.79 9.89 7.93 4.35 5.43 9.28 8.00 6.97 6.76 7.39 Realized 3m 7.48 8.74 8.23 6.00 5.92 8.30 8.11 8.04 7.79 9.41 ------------------------------------------------------------------------------- Gamma 2y 50.9 26.2 34.1 12.4 53.9 53.4 36.5 60.6 43.3 38.9 39.3 Realized 1m 43.5 15.5 16.6 5.0 24.0 28.8 19.9 14.4 59.9 24.6 19.9 Realized 3m 41.6 15.0 21.0 4.6 22.2 26.5 20.4 20.6 53.0 28.7 21.4 ------------------------------------------------------------------------------- Gamma 5y 69.1 45.6 53.7 15.3 47.9 61.4 53.5 69.5 66.5 68.0 48.3 Realized 1m 65.9 33.1 34.0 15.6 32.2 50.1 37.0 26.7 39.7 38.3 31.3 Realized 3m 63.7 40.9 42.9 11.7 31.9 48.9 41.4 35.4 45.7 37.0 32.6 ------------------------------------------------------------------------------- Gamma 10y 72.7 55.5 64.4 18.7 51.9 64.2 62.1 66.1 75.4 75.2 49.0 Realized 1m 68.9 39.5 36.7 15.6 39.3 57.1 45.5 35.0 69.9 48.3 42.1 Realized 3m 65.4 46.7 47.7 15.1 43.9 57.7 47.0 45.6 63.9 44.8 40.8 ------------------------------------------------------------------------------- irVol 1m2y 44.0 17.6 24.9 10.2 53.9 38.8 22.4 49.8 32.2 29.3 38.6 irVol 1m5y 64.6 39.7 45.8 13.0 47.9 60.1 42.2 66.7 56.9 64.5 47.8 irVol 1m10y 65.6 46.0 54.7 14.8 49.7 63.6 50.0 57.4 70.3 72.6 48.7 irVol 1m30y 63.0 55.7 55.5 34.1 irVol 3m2y 47.2 23.2 29.0 11.6 48.8 40.8 29.4 56.4 39.0 35.8 39.3 irVol 3m5y 67.1 45.0 49.6 14.6 45.1 61.4 50.5 69.5 63.6 67.0 48.3 irVol 3m10y 70.0 52.7 60.5 17.3 50.9 64.2 58.9 62.3 73.9 74.8 49.0 irVol 3m30y 66.7 60.6 60.7 34.3 irVol 1y1y 49.6 26.4 34.3 12.2 42.2 42.6 40.0 64.3 48.4 51.8 33.3 irVol 1y2y 60.5 32.2 43.2 13.8 43.3 57.1 46.2 66.6 58.2 56.5 37.6 irVol 1y5y 73.2 49.2 59.8 16.6 45.7 61.3 58.9 73.1 70.0 69.7 45.4 irVol 1y10y 75.8 59.1 69.2 20.5 55.2 61.7 65.0 70.9 76.2 75.8 47.5 irVol 1y30y 72.0 62.9 68.7 35.4 irVol 2y2y 73.5 44.8 56.9 16.9 53.2 60.6 59.3 70.8 68.6 72.8 41.4 irVol 2y5y 77.5 55.4 68.0 19.8 57.1 64.0 65.0 76.2 72.5 69.0 43.3 irVol 2y10y 78.1 63.2 72.6 24.0 63.5 60.0 69.1 75.4 74.7 72.7 44.9 irVol 2y30y 72.9 63.6 70.2 34.7 irVol 5y5y 81.8 67.3 76.6 25.9 irVol 5y10y 79.3 68.7 73.7 30.3 irVol 5y30y 69.8 61.7 68.2 37.5 irVol 10y10y 71.1 67.2 68.0 34.4 irVol 10y30y 62.4 54.8 60.1 39.9

#vol #recap, #fxvol, #irvol, #aud, #chf, #eur, #nok, #gbp, #cad, #jpy, #sek, #nzd, #krw, #usd

Implied Vol Below Realized

Cheapest 1m Implied Vol vs Realized: Ratio vImpl vReal Cheap 0.42 48.4 115.3 AUD_1y1y 0.54 32.2 59.9 AUD_2y 0.71 49.6 70.3 USD_1y1y 0.73 7.3 9.9 GBP 0.77 42.6 55.2 CAD_1y1y 0.79 18.5 23.3 AUD_1y 0.83 13.0 15.6 JPY_5y 0.89 8.2 9.3 SEK 0.95 14.8 15.6 JPY_10y 0.95 65.6 68.9 USD_10y 0.98 64.6 65.9 USD_5y 0.98 64.0 65.2 USD_20y 1.00 63.0 63.3 USD_30y

#aud, #irvol, #gbp, #cad, #rate, #fx, #jpy, #sek, #fxvol, #usd

Crossed 200dma

Crossed 200dma: 1.984 AUD_1y1y -0.217 AUD_2s5s10s 1.867 AUD_2y 1.163 CAD_5s30s_Bond 8.29 CAD_Vol1w 0.9963 CHF 7.66 CHF_Vol1w 10.98 EUR_Vol1w 9.75 NOK_Vol1w 2.064 NZD_2y_Bond 10.21 SEK_Vol1w 0.701 USD_2s10s 0.375 USD_2s5s 1.161 USD_5s30s_Bond

#dma, #aud, #chf, #curve, #eur, #fly, #nok, #cad, #rate, #fx, #nzd, #sek, #fxvol, #usd

