Crossed 200dma: CHF_5s10s30s=0.004
#dma #rate #fly #chf #dma https://t.co/CJck4XAi4M
Mb's Market Bot
Rate USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW
-------------------------------------------------------------------------------
Bond 2y 1.27 -0.68 0.11 -0.20 0.25 0.76 -0.61 0.68 1.66 2.12 1.60
Bond 5y 1.85 -0.32 0.53 -0.15 1.07 -0.01 1.04 2.12 2.45 1.86
Bond 10y 2.33 0.38 1.08 0.03 -0.09 1.52 0.66 1.68 2.60 3.02 2.19
Bond 30y 2.99 1.12 1.71 0.78 0.34 2.19 2.36
-------------------------------------------------------------------------------
Bond 2s5s 0.58 0.36 0.42 0.05 0.31 0.59 0.47 0.32 0.26
Bond 2s10s 1.06 1.05 0.98 0.23 -0.34 0.77 1.26 0.94 0.90 0.59
Bond 5s10s 0.48 0.70 0.56 0.18 0.46 0.67 0.64 0.47 0.58 0.33
Bond 5s30s 1.13 1.45 1.18 0.93 1.12 0.50
Bond 10s30s 0.66 0.75 0.63 0.75 0.43 0.67 0.17
Bond 2s5s10s 0.11 -0.34 -0.13 -0.13 -0.15 -0.08 -0.00 -0.25 -0.07
Bond5s10s30s -0.18 -0.05 -0.07 -0.58 -0.21 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 0.01 -0.73 0.93 -0.47 0.97 1.75 1.97 1.39
1y 1.41 -0.30 0.37 0.03 -0.67 0.99 -0.45 1.03 1.76 2.08 1.49
1y1y 1.79 -0.13 0.50 0.04 -0.55 1.24 -0.12 1.15 2.03 2.60 1.64
2y 1.60 -0.12 0.56 0.04 -0.61 1.11 -0.28 1.20 1.89 2.33 1.56
2y2y 2.17 0.34 0.86 0.07 -0.23 1.51 0.53 1.72 2.44 3.20 1.79
5y 1.99 0.24 0.80 0.08 -0.31 1.40 0.32 1.52 2.28 2.92 1.72
5y5y 2.68 1.44 1.50 0.38 0.60 2.25 1.95 2.40 3.31 3.93 2.07
10y 2.32 0.83 1.14 0.23 0.15 1.82 1.11 1.94 2.89 3.40 1.89
10y10y 2.83 1.96 1.71 1.03 0.90 2.93 2.56 2.40 3.72 4.46 1.99
20y 2.54 1.35 1.40 0.62 0.51 2.31 1.77 2.15 3.25 1.93
30y 2.57 1.43 1.38 0.77 0.62 2.29 1.88 2.16 3.32 1.93
-------------------------------------------------------------------------------
2s5s 0.38 0.36 0.23 0.04 0.30 0.28 0.60 0.33 0.39 0.58 0.16
2s10s 0.71 0.95 0.57 0.19 0.76 0.71 1.39 0.74 1.00 1.07 0.33
5s10s 0.33 0.59 0.34 0.15 0.46 0.42 0.79 0.41 0.61 0.49 0.17
5s30s 0.58 1.19 0.59 0.69 0.93 0.90 1.56 0.64 1.04 0.21
10s30s 0.26 0.59 0.24 0.54 0.47 0.48 0.78 0.22 0.43 0.04
2s5s10s 0.06 -0.23 -0.11 -0.11 -0.15 -0.14 -0.19 -0.09 -0.22 0.09 -0.01
5s10s30s 0.07 -0.00 0.10 -0.38 -0.02 -0.05 0.01 0.20 0.17 0.12
#rate #recap, #curve, #fly, #ger, #nzd, #eur, #cad, #chf, #aud, #sek, #krw, #gbp, #nok, #usd, #jpy
Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW
-------------------------------------------------------------------------------
fxVol 1m 8.60 7.84 9.31 6.88 6.93 8.70 8.90 7.66 8.15
fxVol 3m 8.14 8.31 9.18 6.99 6.95 8.69 8.99 7.95 8.31
fxVol 6m 8.13 8.47 9.37 7.21 7.10 8.89 9.25 8.53 8.90
fxVol 1y 8.24 8.81 9.53 7.53 7.40 9.16 9.69 9.07 9.47
fxVol 2y 8.30 9.09 9.68 7.71 7.83 9.18 9.86 9.50 10.07
-------------------------------------------------------------------------------
Realized 1m 7.91 10.40 8.63 5.46 5.76 9.68 8.58 6.42 6.13 7.78
Realized 3m 7.56 8.93 8.89 6.05 6.17 8.17 8.19 7.85 7.84 9.73
-------------------------------------------------------------------------------
Gamma 2y 52.2 26.5 35.7 12.6 53.9 51.5 36.3 61.9 46.6 64.2 39.2
Realized 1m 47.1 13.5 17.3 5.3 24.7 28.4 16.7 16.0 57.6 26.2 20.7
Realized 3m 41.4 14.0 22.0 5.3 22.3 26.6 19.9 21.1 51.7 28.7 22.9
-------------------------------------------------------------------------------
Gamma 5y 70.9 46.6 55.2 15.7 47.9 63.1 54.0 73.9 69.3 77.5 50.1
Realized 1m 70.6 35.5 38.0 13.6 34.9 52.4 32.9 27.1 40.5 38.4 31.7
Realized 3m 63.7 40.7 45.2 12.2 32.0 50.1 42.2 36.8 46.5 37.5 34.8
-------------------------------------------------------------------------------
Gamma 10y 73.8 56.8 66.1 19.2 51.9 66.1 62.9 68.0 78.6 74.2 50.7
Realized 1m 73.1 38.9 41.0 13.4 40.5 58.3 38.9 35.0 68.2 46.7 41.9
Realized 3m 65.5 47.4 50.8 16.1 43.9 58.8 47.9 47.6 62.9 45.6 42.8
-------------------------------------------------------------------------------
irVol 1m2y 50.1 22.0 28.3 11.2 53.9 44.0 26.5 61.9 36.4 51.5 38.6
irVol 1m5y 70.4 44.3 50.1 14.5 47.9 63.1 43.7 73.9 67.2 63.2 49.6
irVol 1m10y 71.2 51.9 60.7 15.9 49.7 66.1 52.5 64.3 78.6 68.9 50.4
irVol 1m30y 67.5 63.1 61.6 35.9