Highest + Lowest RSI

Highest + Lowest RSI: RSI=83.7 93.23 ETF_Internet RSI=77.6 1.172 USD_3m RSI=77.3 6091.6 Nasdaq RSI=76.6 54.79 ETF_Technology RSI=74.5 1.3681 CAD RSI=73.8 7382.2 NZX50 RSI=73.4 1435.9 XBT RSI=72.5 144.14 GBPJPY RSI=71.7 0.684 USD_10s30s_Bond RSI=71.2 1627.0 OMX ---------------- RSI=23.1 8.21 GBP_Vol6m RSI=22.5 0.759 POR_5s10s30s_Bond RSI=22.2 3.111 POR_2s10s_Bond RSI=21.8 7.41 CHF_Vol2y RSI=21.7 0.205 NOK_10s30s RSI=21.1 1.527 POR_5s10s_Bond RSI=21.0 0.924 CAD_3m RSI=20.5 1.750 AUD_3m RSI=19.0 8.61 GBP_Vol1y RSI=14.5 8.89 GBP_Vol2y

#rsi, #aud, #chf, #curve, #fxvol, #eur, #por, #fx, #nzd, #etf, #nok, #gbp, #cad, #rate, #stock, #jpy, #sek, #fly, #fixing, #xbt, #usd

Biggest Vol Moves

Biggest Vol Moves: +47.2% +3.52 10.98 EUR_Vol1w +30.1% +2.36 10.21 SEK_Vol1w +18.8% +1.21 7.66 CHF_Vol1w +17.9% +1.48 9.75 NOK_Vol1w +15.2% +1.20 9.11 JPY_Vol1w +14.7% +1.18 9.22 NZD_Vol1w +9.5% +0.75 8.64 AUD_Vol1w +7.8% +0.58 8.06 GBP_Vol1w +5.1% +0.40 8.29 CAD_Vol1w +4.6% +1.7 38.6 KRW_1m2y_bpVol ------------------------ -9.4% -6.3 60.7 CAD_6m5y_bpVol -9.6% -6.4 60.6 CAD_2y2y_bpVol -9.9% -6.3 57.1 CAD_1y2y_bpVol -9.9% -5.9 53.4 CAD_6m2y_bpVol -9.9% -5.9 53.4 CAD_2yGamma -10.5% -5.0 42.6 CAD_1y1y_bpVol -13.6% -9.7 61.4 CAD_5yGamma -14.7% -6.7 38.8 CAD_1m2y_bpVol -15.5% -11.0 60.1 CAD_1m5y_bpVol -17.1% -8.4 40.8 CAD_3m2y_bpVol

#bigmove, #aud, #chf, #jpy, #irvol, #eur, #nok, #gbp, #cad, #nzd, #sek, #fxvol, #krw

Biggest Rates Moves

Biggest Rates Moves: +3.2% +0.138 4.434 NZD_10y10y +6.5% +0.099 1.622 USDvsNZD_10y10y +15.2% +0.095 0.720 AUDvsNZD_10y10y +11.0% +0.090 0.910 FedFund +3.3% +0.074 2.305 CAD_5y5y +2.1% +0.070 3.339 AUD_5y5y +3.5% +0.068 1.984 AUD_1y1y +0.063 -1.941 USDvsJPY_5y5y_Inflation +1.5% +0.057 3.964 NZD_5y5y +30.5% +0.051 0.218 USDvsAUD_1y1y ------------------------ -0.033 -2.079 USDvsJPY_2y2y -0.035 -1.784 USDvsJPY_10y10y -0.036 -2.278 USDvsJPY_5y5y -0.038 -1.233 USDvsGBP_10y_Bond -0.038 -2.431 USDvsCHF_10y_Bond -12.9% -0.038 0.257 USDvsAUD_10y_Bond -0.041 -1.094 USDvsGBP_10y10y -0.042 -2.304 USDvsJPY_10y_Bond -8.0% -0.061 0.702 USDvsNZD_10y_Bond -12.0% -0.076 0.558 AUDvsNZD_1y1y

#bigmove, #aud, #chf, #jpy, #usd, #gbp, #cad, #rate, #nzd, #xmarket, #fixing

Biggest Market Moves

Biggest Market Moves: +10.0% +131.0 1435.9 XBT +2.0% +5.30 265.00 Copper +1.1% +0.99 93.23 ETF_Internet +0.8% +0.64 84.16 AUDJPY +0.8% +0.41 54.79 ETF_Technology +0.7% +44.0 6091.6 Nasdaq +0.7% +0.0072 1.0296 AUDCAD +0.6% +0.15 23.68 ETF_Financials +0.6% +0.0041 0.6907 NZD +0.6% +114 19311 Nikkei ------------------------ -0.4% -0.080 18.741 MXN -0.5% -0.0069 1.4482 EURAUD -0.5% -0.0065 1.2886 GBP -0.5% -0.60 114.60 ETF_EM_Bonds -0.6% -0.69 118.30 ETF_IG_Bonds -0.6% -0.084 13.696 CADMXN -0.6% -0.969 152.000 Bond -1.0% -12.8 1255.5 Gold -1.0% -1.27 121.08 ETF_20+_Bonds -2.4% -0.410 16.780 Silver

#bigmove, #aud, #credit, #eur, #mxn, #fx, #em, #etf, #stock, #gbp, #rate, #commodity, #future, #jpy, #cad, #nzd, #xbt, #usd