irVol 3m2y 47.8 25.4 31.0 11.9 48.8 49.9 30.6 61.9 41.8 60.1 39.2
irVol 3m5y 68.9 46.0 51.0 15.1 45.1 58.5 50.6 70.7 68.2 70.1 50.1
irVol 3m10y 71.3 53.9 63.0 17.4 50.9 61.9 59.5 63.4 78.5 72.3 50.7
irVol 3m30y 67.8 62.4 63.1 36.2
irVol 1y1y 51.8 27.2 35.3 12.3 42.2 43.1 41.6 65.8 51.2 56.9 33.5
irVol 1y2y 62.7 32.9 44.3 14.0 43.3 56.1 47.5 68.0 60.4 69.5 37.9
irVol 1y5y 75.0 49.7 60.7 16.8 45.7 58.9 59.9 74.1 70.8 91.2 46.5
irVol 1y10y 77.0 60.0 70.3 21.6 55.2 58.9 66.3 72.6 76.6 77.3 47.9
irVol 1y30y 73.1 63.8 69.7 37.2
irVol 2y2y 75.1 45.7 58.4 17.2 53.2 57.3 61.4 75.1 70.9 72.0 41.5
irVol 2y5y 79.3 55.6 68.7 20.1 57.1 58.3 65.7 77.1 73.7 67.7 44.0
irVol 2y10y 79.5 63.5 73.3 24.5 63.5 57.0 69.7 76.9 75.9 71.6 45.3
irVol 2y30y 74.2 63.8 70.9 36.9
irVol 5y5y 82.9 67.0 77.1 27.1
irVol 5y10y 80.4 68.6 74.3 30.4
irVol 5y30y 70.9 61.8 68.7 39.7
irVol 10y10y 72.0 67.4 68.3 34.7
irVol 10y30y 63.3 55.3 60.3 41.7
#vol #recap, #fxvol, #irvol, #nzd, #eur, #cad, #chf, #aud, #sek, #krw, #gbp, #nok, #usd, #jpy
Crossed 200dma:
108.266 2yNote
0.7535 AUD
-0.220 AUD_2s5s10s
0.174 AUD_5s10s30s
160.980 Bund
0.422 CAD_5s10s
0.9938 CHF
9.593 EURSEK
-0.001 EUR_5s10s30s
8.60 EUR_Vol1m
1.137 GBP_10y
1.402 GBP_20y
0.574 GBP_2s10s
0.864 GBP_2y2y
1.381 GBP_30y
0.795 GBP_5y
1.499 GBP_5y5y
2.236 ITA_5s30s_Bond
0.226 JPY_2s10s_Bond
-0.112 JPY_2s5s10s
3.606 POR_10y_Bond
99.610 Shortsterling_Whites
0.713 USD_2s10s
0.585 USD_2s5s_Bond
#dma, #rate, #fx, #ita, #fly, #eur, #cad, #chf, #aud, #sek, #gbp, #fxvol, #usd, #jpy, #por, #future, #curve
Highest + Lowest RSI:
RSI=77.8 1.167 USD_3m
RSI=75.7 1.0862 EURCHF
RSI=74.7 9.352 EURNOK
RSI=74.2 90.51 ETF_Internet
RSI=74.0 0.045 KRW_10s30s
RSI=73.8 135.13 SX7E
RSI=73.1 3583.2 EuroStoxx
RSI=72.2 6025.5 Nasdaq
RSI=71.8 5277.9 CAC40
RSI=70.7 -0.253 NZD_2s5s10s_Bond
----------------
RSI=24.4 17.40 VSTOXX3
RSI=24.4 10.07 NZD_Vol2y
RSI=23.5 0.926 CAD_3m
RSI=22.9 3.181 POR_2s10s_Bond
RSI=22.8 1.551 POR_5s10s_Bond
RSI=21.2 3.228 GERvsPOR_10y_Bond
RSI=20.9 8.81 GBP_Vol1y
RSI=20.5 1.750 AUD_3m
RSI=19.7 1.931 SPAvsPOR_10y_Bond
RSI=17.4 9.09 GBP_Vol2y
#rsi, #nzd, #cad, #vol, #ger, #chf, #krw, #stock, #gbp, #spa, #xmarket, #fra, #por, #eur, #aud, #nok, #etf, #fixing, #rate, #fx, #fly, #fxvol, #usd, #curve
Biggest Vol Moves:
+39.0% +25.6 91.2 NZD_1y5y_bpVol
+20.9% +13.4 77.5 NZD_5yGamma
+20.9% +13.4 77.5 NZD_6m5y_bpVol
+20.2% +1.17 6.95 CAD_Vol1w
+11.8% +0.73 6.93 CAD_Vol1m
+10.9% +6.9 70.1 NZD_3m5y_bpVol
+10.0% +0.68 7.46 AUD_Vol1w
+8.9% +6.3 77.3 NZD_1y10y_bpVol
+8.7% +0.72 9.04 JPY_Vol1w
+8.5% +0.52 6.61 CHF_Vol1w
------------------------
-8.7% -1.6 16.8 JPY_1y5y_bpVol
-9.0% -1.5 15.1 JPY_3m5y_bpVol
-11.6% -1.9 14.5 JPY_1m5y_bpVol
-11.7% -3.2 24.1 CAD_1m1y_bpVol
-13.0% -9.4 63.1 CAD_5yGamma
-13.0% -9.4 63.1 CAD_1m5y_bpVol
-13.0% -2.6 17.4 JPY_3m10y_bpVol
-13.9% -4.3 26.7 JPY_1m20y_bpVol
-14.5% -2.7 15.9 JPY_1m10y_bpVol
-14.7% -1.5 8.7 JPY_1m1y_bpVol
1y Z-Score Outlier: VSTOXX3 (-2.96), EURvsUSD_2s10s (-2.89), INR (-2.86), VSTOXX4 (-2.84), CHF_Vol2y (-2.75), NZD_Vol1y (-2.75), SEK_10s30s (-2.74), NZD_Vol6m (-2.70), NOK_Vol2y (-2.68), NZD_Vol3m (-2.66), NZD_Vol2y (-2.62), EURvsGBP_2s10s (-2.60), AUD_Vol3m (-2.52), AUD_Vol1y (-2.51), CHF_Vol1y (-2.51), KOSPI (+2.70)
5y Z-Score Outlier: Eurodollar_Whites (-2.86), USDvsGBP_10y (-2.78), USDvsGBP_10y_Bond (-2.64), USDvsGBP_2y2y (-2.57), USD_2y (+2.64), USD_1y (+2.87), XBT (+2.98), KOSPI (+3.00)
10y Z-Score Outlier: USDvsGBP_10y (-2.97), USDvsGBP_2y2y (-2.85), USDvsGBP_10y_Bond (-2.82), USDvsGBP_1y1y (-2.63), USDvsGBP_5y5y (-2.56), TRY (+2.52), EURTRY (+2.54), XBT (+3.25)
#zscore, #rate, #xbt, #fx, #nzd, #eur, #vol, #chf, #krw, #sek, #aud, #gbp, #stock, #fxvol, #nok, #xmarket, #inr, #try, #em, #usd, #curve, #future
New 1y High: ETF_EM_MSCI=40.20, EuroStoxx=3583.2, MSCIAP=486.43, MSCIEM=982.6, OMX=1617.0, SMI=8775.2, SX7E=135.13, Stoxx600=386.91
New 1y Low : CHF_Vol1y=7.53, CHF_Vol2y=7.71, EUR_Vol2y=8.30, EURvsGBP_10y=0.303, EURvsGBP_2y2y=0.521, EURvsGBP_5y5y=0.062, EURvsSEK_10y10y=0.599, EURvsSEK_5s30s=0.380, GBP_Vol1m=7.84, GBP_Vol1y=8.81, GBP_Vol2y=9.09, GBP_Vol6m=8.47, GERvsGRE_10y_Bond=6.057, GRE_10y_Bond=6.435, INR=64.273, NOK_Vol2y=9.86, SEK_Vol2y=9.18, USDvsCAD_5y5y=-0.428, VIX3=13.98, VIX4=14.43, VSTOXX2=16.80, VSTOXX3=17.40, VSTOXX4=18.20
New 5y High: CAC40=5277.9, KOSPI=2196.8
New 5y Low : EURvsGBP_10y10y=-0.259, EURvsGBP_2s10s=-0.381
New 10y High: DAX=12467, ETF_Internet=90.51, ETF_Technology=54.08, Nasdaq=6025.5, TotalReturn_MSCI_World=5237.29, XBT=1281.5
New 10y Low : EURvsUSD_2s10s=-0.242
#highlow, #cad, #vol, #chf, #krw, #ger, #stock, #gbp, #xmarket, #fra, #gre, #eur, #sek, #nok, #etf, #asia, #em, #inr, #rate, #xbt, #fx, #fxvol, #usd
Crossed 200dma: CHF=0.9938
#dma #dma #fx #chf https://t.co/e0ydCJ59iv
Rate USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW
-------------------------------------------------------------------------------
Bond 2y 1.23 -0.69 0.08 -0.21 0.22 0.74 -0.62 0.68 1.66 2.12 1.61
Bond 5y 1.80 -0.35 0.50 -0.16 1.04 -0.06 1.04 2.12 2.45 1.88
Bond 10y 2.27 0.33 1.05 0.02 -0.12 1.49 0.60 1.66 2.60 3.02 2.20
Bond 30y 2.93 1.07 1.67 0.78 0.31 2.15
Bond 2s5s 0.57 0.34 0.42 0.06 0.30 0.56 0.47 0.32 0.27
Bond 2s10s 1.04 1.02 0.97 0.23 -0.35 0.75 1.23 0.94 0.90 0.59
Bond 5s10s 0.47 0.68 0.55 0.18 0.45 0.67 0.62 0.47 0.58 0.32
Bond 2s5s10s 0.10 -0.34 -0.13 -0.12 -0.15 -0.10 -0.00 -0.25 -0.05
-------------------------------------------------------------------------------
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 1.16 -0.33 0.34 0.01 -0.73 0.93 -0.47 0.99 1.75 1.98 1.38
1y 1.38 -0.30 0.37 0.03 -0.68 0.98 -0.46 1.03 1.75 2.07 1.48
1y1y 1.74 -0.14 0.49 0.04 -0.59 1.20 -0.14 1.14 1.98 2.62 1.65
2y 1.56 -0.14 0.55 0.04 -0.63 1.09 -0.30 1.19 1.86 2.34 1.56
2y2y 2.11 0.30 0.83 0.07 -0.26 1.48 0.49 1.69 2.40 3.18 1.78
5y 1.93 0.20 0.76 0.08 -0.33 1.37 0.28 1.50 2.28 2.91 1.72
5y5y 2.60 1.37 1.44 0.38 0.57 2.21 1.90 2.37 3.25 3.91 2.07
10y 2.25 0.78 1.10 0.23 0.12 1.77 1.07 1.92 2.85 3.39 1.89
10y10y 2.75 1.90 1.65 1.01 0.87 2.88 2.55 2.39 3.69 4.44 1.99
20y 2.47 1.30 1.36 0.61 0.48 2.27 1.74 2.12 3.22 1.93
30y 2.50 1.37 1.33 0.76 0.59 2.25 1.85 2.16 3.29 1.93
-------------------------------------------------------------------------------
2s5s 0.37 0.34 0.21 0.04 0.30 0.28 0.58 0.32 0.42 0.56 0.15
2s10s 0.69 0.91 0.55 0.19 0.75 0.69 1.37 0.72 0.99 1.04 0.32
5s10s 0.32 0.58 0.34 0.15 0.45 0.41 0.79 0.41 0.57 0.48 0.17
5s30s 0.57 1.17 0.57 0.68 0.92 0.88 1.57 0.66 1.01 0.21
10s30s 0.25 0.60 0.23 0.53 0.47 0.47 0.78 0.24 0.44 0.04
2s5s10s 0.05 -0.24 -0.12 -0.11 -0.15 -0.13 -0.21 -0.10 -0.15 0.09 -0.01
5s10s30s 0.07 -0.02 0.10 -0.38 -0.02 -0.07 0.01 0.17 0.13 0.12
#rate #recap, #curve, #fly, #ger, #cad, #nzd, #aud, #chf, #jpy, #eur, #krw, #sek, #gbp, #nok, #usd
Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW
-------------------------------------------------------------------------------
fxVol 1m 8.35 7.90 8.77 6.68 6.20 8.42 8.68 7.54 7.92
fxVol 3m 7.95 8.34 8.80 6.82 6.55 8.46 8.85 7.87 8.18
fxVol 6m 8.04 8.57 9.06 7.16 6.78 8.75 9.21 8.46 8.81
fxVol 1y 8.21 8.86 9.31 7.56 7.26 9.15 9.67 9.02 9.41
-------------------------------------------------------------------------------
Realized 1m 7.98 10.57 7.71 5.84 5.51 9.14 8.58 6.23 5.31 7.86
Realized 3m 7.52 8.91 8.77 6.11 6.22 7.98 8.19 7.80 7.65 9.76
-------------------------------------------------------------------------------
Gamma 2y 52.4 26.2 36.6 12.7 53.9 55.0 35.3 62.3 46.1 64.2 39.5
Realized 1m 45.4 12.3 15.9 5.4 23.2 27.7 16.2 16.6 56.7 26.8 22.0
Realized 3m 41.2 13.7 21.7 5.4 21.8 26.9 19.7 21.1 51.7 29.2 22.9
-------------------------------------------------------------------------------
Gamma 5y 71.1 46.0 55.4 17.0 47.9 72.5 53.3 74.7 69.2 64.1 50.9
Realized 1m 68.1 32.0 35.4 13.7 33.7 51.6 29.9 27.9 41.7 39.8 34.0
Realized 3m 63.6 40.1 44.6 12.3 31.7 50.9 41.5 36.6 46.9 38.0 35.0
-------------------------------------------------------------------------------
Gamma 10y 73.9 56.2 66.9 20.8 51.9 68.7 62.3 67.2 78.7 70.5 51.6