New Highs & Lows

New 1y High: ASX200=5956.5, CAD=1.3681, ETF_EM_MSCI=40.29, ETF_EM_Vanguard=40.50, MSCIAP=488.13


New  1y Low : CADMXN=13.696, CHF_Vol1y=7.23, CHF_Vol2y=7.41, EUR_Vol1y=7.96, EURvsSEK_2s10s=0.433, GBP_Vol1y=8.61, GBP_Vol2y=8.89, GBP_Vol3m=7.94, GBP_Vol6m=8.21, NOK_Vol1y=9.52, NOK_Vol2y=9.69, NOK_Vol3m=8.76, NOK_Vol6m=9.09, VIX3=13.58
New  5y High: FedFund=0.910
New  5y Low : VIX4=14.13
New 10y High: ETF_Internet=93.23, ETF_Technology=54.79, Nasdaq=6091.6, TotalReturn_MSCI_World=5240.51, XBT=1435.9

New 10y Low : VIX=10.11

#highlow, #aud, #chf, #eur, #mxn, #fx, #em, #etf, #nok, #gbp, #asia, #rate, #vol, #stock, #xmarket, #sek, #fxvol, #fixing, #xbt, #cad, #usd

1mVol Implied < Realized: AUD_1y1y r0.42 #aud #irvol #histvol #rate ht

1mVol Implied < Realized: AUD_1y1y r0.42
#aud #irvol #histvol #rate https://t.co/PDumtvuEOz

1mVol Implied < Realized: AUD_2y r0.54 #aud #irvol #histvol #rate http

1mVol Implied < Realized: AUD_2y r0.54
#aud #irvol #histvol #rate https://t.co/ZhW7nY5Dm8

1mVol Implied < Realized: AUD_1y r0.79 #aud #irvol #histvol #rate http

1mVol Implied < Realized: AUD_1y r0.79
#aud #irvol #histvol #rate https://t.co/oLpuA89k7t

Crossed 200dma: AUD_2y=1.867 #dma #aud #dma #rate https://t.co/HsJOm8g3pn

Crossed 200dma: AUD_2y=1.867
#dma #aud #dma #rate https://t.co/HsJOm8g3pn

Crossed 200dma: AUD_2s5s10s=-0.217 #dma #aud #dma #fly #rate https://t.co

Crossed 200dma: AUD_2s5s10s=-0.217
#dma #aud #dma #fly #rate https://t.co/3g0dbVtFlt

Crossed 200dma: AUD_1y1y=1.984 #dma #aud #dma #rate https://t.co/B8vFJMsZ

Crossed 200dma: AUD_1y1y=1.984
#dma #aud #dma #rate https://t.co/B8vFJMsZS2

Rate Recap

Rate USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- Bond 2y 1.26 -0.74 0.07 -0.19 0.23 0.73 -0.64 0.66 1.68 2.10 1.58 Bond 5y 1.82 -0.40 0.49 -0.14 1.03 -0.08 1.04 2.14 2.46 1.86 Bond 10y 2.29 0.30 1.06 0.02 -0.12 1.58 0.58 1.62 2.61 3.07 2.19 Bond 30y 2.96 1.07 1.72 0.80 0.33 2.18 2.37 ------------------------------------------------------------------------------- Bond 2s5s 0.56 0.34 0.42 0.04 0.30 0.57 0.47 0.36 0.28 Bond 2s10s 1.04 1.03 0.99 0.21 -0.35 0.84 1.23 0.94 0.97 0.62 Bond 5s10s 0.47 0.70 0.57 0.17 0.54 0.66 0.59 0.47 0.62 0.34 Bond 5s30s 1.14 1.47 1.23 0.95 1.15 0.51 Bond 10s30s 0.67 0.77 0.66 0.78 0.44 0.60 0.17 Bond 2s5s10s 0.09 -0.36 -0.15 -0.12 -0.24 -0.09 -0.00 -0.26 -0.05 Bond5s10s30s -0.20 -0.08 -0.09 -0.61 -0.06 0.16 ------------------------------------------------------------------------------- Central Bank 1.00 -0.40 0.25 -0.10 -0.75 0.50 -0.50 0.50 1.50 1.75 1.25 OIS 0.90 -0.36 0.21 3m 1.17 -0.33 0.33 0.00 -0.73 0.92 -0.47 0.96 1.75 1.97 1.39 1y 1.38 -0.31 0.36 0.03 -0.68 0.97 -0.45 1.03 1.75 2.07 1.48 1y1y 1.74 -0.17 0.49 0.03 -0.57 1.20 -0.13 1.15 1.98 2.55 1.63 2y 1.57 -0.15 0.55 0.03 -0.63 1.08 -0.29 1.19 1.86 2.31 1.55 2y2y 2.12 0.27 0.85 0.07 -0.26 1.50 0.49 1.69 2.42 3.17 1.79 5y 1.94 0.18 0.78 0.07 -0.33 1.38 0.29 1.50 2.29 2.90 1.72 5y5y 2.63 1.38 1.50 0.38 0.58 2.26 1.90 2.36 3.27 3.93 2.10 10y 2.27 0.77 1.13 0.22 0.12 1.81 1.07 1.91 2.86 3.39 1.90 10y10y 2.79 1.93 1.71 1.05 0.93 2.92 2.59 2.37 3.68 4.47 2.00 20y 2.50 1.31 1.40 0.63 0.52 2.31 1.76 2.12 3.23 1.94 30y 2.53 1.39 1.39 0.78 0.61 2.28 1.86 2.12 3.30 1.94 ------------------------------------------------------------------------------- 2s5s 0.37 0.33 0.23 0.04 0.30 0.29 0.58 0.32 0.43 0.58 0.17 2s10s 0.70 0.92 0.58 0.20 0.75 0.72 1.36 0.72 1.01 1.08 0.34 5s10s 0.33 0.59 0.35 0.15 0.46 0.43 0.79 0.41 0.58 0.50 0.18 5s30s 0.59 1.21 0.60 0.71 0.94 0.91 1.57 0.62 1.01 0.22 10s30s 0.27 0.61 0.26 0.56 0.48 0.47 0.79 0.21 0.44 0.04 2s5s10s 0.04 -0.26 -0.12 -0.12 -0.16 -0.14 -0.21 -0.09 -0.15 0.09 -0.01 5s10s30s 0.06 -0.02 0.09 -0.40 -0.03 -0.04 0.00 0.19 0.14 0.14