Realized 1m 70.2 33.5 38.0 13.6 39.5 56.8 36.8 35.6 66.5 47.6 45.0
Realized 3m 65.2 46.6 50.4 16.3 44.1 60.3 47.3 47.3 62.6 46.3 43.0
-------------------------------------------------------------------------------
irVol 1m2y 49.9 22.3 29.2 12.2 53.9 47.3 26.2 62.3 36.1 51.5 38.8
irVol 1m5y 70.6 44.5 53.6 16.4 47.9 72.5 43.4 74.7 67.3 60.8 50.4
irVol 1m10y 71.3 52.1 64.7 18.6 49.7 68.7 52.2 64.8 78.7 67.9 51.3
irVol 1m30y 67.7 64.2 65.6 36.9
irVol 3m2y 47.8 25.4 32.0 12.1 48.8 53.6 29.4 61.4 41.4 60.1 39.5
irVol 3m5y 69.3 45.1 51.8 16.6 45.1 58.6 49.5 69.7 68.3 63.2 50.9
irVol 3m10y 71.7 53.2 64.2 20.0 50.9 62.5 58.4 63.0 78.6 70.2 51.6
irVol 3m30y 68.2 63.2 64.3 37.2
irVol 1y1y 52.0 26.4 35.6 12.4 42.2 42.7 40.4 64.0 50.2 56.8 34.7
irVol 1y2y 62.4 32.1 44.7 14.2 43.3 57.5 46.4 66.0 60.2 69.4 38.3
irVol 1y5y 75.0 48.9 61.0 18.4 45.7 59.3 59.0 72.6 70.6 65.6 46.9
irVol 1y10y 76.9 59.7 70.8 22.4 55.2 58.7 65.9 71.7 76.7 71.0 48.2
irVol 1y30y 72.8 63.7 70.2 38.2
irVol 2y2y 75.2 44.8 58.8 17.4 53.2 58.6 60.3 74.2 71.0 71.8 41.6
irVol 2y5y 79.3 55.0 69.1 20.8 57.1 58.4 65.0 75.8 74.0 67.3 44.5
irVol 2y10y 79.4 63.1 73.8 25.1 63.5 56.6 69.3 76.3 76.2 71.2 45.4
irVol 2y30y 73.9 63.4 71.4 37.8
irVol 5y5y 83.1 66.7 77.8 27.6
irVol 5y10y 80.3 68.4 74.9 31.2
irVol 5y30y 70.7 61.7 69.3 40.6
irVol 10y10y 71.9 67.4 68.7 35.1
irVol 10y30y 63.1 55.5 60.6 42.2
#vol #recap, #fxvol, #irvol, #cad, #nzd, #aud, #chf, #jpy, #eur, #krw, #sek, #gbp, #nok, #usd
Crossed 200dma:
0.7571 AUD
1.860 AUD_2y
0.126 AUD_5s10s30s
6.78 AUD_Vol1w
6.3309 CADNOK
0.409 CAD_5s10s
-0.683 CHF_1y
-0.634 CHF_2y
6.68 CHF_Vol1m
6.09 CHF_Vol1w
24.691 CZK
99.09 DXY
1.0868 EUR
1.4356 EURAUD
1.0822 EURCHF
119.29 EURJPY
-0.020 EUR_5s10s30s
8.35 EUR_Vol1m
7.95 EUR_Vol1w
7.95 EUR_Vol3m
1.651 GBP_10y10y
0.490 GBP_1y1y
0.549 GBP_2s10s
0.969 GBP_2s10s_Bond
7.61 GBP_Vol1w
-0.692 GER_2y_Bond
-0.124 GRE_2s10s_Bond
8.32 JPY_Vol1w
8.68 NOK_Vol1m
7.68 NOK_Vol1w
3.558 POR_10y_Bond
3.182 POR_2s10s_Bond
8.858 SEK
-0.105 SEK_2s5s10s_Bond
-0.621 SEK_2y_Bond
1.847 SEK_30y
8.42 SEK_Vol1m
8.05 SEK_Vol1w
8.46 SEK_Vol3m
-0.220 SPA_2y_Bond
5.08 TYVIX
0.573 USD_2s5s_Bond
10.84 VIX
12.68 VIX1
16.25 VSTOXX
#dma, #dxy, #fly, #sek, #fx, #spa, #rate, #chf, #nok, #em, #fxvol, #aud, #cad, #por, #jpy, #eur, #vol, #czk, #ger, #curve, #gbp, #usd, #gre
Highest + Lowest RSI:
RSI=74.0 0.045 KRW_10s30s
RSI=73.5 149.780 OAT
RSI=73.0 134.39 SX7E
RSI=72.5 3577.4 EuroStoxx
RSI=72.0 1.0822 EURCHF
RSI=72.0 -0.124 GRE_2s10s_Bond
RSI=71.2 5268.8 CAC40
RSI=70.7 -0.253 NZD_2s5s10s_Bond
RSI=70.2 12455 DAX
RSI=70.2 9.291 EURNOK
----------------
RSI=22.9 3.182 POR_2s10s_Bond
RSI=22.4 3.558 POR_10y_Bond
RSI=21.9 8.86 GBP_Vol1y
RSI=21.3 3.229 GERvsPOR_10y_Bond
RSI=20.7 1.953 SPAvsPOR_10y_Bond
RSI=20.5 1.750 AUD_3m
RSI=20.0 10.01 NZD_Vol2y
RSI=19.2 1.538 POR_5s10s_Bond
RSI=18.5 9.15 GBP_Vol2y
RSI=16.3 4.275 POR_30y_Bond
#rsi, #fixing, #rate, #por, #nzd, #ger, #chf, #eur, #krw, #curve, #fra, #future, #gbp, #fly, #fx, #nok, #spa, #fxvol, #aud, #xmarket, #gre, #stock
Biggest Vol Moves:
+3.3% +1.3 40.6 JPY_5y30y_bpVol
+3.2% +1.3 41.5 JPY_7y30y_bpVol
+3.2% +1.3 42.2 JPY_10y30y_bpVol
+3.2% +1.2 38.9 JPY_3y30y_bpVol
+3.1% +1.2 39.8 JPY_4y30y_bpVol
+2.7% +1.9 72.5 CAD_1m5y_bpVol
+2.7% +1.9 72.5 CAD_5yGamma
+2.1% +1.4 69.5 NZD_2y1y_bpVol
+2.0% +1.4 71.8 NZD_2y2y_bpVol
------------------------
-28.6% -2.72 6.78 AUD_Vol1w
-30.8% -3.74 8.42 SEK_Vol1m
-30.9% -3.02 6.76 NZD_Vol1w
-35.2% -8.84 16.25 VSTOXX
-35.8% -4.66 8.35 EUR_Vol1m
-37.5% -4.99 8.32 JPY_Vol1w
-43.1% -4.62 6.09 CHF_Vol1w
-46.7% -6.72 7.68 NOK_Vol1w
-52.2% -8.81 8.05 SEK_Vol1w
-57.4% -10.72 7.95 EUR_Vol1w
#bigmove, #cad, #nzd, #chf, #jpy, #eur, #sek, #nok, #irvol, #fxvol, #aud, #vol
Biggest Rates Moves:
+10.4% +0.101 1.070 GER_30y_Bond
+0.100 -0.692 GER_2y_Bond
+4.1% +0.094 2.369 NOK_5y5y
+19.1% +0.092 0.573 CHF_5y5y
+39.3% +0.088 0.312 CHF_30y_Bond
+0.087 -0.353 GER_5y_Bond
+58.9% +0.083 0.224 CHF_2y_Bond
+0.083 -0.256 CHF_2y2y
+15.8% +0.080 0.587 CHF_30y