#rate #recap, #curve, #fly, #ger, #chf, #sek, #cad, #nzd, #nok, #jpy, #usd, #krw, #gbp, #eur, #aud

Vol Recap

Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- fxVol 1m 7.93 7.64 8.78 6.22 7.05 8.11 8.34 7.77 8.29 fxVol 3m 7.81 8.24 9.23 6.77 7.16 8.50 8.90 8.37 8.74 fxVol 6m 7.88 8.44 9.35 6.95 7.28 8.73 9.18 8.75 9.16 fxVol 1y 8.05 8.77 9.55 7.33 7.52 8.99 9.59 9.26 9.66 fxVol 2y 8.11 9.04 9.74 7.52 7.94 9.02 9.77 9.66 10.17 ------------------------------------------------------------------------------- Realized 1m 7.64 9.75 8.50 4.68 5.52 9.86 8.49 6.54 6.54 7.52 Realized 3m 7.48 8.77 8.56 6.05 6.01 8.30 8.13 7.96 7.74 9.52 ------------------------------------------------------------------------------- Gamma 2y 50.7 25.7 34.3 12.6 53.9 57.2 36.0 59.8 42.7 54.5 37.7 Realized 1m 45.4 14.4 16.2 5.2 23.9 29.8 20.0 14.8 56.8 25.7 20.1 Realized 3m 41.6 14.5 20.9 4.7 22.3 26.4 20.4 20.7 52.2 28.7 21.4 ------------------------------------------------------------------------------- Gamma 5y 68.8 45.7 54.2 15.6 47.9 69.9 53.6 69.2 66.5 64.3 50.4 Realized 1m 68.0 32.7 35.0 16.0 32.2 52.2 36.9 26.7 40.3 38.5 31.6 Realized 3m 63.5 40.8 42.9 11.8 32.1 49.0 41.7 35.6 46.2 36.8 32.6 ------------------------------------------------------------------------------- Gamma 10y 72.4 55.6 65.0 19.2 51.9 68.3 62.2 66.2 75.2 71.0 51.9 Realized 1m 71.1 39.1 37.6 16.1 39.6 57.3 46.0 35.0 68.1 46.7 42.5 Realized 3m 65.1 46.9 48.1 15.1 44.2 57.1 47.2 46.3 63.3 44.3 40.8 ------------------------------------------------------------------------------- irVol 1m2y 42.9 18.9 25.2 10.9 53.9 47.6 24.0 53.8 32.6 32.0 37.0 irVol 1m5y 63.0 39.3 46.4 14.0 47.9 69.9 41.8 66.1 57.6 61.2 49.1 irVol 1m10y 64.0 45.9 55.4 15.6 49.7 65.8 49.8 56.9 71.1 68.6 50.9 irVol 1m30y 61.4 55.7 56.2 35.3 irVol 3m2y 47.1 23.2 29.2 11.8 48.8 53.8 29.4 56.6 38.6 47.1 37.6 irVol 3m5y 67.0 44.8 50.0 14.9 45.1 65.4 50.3 69.2 63.9 63.3 49.6 irVol 3m10y 69.9 52.3 61.0 17.4 50.9 68.3 58.6 61.8 74.2 70.6 51.2 irVol 3m30y 66.6 60.2 61.1 35.6 irVol 1y1y 50.0 25.9 34.6 12.3 42.2 45.4 39.5 63.5 48.2 53.5 34.7 irVol 1y2y 60.6 31.8 43.5 13.9 43.3 61.4 45.6 65.9 58.8 56.4 37.6 irVol 1y5y 72.8 49.1 60.1 16.7 45.7 65.0 58.8 73.0 70.1 65.5 46.7 irVol 1y10y 75.4 59.3 69.5 21.6 55.2 65.4 65.1 71.0 76.1 71.1 48.8 irVol 1y30y 71.8 63.1 69.0 36.7 irVol 2y2y 73.7 44.5 57.4 17.1 53.2 64.0 58.9 69.7 69.2 72.8 41.4 irVol 2y5y 77.5 55.3 68.1 20.0 57.1 65.3 64.8 76.0 72.8 68.1 45.1 irVol 2y10y 78.1 63.2 72.6 24.4 63.5 63.6 69.1 75.4 74.9 72.6 47.2 irVol 2y30y 73.1 63.6 70.3 37.5 irVol 5y5y 82.1 67.0 76.6 26.9 irVol 5y10y 79.6 68.5 73.7 30.3 irVol 5y30y 70.1 61.6 68.2 40.3 irVol 10y10y 71.3 67.2 68.0 34.6 irVol 10y30y 62.6 54.8 60.1 42.3