+183.3% +0.077 0.119 CHF_10y
------------------------
-0.141 -0.435 FRA_2y_Bond
-7.8% -0.157 1.852 GERvsITA_10y_Bond
-11.5% -0.166 1.276 GERvsSPA_10y_Bond
-0.182 -0.073 FRA_5y_Bond
-4.9% -0.185 3.558 POR_10y_Bond
-26.9% -0.185 0.502 GERvsFRA_10y_Bond
-2.9% -0.190 6.445 GRE_10y_Bond
-7.5% -0.261 3.229 GERvsPOR_10y_Bond
-4.2% -0.266 6.116 GERvsGRE_10y_Bond
-6.4% -0.451 6.569 GRE_2y_Bond
#bigmove, #rate, #por, #ger, #chf, #eur, #fra, #nok, #spa, #xmarket, #ita, #gre
Biggest Market Moves:
+7.4% +9.22 134.39 SX7E
+4.1% +209.6 5268.8 CAC40
+4.0% +137.1 3577.4 EuroStoxx
+3.4% +406 12455 DAX
+2.3% +36.1 1609.3 OMX
+2.2% +0.52 23.68 ETF_Financials
+2.1% +150.1 7264.7 FTSE100
+2.1% +7.97 386.09 Stoxx600
+2.0% +2.35 119.29 EURJPY
+1.8% +157.3 8711.3 SMI
------------------------
-1.1% -0.637 55.827 RUB
-1.4% -0.1217 8.5485 NOK
-1.5% -0.0967 6.3309 CADNOK
-1.5% -0.137 8.858 SEK
-1.6% -0.173 10.936 GBPNOK
-1.7% -0.427 24.691 CZK
-1.7% -0.0685 3.9071 PLN
-1.9% -0.0685 3.5716 TRY
-2.4% -4.140 169.620 Buxl
-2.5% -1.69 66.53 Iron
#bigmove, #czk, #cad, #pln, #ger, #chf, #jpy, #eur, #fra, #sek, #nok, #gbp, #em, #future, #fx, #stock, #usd, #commodity, #etf, #try, #rub
1y Z-Score Outlier: NZD_Vol1y (-2.86), VSTOXX3 (-2.85), NZD_Vol6m (-2.83), NZD_Vol3m (-2.80), JPY_Vol3m (-2.76), VSTOXX4 (-2.76), INR (-2.74), NZD_Vol2y (-2.73), EURvsUSD_2s10s (-2.72), CHF_Vol2y (-2.64), SEK_10s30s (-2.64), AUD_Vol3m (-2.63), AUD_Vol1y (-2.61), NOK_Vol2y (-2.60), EURCZK (-2.59), AUD_Vol6m (-2.58), JPY_Vol6m (-2.54), JPY_Vol1y (-2.53), CHF_Vol1y (-2.51), ITA_2s5s10s_Bond (+2.64)
5y Z-Score Outlier: Eurodollar_Whites (-2.78), USDvsGBP_10y (-2.70), USDvsGBP_10y_Bond (-2.58), USDvsGBP_2y2y (-2.51), USD_2y (+2.53), KOSPI (+2.69), USD_1y (+2.79), XBT (+2.91)
10y Z-Score Outlier: USDvsGBP_10y (-2.91), USDvsGBP_2y2y (-2.80), USDvsGBP_10y_Bond (-2.77), USDvsGBP_1y1y (-2.57), TRY (+2.51), XBT (+3.18)
#zscore, #nzd, #krw, #inr, #fly, #sek, #fx, #xmarket, #stock, #rate, #xbt, #chf, #nok, #em, #fxvol, #aud, #jpy, #eur, #future, #ita, #vol, #try, #czk, #curve, #gbp, #usd
New 1y High: CAC40=5268.8, EuroStoxx=3577.4, OMX=1609.3, SMI=8711.3, SX7E=134.39, Stoxx600=386.09
New 1y Low : AUD_Vol1y=9.02, AUD_Vol2y=9.46, AUD_Vol3m=7.87, AUD_Vol6m=8.46, CAD_Vol1m=6.20, CHF_Vol1y=7.56, CHF_Vol2y=7.82, CHF_Vol3m=6.82, CHF_Vol6m=7.16, EUR_Vol1y=8.21, EUR_Vol2y=8.35, EUR_Vol6m=8.04, EURvsGBP_10y=0.323, EURvsGBP_2y2y=0.531, EURvsGBP_5y5y=0.070, EURvsSEK_10y10y=0.650, FRA_2s5s10s_Bond=-0.542, GBP_Vol1m=7.90, GBP_Vol1y=8.86, GBP_Vol2y=9.15, GBP_Vol6m=8.57, GERvsGRE_10y_Bond=6.116, GRE_10y_Bond=6.445, GRE_2y_Bond=6.569, JPY_Vol1y=9.31, JPY_Vol3m=8.80, JPY_Vol6m=9.06, NOK_Vol1y=9.67, NOK_Vol2y=9.96, NOK_Vol3m=8.85, NZD_Vol1y=9.41, NZD_Vol2y=10.01, NZD_Vol3m=8.18, NZD_Vol6m=8.81, RUB=55.827, SEK_Vol1y=9.15, SEK_Vol2y=9.31, SEK_Vol3m=8.46, SEK_Vol6m=8.75, VIX4=14.73, VSTOXX3=17.75, VSTOXX4=18.45
New 5y Low : EURvsGBP_10y10y=-0.250, EURvsGBP_2s10s=-0.363
New 10y High: DAX=12455, ETF_Internet=89.65, ETF_Technology=53.80, Nasdaq=5983.8, TotalReturn_MSCI_World=5208.09
New 10y Low : EURvsUSD_2s10s=-0.227
#highlow, #nzd, #fly, #sek, #fx, #xmarket, #stock, #rub, #rate, #chf, #nok, #em, #fxvol, #aud, #cad, #jpy, #eur, #fra, #etf, #vol, #ger, #gbp, #usd, #gre
Crossed 200dma: CHF_Vol1m=6.68
#dma #fxvol #chf #dma https://t.co/emy94i067n
Crossed 200dma: CHF_2y=-0.634
#dma #rate #chf #dma https://t.co/vv8fSXYp0e
Crossed 200dma: CHF_1y=-0.683
#dma #rate #chf #dma https://t.co/6l3OIaXZeb
Rate USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW
-------------------------------------------------------------------------------
Bond 2y 1.18 -0.79 0.09 -0.22 0.14 0.72 -0.64 0.66 1.65 2.10 1.60
Bond 5y 1.77 -0.44 0.49 -0.17 1.01 -0.11 1.04 2.10 2.40 1.86
Bond 10y 2.25 0.25 1.03 0.02 -0.20 1.47 0.56 1.59 2.54 2.97 2.17
Bond 2s5s 0.59 0.35 0.40 0.05 0.29 0.53 0.38 0.45 0.30 0.25
Bond 2s10s 1.07 1.04 0.94 0.24 -0.34 0.75 1.20 0.93 0.89 0.87 0.56
Bond 5s10s 0.48 0.69 0.54 0.19 0.46 0.67 0.55 0.44 0.57 0.31
Bond 2s5s10s 0.11 -0.34 -0.14 -0.14 -0.17 -0.14 -0.17 0.00 -0.27 -0.06
-------------------------------------------------------------------------------
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 1.16 -0.33 0.34 0.01 -0.73 0.93 -0.47 1.02 1.75 1.95 1.38
1y 1.35 -0.30 0.38 0.03 -0.70 0.97 -0.46 1.04 1.74 2.06 1.47
1y1y 1.71 -0.18 0.48 0.03 -0.63 1.16 -0.17 1.11 1.95 2.59 1.61
2y 1.53 -0.14 0.55 0.03 -0.67 1.07 -0.32 1.18 1.84 2.33 1.54
2y2y 2.08 0.26 0.81 0.07 -0.34 1.44 0.42 1.62 2.36 3.12 1.74
5y 1.90 0.17 0.76 0.07 -0.40 1.33 0.24 1.46 2.23 2.86 1.68
5y5y 2.56 1.34 1.44 0.36 0.48 2.20 1.86 2.27 3.25 3.84 2.02
10y 2.21 0.76 1.09 0.22 0.04 1.75 1.02 1.84 2.83 3.33 1.84
10y10y 2.71 1.84 1.64 0.98 0.82 2.87 2.50 2.33 3.66 4.38 1.93
20y 2.44 1.26 1.34 0.59 0.42 2.25 1.70 2.06 3.19 1.88
30y 2.46 1.33 1.32 0.73 0.51 2.23 1.80 2.10 3.26 1.88
-------------------------------------------------------------------------------
2s5s 0.37 0.32 0.21 0.04 0.27 0.26 0.56 0.28 0.39 0.54 0.14
2s10s 0.68 0.90 0.54 0.18 0.71 0.68 1.33 0.67 0.99 1.01 0.30
5s10s 0.31 0.58 0.33 0.15 0.44 0.42 0.78 0.39 0.60 0.47 0.16
5s30s 0.56 1.15 0.56 0.66 0.91 0.90 1.56 0.64 1.03 0.20
10s30s 0.25 0.57 0.23 0.51 0.47 0.48 0.79 0.25 0.43 0.04
2s5s10s 0.06 -0.26 -0.12 -0.11 -0.17 -0.16 -0.22 -0.12 -0.21 0.07 -0.02
5s10s30s 0.07 0.01 0.10 -0.37 -0.02 -0.07 -0.01 0.14 0.17 0.12
#rate #recap, #curve, #fly, #ger, #eur, #aud, #jpy, #sek, #gbp, #usd, #nzd, #krw, #nok, #cad, #chf
Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW
-------------------------------------------------------------------------------
fxVol 1m 13.01 8.88 10.82 8.45 6.80 12.16 11.40 8.65 9.13
fxVol 3m 9.96 9.03 9.83 7.72 6.87 10.09 10.03 8.61 8.93
fxVol 6m 9.16 9.00 9.65 7.72 7.02 9.53 9.83 9.04 9.44
fxVol 1y 9.11 9.30 9.78 8.12 7.38 9.84 10.21 9.50 9.85
-------------------------------------------------------------------------------
Realized 1m 6.48 10.67 7.46 5.89 5.54 7.18 6.71 6.02 5.30 8.06
Realized 3m 7.15 9.25 9.26 6.19 6.36 7.44 7.81 7.79 7.87 9.98
-------------------------------------------------------------------------------
Gamma 2y 58.3 27.1 37.4 12.7 53.9 56.2 36.5 71.3 46.5 63.5 39.3
Realized 1m 43.6 11.8 15.7 5.7 19.0 26.8 14.1 16.1 62.2 26.2 20.0
Realized 3m 41.9 13.9 22.0 5.4 20.9 27.0 19.4 21.0 52.1 29.0 22.3
-------------------------------------------------------------------------------
Gamma 5y 84.7 52.3 57.6 17.5 47.9 70.6 55.5 88.2 70.1 63.1 52.1
Realized 1m 66.9 30.3 35.4 13.7 21.8 51.6 24.8 20.0 36.2 36.3 31.7
Realized 3m 64.7 40.2 45.1 12.2 29.3 51.9 40.7 35.1 45.8 36.9 34.0
-------------------------------------------------------------------------------
Gamma 10y 85.9 60.5 69.6 21.2 51.9 75.1 64.8 75.7 81.4 69.4 51.4
Realized 1m 68.5 32.5 38.0 13.4 25.7 56.4 30.6 23.1 65.9 42.9 44.4
Realized 3m 66.0 47.0 50.8 16.2 41.8 61.5 46.4 45.1 63.3 45.0 42.0
-------------------------------------------------------------------------------
irVol 1m2y 58.3 25.4 30.8 12.3 53.9 48.4 29.9 71.3 37.1 51.1 38.7
irVol 1m5y 84.7 52.3 57.5 17.5 47.9 70.6 51.0 88.2 70.1 59.9 51.6
irVol 1m10y 85.9 60.5 69.4 20.6 49.7 75.1 60.5 75.7 81.4 66.9 51.1
irVol 1m30y 81.5 75.2 70.2 39.3
irVol 3m2y 52.7 27.1 33.2 12.2 48.8 54.7 31.4 65.9 41.9 59.6 39.3
irVol 3m5y 75.4 48.7 55.1 16.9 45.1 64.1 53.4 75.7 69.0 62.2 52.1
irVol 3m10y 78.0 56.8 68.2 21.2 50.9 68.0 62.3 67.7 78.9 69.1 51.4
irVol 3m30y 74.5 68.2 68.2 39.4
irVol 1y1y 53.8 26.5 35.6 12.4 42.2 44.7 40.6 65.1 50.5 56.3 35.4
irVol 1y2y 64.0 32.3 44.8 14.2 43.3 58.6 46.7 66.6 60.7 68.3 38.3
irVol 1y5y 76.5 50.0 62.5 18.4 45.7 59.8 60.3 74.4 70.6 64.4 46.9
irVol 1y10y 78.4 60.8 72.6 23.1 55.2 59.7 67.1 73.3 76.4 69.8 48.0
irVol 1y30y 74.3 64.9 72.5 40.1
irVol 2y2y 76.3 44.7 59.7 17.5 53.2 58.8 60.3 74.0 70.8 70.4 41.6
irVol 2y5y 80.1 55.7 70.1 20.9 57.1 58.6 65.8 77.1 73.8 66.1 44.2
irVol 2y10y 80.3 63.8 75.0 25.3 63.5 57.3 70.0 77.4 75.8 69.9 45.1
irVol 2y30y 74.8 64.3 72.7 36.8
irVol 5y5y 83.7 67.2 78.1 27.6
irVol 5y10y 80.9 68.9 75.3 31.5