#vol #recap, #fxvol, #irvol, #chf, #sek, #cad, #nzd, #nok, #jpy, #usd, #krw, #gbp, #eur, #aud

Implied Vol Below Realized

Cheapest 1m Implied Vol vs Realized: Ratio vImpl vReal Cheap 0.44 48.2 109.8 AUD_1y1y 0.57 32.6 56.8 AUD_2y 0.68 50.0 73.5 USD_1y1y 0.78 7.6 9.8 GBP 0.79 45.4 57.8 CAD_1y1y 0.81 18.5 22.8 AUD_1y 0.82 8.1 9.9 SEK 0.88 14.0 16.0 JPY_5y 0.90 64.0 71.1 USD_10y 0.92 62.4 67.5 USD_20y 0.93 63.0 68.0 USD_5y 0.93 61.4 65.7 USD_30y 0.94 42.9 45.4 USD_2y 0.97 15.6 16.1 JPY_10y 0.98 8.3 8.5 NOK

#irvol, #sek, #cad, #fx, #jpy, #nok, #usd, #rate, #gbp, #aud, #fxvol

Crossed 200dma

Crossed 200dma: 108.328 2yNote 0.140 AUD_5s10s30s 0.605 CAD_10s30s_Bond 0.842 CAD_2s10s_Bond -0.063 CAD_5s10s30s_Bond 0.542 CAD_5s10s_Bond -0.683 CHF_1y -0.349 CHF_2s10s_Bond -0.029 CHF_5s10s30s 27.034 EURCZK 9.606 EURSEK -0.308 EUR_1y 7.61 EUR_Vol1w 100.298 Euribor_Whites -0.739 GER_2y_Bond -0.082 ITA_2y_Bond 0.040 JPY_2s5s -0.143 JPY_5y_Bond 0.620 NOK_5s30s 150.030 OAT 51.44 Oil 1.572 POR_2s5s_Bond 0.749 POR_5s10s30s_Bond 1.934 POR_5y_Bond -0.644 SEK_2y_Bond 0.786 SEK_5s10s 0.669 USD_10s30s_Bond

#dma, #jpy, #por, #chf, #sek, #fra, #fly, #czk, #future, #cad, #nok, #usd, #ita, #commodity, #eur, #rate, #fx, #ger, #em, #curve, #aud, #fxvol

Highest + Lowest RSI

Highest + Lowest RSI: RSI=80.5 1.172 USD_3m RSI=79.1 91.71 ETF_Internet RSI=74.1 6048.9 Nasdaq RSI=72.1 143.57 GBPJPY RSI=71.8 1.3633 CAD RSI=71.7 1347.9 XBT RSI=71.6 99.624 Shortsterling_Whites RSI=71.5 7354.6 NZX50 RSI=71.4 0.659 GBP_10s30s_Bond RSI=71.2 -0.063 CAD_5s10s30s_Bond ---------------- RSI=21.8 0.325 GBP_3m RSI=21.5 4.237 POR_30y_Bond RSI=21.0 0.924 CAD_3m RSI=20.8 1.526 POR_5s10s_Bond RSI=20.5 0.749 POR_5s10s30s_Bond RSI=20.5 1.750 AUD_3m RSI=20.3 3.098 POR_2s10s_Bond RSI=19.2 3.164 GERvsPOR_10y_Bond RSI=17.1 9.04 GBP_Vol2y RSI=15.9 1.834 SPAvsPOR_10y_Bond

#rsi, #jpy, #por, #stock, #etf, #xmarket, #fly, #future, #cad, #nzd, #usd, #fx, #rate, #gbp, #eur, #curve, #ger, #fixing, #spa, #xbt, #aud, #fxvol

Biggest Rates Moves

Biggest Rates Moves: +0.107 -0.718 USDvsCAD_10y_Bond +6.6% +0.098 1.577 CAD_10y_Bond +0.079 -0.995 EURvsCHF_10y10y +0.063 -1.947 USDvsJPY_5y5y_Inflation +0.059 -1.861 USDvsCHF_10y10y +6.6% +0.058 0.934 CHF_10y10y +0.054 -0.203 EURvsJPY_2y2y +28.3% +0.052 0.236 USDvsAUD_1y1y +0.050 -1.000 EURvsJPY_5y5y +12.1% +0.049 0.455 SEKvsNOK_5y5y ------------------------ -3.5% -0.068 1.857 SEK_30y -12.2% -0.069 0.495 SEK_2y2y -4.3% -0.073 1.626 SPA_10y_Bond -0.075 -0.076 SEK_5y_Bond -11.8% -0.078 0.584 SEK_10y_Bond -4.0% -0.080 1.904 SEK_5y5y -2.3% -0.098 4.237 POR_30y_Bond -5.0% -0.101 1.934 POR_5y_Bond -3.2% -0.114 3.460 POR_10y_Bond -1.9% -0.127 6.522 GRE_2y_Bond

#bigmove, #por, #chf, #sek, #cad, #xmarket, #nok, #jpy, #usd, #rate, #eur, #gre, #spa, #aud

1mVol Implied < Realized: AUD_1y1y r0.44 #rate #histvol #aud #irvol ht

1mVol Implied < Realized: AUD_1y1y r0.44
#rate #histvol #aud #irvol https://t.co/aHl1aTyVOk