irVol 5y30y 71.3 62.3 69.6 39.3
irVol 10y10y 72.4 67.6 68.9 35.1
irVol 10y30y 63.6 55.7 60.8 40.9
#vol #recap, #fxvol, #irvol, #eur, #aud, #jpy, #sek, #gbp, #usd, #nzd, #krw, #nok, #cad, #chf
Crossed 200dma:
-0.211 AUD_2s5s10s
1.837 AUD_2y
9.50 AUD_Vol1w
-0.633 CHF_1y1y
-0.023 CHF_5s10s30s
0.230 GBP_10s30s
0.476 GBP_1y1y
0.562 GBP_5s30s
10.07 GBP_Vol1w
0.147 JPY_5s10s
-0.271 NZD_2s5s10s_Bond
0.298 NZD_2s5s_Bond
-0.138 SEK_2s5s10s_Bond
1.803 SEK_30y
17.860 Silver
0.590 USD_2s5s_Bond
#dma, #fxvol, #aud, #jpy, #sek, #gbp, #usd, #nzd, #fly, #rate, #curve, #chf, #commodity
Highest + Lowest RSI:
RSI=84.0 16.86 SEK_Vol1w
RSI=82.9 18.67 EUR_Vol1w
RSI=77.0 11.109 GBPNOK
RSI=75.7 13.01 EUR_Vol1m
RSI=75.5 25.09 VSTOXX
RSI=74.6 10.71 CHF_Vol1w
RSI=72.2 9.301 EURNOK
RSI=71.5 11.40 NOK_Vol1m
RSI=71.3 12.16 SEK_Vol1m
RSI=70.7 0.040 KRW_10s30s
----------------
RSI=29.2 10.36 NZD_Vol2y
RSI=29.0 0.977 JPY_10y10y
RSI=28.6 1.803 SEK_30y
RSI=28.1 7114.6 FTSE100
RSI=26.0 2.048 SPAvsPOR_10y_Bond
RSI=25.8 0.569 NZD_5s10s_Bond
RSI=23.5 0.926 CAD_3m
RSI=23.2 0.907 CHF_5s30s
RSI=22.8 1.585 POR_5s10s_Bond
RSI=20.5 1.750 AUD_3m
#rsi, #stock, #fxvol, #fixing, #eur, #fx, #aud, #por, #jpy, #xmarket, #sek, #gbp, #vol, #nzd, #krw, #nok, #curve, #cad, #rate, #chf, #spa
Biggest Rates Moves:
+0.072 -1.782 USDvsJPY_5y5y_Inflation
+6.4% +0.057 0.952 JPYvsKRW_10y10y
+2.8% +0.054 2.018 KRW_5y5y
+3.3% +0.053 1.654 JPYvsKRW_5y5y
+2.5% +0.047 1.929 KRW_10y10y
+1.5% +0.047 3.249 AUD_5y5y
+6.5% +0.046 0.755 EUR_10y
+3.7% +0.045 1.259 EUR_20y
+3.5% +0.045 1.327 EUR_30y
+10.0% +0.045 0.495 JPY_5y5y_Inflation
------------------------
-0.051 -1.214 USDvsGBP_10y_Bond
-10.5% -0.051 0.436 EURvsSEK_2s10s
-7.5% -0.054 0.664 EURvsSEK_10y10y
-0.054 -0.862 EURvsJPY_10y10y
-25.3% -0.056 0.165 EURvsSEK_2y2y
-19.3% -0.063 0.263 EURvsSEK_10y
-0.063 -0.187 EURvsCHF_2s10s
-1.2% -0.081 6.635 GRE_10y_Bond
-1.4% -0.090 6.382 GERvsGRE_10y_Bond
-2.5% -0.183 7.020 GRE_2y_Bond
#bigmove, #eur, #gre, #aud, #jpy, #xmarket, #sek, #gbp, #usd, #krw, #rate, #ger, #inflation, #chf
Crossed 200dma: CHF_1y1y=-0.633
#dma #chf #rate #dma https://t.co/Cnbr53ITD5
Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW
-------------------------------------------------------------------------------
fxVol 1m 12.61 8.78 10.51 8.25 6.95 11.66 11.05 8.71 9.03
fxVol 3m 9.70 8.94 9.63 7.60 6.86 9.80 9.82 8.72 9.06
fxVol 6m 9.02 8.99 9.57 7.65 7.01 9.46 9.74 9.11 9.46
fxVol 1y 8.92 9.32 9.71 7.98 7.40 9.67 10.06 9.53 9.81
-------------------------------------------------------------------------------
Realized 1m 6.48 10.69 7.46 5.85 5.52 7.23 6.59 6.32 5.32 8.04
Realized 3m 7.18 9.26 9.26 6.24 6.35 7.61 7.81 7.78 7.88 9.97
-------------------------------------------------------------------------------
Gamma 2y 55.5 28.8 37.5 12.6 53.9 54.2 37.8 73.2 45.9 63.1 39.4
Realized 1m 44.0 12.1 18.0 5.6 18.4 26.8 13.9 16.1 62.5 27.4 18.7
Realized 3m 42.1 14.1 22.4 5.3 20.9 27.2 19.4 21.1 52.0 29.1 22.7
-------------------------------------------------------------------------------
Gamma 5y 80.3 53.9 57.9 16.5 47.9 76.2 56.6 91.1 69.4 62.8 53.5
Realized 1m 67.7 28.7 40.3 13.0 21.8 51.9 24.9 19.9 32.7 36.3 29.7
Realized 3m 64.8 39.9 45.3 12.1 29.5 51.9 40.9 35.4 45.9 36.9 34.6
-------------------------------------------------------------------------------
Gamma 10y 81.4 61.8 70.0 19.8 51.9 71.5 65.2 77.0 78.9 68.9 52.1
Realized 1m 69.5 27.2 43.7 13.5 27.7 56.6 30.5 22.6 65.2 41.5 41.6
Realized 3m 65.9 46.2 50.9 16.2 42.0 61.5 46.8 45.7 63.0 44.7 42.2
-------------------------------------------------------------------------------
irVol 1m2y 55.5 26.0 30.9 11.1 53.9 47.5 30.6 73.2 35.3 51.0 38.9
irVol 1m5y 80.3 53.9 57.7 15.3 47.9 76.2 52.6 91.1 66.8 59.6 53.1
irVol 1m10y 81.4 61.8 69.7 17.7 49.7 71.5 61.9 77.0 77.9 66.4 51.8
irVol 1m30y 77.0 75.8 70.3 37.7
irVol 3m2y 51.5 28.8 33.2 11.8 48.8 52.8 33.4 70.1 41.5 59.4 39.4
irVol 3m5y 74.2 49.8 55.1 15.9 45.1 62.7 54.7 77.1 68.7 62.0 53.5
irVol 3m10y 76.9 57.3 68.1 18.9 50.9 66.1 62.8 67.9 78.9 68.6 52.1