1mVol Implied < Realized: AUD_2y r0.57 #rate #histvol #aud #irvol http

1mVol Implied < Realized: AUD_2y r0.57
#rate #histvol #aud #irvol https://t.co/I9jA8Hrk5h

1mVol Implied < Realized: AUD_1y r0.81 #rate #histvol #aud #irvol http

1mVol Implied < Realized: AUD_1y r0.81
#rate #histvol #aud #irvol https://t.co/LGjBnWIBxP

Crossed 200dma: AUD_5s10s30s=0.140 #dma #rate #aud #fly #dma https://t.co

Crossed 200dma: AUD_5s10s30s=0.140
#dma #rate #aud #fly #dma https://t.co/IJZPNDC9Hs

Rate Recap

Rate USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- Bond 2y 1.27 -0.69 0.09 -0.20 0.26 0.74 -0.61 0.67 1.69 2.11 1.59 Bond 5y 1.83 -0.34 0.52 -0.16 1.03 -0.00 1.04 2.16 2.46 1.87 Bond 10y 2.30 0.35 1.08 0.02 -0.10 1.48 0.66 1.66 2.63 3.07 2.20 Bond 30y 2.96 1.11 1.72 0.80 0.35 2.17 2.37 ------------------------------------------------------------------------------- Bond 2s5s 0.56 0.35 0.42 0.04 0.29 0.61 0.47 0.35 0.28 Bond 2s10s 1.03 1.04 0.99 0.22 -0.36 0.74 1.27 0.94 0.96 0.61 Bond 5s10s 0.48 0.69 0.56 0.18 0.45 0.66 0.62 0.47 0.61 0.33 Bond 5s30s 1.13 1.45 1.20 0.96 1.14 0.49 Bond 10s30s 0.66 0.76 0.63 0.79 0.45 0.69 0.17 Bond 2s5s10s 0.08 -0.35 -0.14 -0.13 -0.16 -0.05 0.01 -0.27 -0.05 Bond5s10s30s -0.18 -0.06 -0.07 -0.61 -0.24 0.17 ------------------------------------------------------------------------------- Central Bank 1.00 -0.40 0.25 -0.10 -0.75 0.50 -0.50 0.50 1.50 1.75 1.25 OIS 0.90 -0.36 0.21 3m 1.17 -0.33 0.33 0.01 -0.73 0.93 -0.47 0.94 1.75 1.97 1.39 1y 1.40 -0.30 0.37 0.03 -0.67 0.97 -0.45 1.02 1.75 2.07 1.48 1y1y 1.77 -0.14 0.50 0.04 -0.56 1.19 -0.10 1.16 1.95 2.57 1.64 2y 1.58 -0.13 0.56 0.03 -0.62 1.08 -0.27 1.19 1.85 2.31 1.56 2y2y 2.14 0.33 0.86 0.07 -0.23 1.49 0.56 1.71 2.43 3.17 1.80 5y 1.96 0.21 0.79 0.06 -0.31 1.37 0.33 1.52 2.29 2.89 1.73 5y5y 2.65 1.43 1.50 0.38 0.63 2.23 1.98 2.40 3.25 3.93 2.10 10y 2.28 0.80 1.13 0.21 0.16 1.79 1.14 1.94 2.85 3.39 1.91 10y10y 2.80 1.95 1.71 1.05 0.88 2.89 2.65 2.40 3.68 4.45 2.00 20y 2.51 1.33 1.40 0.63 0.51 2.29 1.82 2.14 3.22 1.95 30y 2.54 1.41 1.38 0.79 0.63 2.27 1.93 2.15 3.29 1.95 ------------------------------------------------------------------------------- 2s5s 0.37 0.34 0.23 0.02 0.31 0.28 0.60 0.34 0.44 0.58 0.16 2s10s 0.69 0.93 0.58 0.18 0.78 0.71 1.40 0.75 1.00 1.07 0.34 5s10s 0.32 0.59 0.35 0.15 0.47 0.42 0.80 0.41 0.56 0.49 0.18 5s30s 0.58 1.20 0.60 0.73 0.94 0.90 1.59 0.64 1.01 0.22 10s30s 0.26 0.61 0.25 0.58 0.47 0.48 0.79 0.22 0.45 0.04 2s5s10s 0.05 -0.25 -0.12 -0.13 -0.17 -0.14 -0.20 -0.08 -0.13 0.09 -0.02 5s10s30s 0.06 -0.02 0.10 -0.42 0.00 -0.06 0.01 0.20 0.12 0.14

#rate #recap, #curve, #fly, #ger, #usd, #cad, #nzd, #krw, #chf, #gbp, #nok, #aud, #eur, #sek, #jpy

Vol Recap

Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- fxVol 1m 8.49 7.69 9.25 6.69 7.10 8.61 8.68 7.80 8.32 fxVol 3m 8.17 8.37 9.49 7.05 7.06 8.83 9.13 8.30 8.73 fxVol 6m 8.15 8.53 9.52 7.20 7.23 9.01 9.39 8.73 9.11 fxVol 1y 8.20 8.85 9.63 7.49 7.47 9.15 9.72 9.24 9.61 fxVol 2y 8.27 9.10 9.81 7.66 7.90 9.18 9.89 9.66 10.21 ------------------------------------------------------------------------------- Realized 1m 7.75 9.76 8.48 4.89 5.83 9.52 8.52 6.88 6.67 7.71 Realized 3m 7.57 8.75 8.85 6.04 6.01 8.15 8.13 8.01 7.85 9.70 ------------------------------------------------------------------------------- Gamma 2y 51.4 26.5 34.3 12.6 53.9 55.8 37.1 61.8 42.4 63.4 38.2 Realized 1m 45.8 13.2 16.8 5.1 24.3 30.0 18.1 16.3 58.4 25.9 20.2 Realized 3m 41.4 13.9 21.1 4.9 22.3 26.4 19.7 21.0 52.2 28.8 22.6 ------------------------------------------------------------------------------- Gamma 5y 69.5 46.3 54.2 15.6 47.9 70.4 54.4 73.1 67.0 63.9 50.2 Realized 1m 68.9 36.9 36.6 15.1 33.6 52.9 33.4 27.1 40.5 38.5 31.6 Realized 3m 63.4 40.3 43.5 11.7 31.9 49.0 40.8 36.3 46.4 37.6 34.3 ------------------------------------------------------------------------------- Gamma 10y 72.9 56.0 65.0 19.2 51.9 99.5 62.8 67.5 75.6 70.5 51.9 Realized 1m 71.8 40.6 40.0 14.9 40.3 57.7 40.3 35.0 69.0 46.8 42.4 Realized 3m 65.1 46.7 49.4 15.3 43.6 57.0 45.6 46.7 63.3 45.5 42.5 ------------------------------------------------------------------------------- irVol 1m2y 48.4 22.0 26.5 11.1 53.9 46.7 27.9 61.7 32.9 50.9 37.7 irVol 1m5y 68.4 43.1 48.1 14.1 47.9 70.4 45.9 73.1 59.1 60.5 48.9 irVol 1m10y 69.1 50.1 58.4 16.1 49.7 82.8 54.5 63.0 72.9 67.9 50.9 irVol 1m30y 65.6 60.9 59.2 35.4 irVol 3m2y 47.0 25.4 29.2 11.8 48.8 52.3 32.0 61.8 38.8 59.4 38.2 irVol 3m5y 67.5 45.5 50.0 15.0 45.1 64.0 51.0 71.1 64.9 62.9 49.4 irVol 3m10y 70.0 53.0 61.7 17.5 50.9 99.5 59.3 63.7 75.3 70.2 51.2 irVol 3m30y 66.7 61.0 61.9 35.6 irVol 1y1y 50.7 27.2 34.6 12.3 42.2 44.6 41.7 67.1 47.9 55.9 36.0 irVol 1y2y 61.6 33.0 43.5 13.9 43.3 60.3 47.6 68.1 59.6 68.5 37.9 irVol 1y5y 73.8 49.6 60.1 16.7 45.7 70.1 60.0 74.1 70.7 65.4 45.5 irVol 1y10y 76.1 59.9 69.5 21.6 55.2 92.9 66.3 72.4 76.6 71.0 48.7 irVol 1y30y 72.3 63.8 69.0 36.7 irVol 2y2y 74.6 45.9 57.4 17.1 53.2 62.5 61.5 72.6 71.2 71.6 40.5 irVol 2y5y 78.5 55.8 68.1 20.0 57.1 78.7 65.9 77.0 74.2 67.4 44.9 irVol 2y10y 78.8 63.6 72.7 24.5 63.5 88.3 69.8 76.7 76.2 71.3 47.6 irVol 2y30y 73.6 64.0 70.3 37.2 irVol 5y5y 82.5 67.3 76.6 27.1 irVol 5y10y 80.0 68.8 73.7 30.4 irVol 5y30y 70.6 61.9 68.2 40.1 irVol 10y10y 71.6 67.4 68.0 34.7 irVol 10y30y 62.9 55.3 60.1 42.3

#vol #recap, #fxvol, #irvol, #usd, #cad, #nzd, #krw, #chf, #gbp, #nok, #aud, #eur, #sek, #jpy

Implied Vol Below Realized

Cheapest 1m Implied Vol vs Realized: Ratio vImpl vReal Cheap 0.43 47.9 112.6 AUD_1y1y 0.56 32.9 58.4 AUD_2y 0.69 50.7 73.8 USD_1y1y 0.75 44.6 59.7 CAD_1y1y 0.79 7.7 9.8 GBP 0.83 18.9 22.7 AUD_1y 0.90 8.6 9.5 SEK 0.93 14.1 15.1 JPY_5y 0.96 69.1 71.8 USD_10y 0.98 66.8 68.4 USD_20y 0.99 65.6 66.5 USD_30y 0.99 68.4 68.9 USD_5y

#cad, #usd, #fx, #gbp, #aud, #sek, #fxvol, #irvol, #rate, #jpy

Crossed 200dma

Crossed 200dma: -0.126 AUD_2s5s10s 0.117 AUD_5s10s30s 161.270 Bund -0.357 CHF_2s10s_Bond 0.004 CHF_5s10s30s -0.019 EUR_5s10s30s 8.78 EUR_Vol1w 0.348 GBP_5s10s 0.176 JPY_2s10s 0.023 JPY_2s5s 3.574 POR_10y_Bond 1.651 POR_2s5s_Bond 0.803 SEK_5s10s 0.080 USD_2s5s10s_Bond

#dma, #usd, #curve, #future, #gbp, #chf, #aud, #eur, #sek, #fly, #fxvol, #rate, #por, #jpy