irVol 3m30y 73.4 68.1 68.0 37.9
irVol 1y1y 53.6 27.3 35.6 12.3 42.2 42.7 41.6 67.1 49.9 55.8 35.5
irVol 1y2y 64.2 33.1 44.9 14.1 43.3 56.5 47.8 68.6 60.0 67.8 38.4
irVol 1y5y 76.2 50.3 62.9 18.0 45.7 59.1 60.7 75.5 70.5 64.0 47.1
irVol 1y10y 78.3 61.1 73.0 22.4 55.2 59.3 67.4 73.9 76.2 69.2 48.4
irVol 1y30y 74.3 65.2 72.4 38.8
irVol 2y2y 75.9 45.2 59.7 17.3 53.2 57.9 60.9 75.4 70.4 69.9 41.5
irVol 2y5y 79.8 56.1 70.3 20.4 57.1 58.4 66.3 78.3 73.3 65.5 44.6
irVol 2y10y 80.0 64.1 75.2 25.2 63.5 56.8 70.4 78.0 75.5 69.3 45.4
irVol 2y30y 74.5 64.7 72.6 38.3
irVol 5y5y 83.7 67.5 78.1 27.1
irVol 5y10y 80.8 69.3 75.3 31.3
irVol 5y30y 71.2 62.7 69.6 41.0
irVol 10y10y 72.4 68.0 68.9 35.1
irVol 10y30y 63.6 56.1 60.8 42.4
#volrecap, #fxvol, #irvol, #eur, #usd, #nzd, #gbp, #cad, #jpy, #krw, #nok, #chf, #aud, #sek
Highest + Lowest RSI:
RSI=83.8 16.68 SEK_Vol1w
RSI=81.6 17.63 EUR_Vol1w
RSI=78.6 16.30 NOK_Vol1w
RSI=76.9 10.92 CHF_Vol1w
RSI=75.0 24.90 VSTOXX
RSI=74.9 11.048 GBPNOK
RSI=73.4 12.61 EUR_Vol1m
RSI=73.2 1.156 USD_3m
RSI=70.0 505.30 TotalReturn_Barclays_Bond
RSI=68.2 11.05 NOK_Vol1m
----------------
RSI=31.1 0.734 JPY_30y
RSI=30.7 0.594 JPY_20y
RSI=30.4 0.987 JPY_10y10y
RSI=29.9 10.38 NZD_Vol2y
RSI=29.5 1.810 SEK_30y
RSI=29.0 1.636 AUD_2y_Bond
RSI=28.4 7118.5 FTSE100
RSI=28.0 2.077 SPAvsPOR_10y_Bond
RSI=24.8 65.36 Iron
RSI=20.5 1.750 AUD_3m
#rsi, #eur, #fx, #etf, #nzd, #usd, #gbp, #rate, #aud, #fxvol, #vol, #jpy, #spa, #fixing, #stock, #nok, #por, #chf, #xmarket, #commodity, #sek
Biggest Vol Moves:
+15.4% +2.23 16.68 SEK_Vol1w
+13.4% +2.09 17.63 EUR_Vol1w
+13.0% +1.26 10.92 CHF_Vol1w
+12.8% +2.5 22.0 EUR_3m1y_bpVol
+12.3% +7.3 66.4 NOK_3m1y_bpVol
+11.7% +1.71 16.30 NOK_Vol1w
+9.7% +2.2 25.0 SEK_3m1y_bpVol
+8.7% +1.6 19.9 AUD_1m1y_bpVol
+7.9% +2.1 28.8 EUR_2yGamma
+7.9% +2.1 28.8 EUR_3m2y_bpVol
------------------------
-3.0% -1.7 55.5 USD_1m2y_bpVol
-4.1% -0.35 8.25 CHF_Vol1m
-4.2% -0.38 8.71 AUD_Vol1m
-4.5% -0.49 10.51 JPY_Vol1m
-4.6% -0.36 7.40 CAD_Vol1w
-5.2% -0.78 14.15 VIX
-5.7% -0.57 9.38 NZD_Vol1w
-5.8% -0.56 9.03 NZD_Vol1m
-22.6% -5.64 19.35 VSTOXX1
#bigmove, #eur, #irvol, #usd, #fxvol, #vol, #chf, #jpy, #cad, #nok, #nzd, #aud, #sek
High RSI: 76.9 for CHF_Vol1w=10.92
46% 1y Percentile
19% 5y Percentile
19% 10y Percentile
#rsi #fxvol #chf https://t.co/b2VDjsh3BF
1y Z-Score Outlier: EURCZK (-3.36), INR (-2.70), EUR_Vol1m (+2.65), SEK_Vol1w (+2.74), EUR_Vol1w (+3.04)
5y Z-Score Outlier: USDvsCHF_5y5y (-3.73), CHF_5y5y (-2.80), USDvsGBP_10y (-2.55), EUR_Vol1w (+2.51), USD_1y (+2.64), XBT (+2.78)
10y Z-Score Outlier: CHF_5y5y (-3.20), USDvsGBP_10y (-2.78), USDvsGBP_2y2y (-2.68), USDvsGBP_10y_Bond (-2.65), EURTRY (+2.59), TRY (+2.67), XBT (+3.05)
#xbt, #rate, #sek, #xmarket, #gbp, #em, #usd, #czk, #fx, #chf, #inr, #fxvol, #try, #eur
Crossed 200dma: CHF_Vol1w=9.87
#fxvol #chf https://t.co/yao4EbMEz5
5y Moves: USD_2s10s , CHF_2s10s
#usd #chf #curve #rate https://t.co/cNC1MSQRJ9
New 5y High: USDvsCHF_2s10s=0.108
#usd #xmarket #chf #rate https://t.co/9enoFQMtEM
5y Moves: USD_2s10s , CHF_2s10s
#chf #rate #curve #usd https://t.co/z4ecwSx6he
New 5y High: USDvsCHF_2s10s=0.097
#chf #xmarket #rate #usd https://t.co/TirXk6ykQK
5y Moves: USD_2s10s , CHF_2s10s
#chf #curve #rate #usd https://t.co/b0sAMlcaIN
New 5y High: USDvsCHF_2s10s=0.093
#chf #rate #usd #xmarket https://t.co/RQMIA9nmpb
5y Moves: USD_2s10s , CHF_2s10s
#usd #rate #chf #curve https://t.co/Q7zt4sq2Qc
New 5y High: USDvsCHF_2s10s=0.07
#usd #xmarket #rate #chf https://t.co/sZkQTcfu6G
New 1y Low: EURvsCHF_5y5y=-0.805
#chf #rate #xmarket #eur https://t.co/JrDnYbUE7f
1mVol Implied < Realized: CHF_10y r0.98
#chf #rate #irvol #histvol https://t.co/hdH01msokx
New 1y High: SMI=8704.4
#chf #stock https://t.co/7LLzJzw9H0
1mVol Implied < Realized: CHF_10y r0.96
#chf #histvol #rate #irvol https://t.co/Ig7FGVUgmH
1mVol Implied < Realized: CHF_10y r1.00 #rate #chf #irvol #histvol https://t.co/8ST9sKRJG5
@mathiasberenger EURCHF 2yChart #eur #chf #fx https://t.co/OEBC8KgiOP