Highest + Lowest RSI

Highest + Lowest RSI: RSI=79.5 1.170 USD_3m RSI=76.2 90.95 ETF_Internet RSI=75.3 9.361 EURNOK RSI=72.7 388.73 Stoxx600 RSI=72.6 1.4588 EURAUD RSI=72.5 134.72 SX7E RSI=72.4 5287.9 CAC40 RSI=72.1 6025.2 Nasdaq RSI=71.9 3578.7 EuroStoxx RSI=70.9 1.3617 CAD ---------------- RSI=24.2 3.190 POR_2s10s_Bond RSI=23.8 8.85 GBP_Vol1y RSI=23.6 17.25 VSTOXX3 RSI=23.5 0.926 CAD_3m RSI=22.0 0.778 POR_5s10s30s_Bond RSI=21.8 1.539 POR_5s10s_Bond RSI=21.0 3.222 GERvsPOR_10y_Bond RSI=20.5 1.750 AUD_3m RSI=18.3 9.10 GBP_Vol2y RSI=17.4 1.875 SPAvsPOR_10y_Bond

#rsi, #curve, #etf, #cad, #usd, #fx, #vol, #ger, #xmarket, #nok, #gbp, #fra, #aud, #spa, #eur, #stock, #fly, #fixing, #rate, #por, #fxvol

Biggest Vol Moves

Biggest Vol Moves: +61.3% +36.9 97.1 CAD_6m10y_bpVol +60.7% +37.6 99.5 CAD_3m10y_bpVol +57.7% +34.0 92.9 CAD_1y10y_bpVol +54.9% +31.3 88.3 CAD_2y10y_bpVol +50.5% +33.4 99.5 CAD_10yGamma +35.0% +20.4 78.7 CAD_2y5y_bpVol +25.3% +16.7 82.8 CAD_1m10y_bpVol +19.0% +11.2 70.1 CAD_1y5y_bpVol +16.8% +1.21 8.40 NZD_Vol1w +13.4% +7.8 66.2 CAD_6m5y_bpVol ------------------------ -8.7% -1.8 18.9 GBP_3m1y_bpVol -9.0% -4.2 42.4 AUD_6m2y_bpVol -9.0% -4.2 42.4 AUD_2yGamma -9.6% -3.5 32.9 AUD_1m2y_bpVol -10.3% -7.2 62.9 NZD_3m5y_bpVol -11.5% -2.1 16.2 GBP_1m1y_bpVol -12.1% -8.1 59.1 AUD_1m5y_bpVol -17.6% -13.6 63.9 NZD_6m5y_bpVol -17.6% -13.6 63.9 NZD_5yGamma -28.3% -25.8 65.4 NZD_1y5y_bpVol

#bigmove, #cad, #nzd, #gbp, #aud, #fxvol, #irvol

Biggest Rates Moves

Biggest Rates Moves: +16.4% +0.098 0.697 EURvsSEK_10y10y +3.3% +0.084 2.647 SEK_10y10y +11.4% +0.079 0.770 USDvsNZD_10y_Bond +2.2% +0.074 3.364 ITA_30y_Bond +3.8% +0.072 1.960 GERvsITA_10y_Bond +10.2% +0.063 0.681 AUDvsNZD_5y5y +23.6% +0.062 0.325 USDvsAUD_10y_Bond +22.3% +0.061 0.335 EURvsSEK_10y +0.061 -1.744 USDvsJPY_10y10y +4.1% +0.056 1.422 FRAvsITA_10y_Bond ------------------------ -2.3% -0.043 1.848 AUD_2y -0.6% -0.043 6.649 GRE_2y_Bond -1.5% -0.043 2.888 CAD_10y10y -2.9% -0.044 1.479 CAD_10y_Bond -4.0% -0.049 1.187 CAD_1y1y -2.9% -0.056 1.875 SPAvsPOR_10y_Bond -25.1% -0.060 0.179 USDvsAUD_1y1y -1.9% -0.064 3.249 AUD_5y5y -4.2% -0.085 1.946 AUD_1y1y -0.089 -0.248 SEKvsNOK_10y10y

#bigmove, #usd, #cad, #nzd, #gre, #ger, #xmarket, #nok, #aud, #spa, #eur, #sek, #rate, #ita, #fra, #por, #jpy

Biggest Market Moves

Biggest Market Moves: +1.8% +0.986 57.153 RUB +1.7% +0.328 19.191 MXN +1.7% +0.223 13.281 ZAR +1.6% +112.2 7335.1 NZX50 +1.4% +0.187 14.081 CADMXN +1.2% +18.2 1537.4 Topix +1.1% +210 19289 Nikkei +1.0% +12.8 1294.3 XBT +0.8% +0.55 66.62 Iron +0.7% +40.2 5912.0 ASX200 ------------------------ -0.4% -0.15 40.05 ETF_EM_MSCI -0.4% -0.037 9.556 EURSEK -0.4% -0.0044 1.0209 NOKSEK -0.5% -0.0049 1.0178 AUDCAD -0.5% -0.28 51.82 Oil -0.6% -95 15650 TSX -0.8% -0.0061 0.7474 AUD -0.8% -0.70 83.01 AUDJPY -0.9% -0.0062 0.6890 NZD -1.3% -0.230 17.360 Silver

#bigmove, #cad, #etf, #nzd, #xbt, #fx, #em, #mxn, #rub, #commodity, #nok, #aud, #eur, #sek, #stock, #zar, #jpy