Tag Archives: gbp

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

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

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 Market Moves

Biggest Market Moves:
   +4.1%   +53.6  1347.9 XBT
   +1.0% +0.0103  1.0312 NOKSEK
   +0.8%   +0.76   91.71 ETF_Internet
   +0.8%  +0.197  24.865 CZK
   +0.8%  +0.070   8.834 SEK
   +0.6%   +0.88  143.57 GBPJPY
   +0.6%  +0.980 169.960 Buxl
   +0.6%  +0.820 150.030 OAT
   +0.6%  +0.073  13.354 ZAR
   +0.5%  +0.050   9.606 EURSEK
------------------------
   -0.5%  -0.090  17.270 Silver
   -0.7%   -1.22  180.49 CommodityIndex
   -0.7% -0.0272  3.8758 EURTRY
   -0.7%   -51.5  7237.2 FTSE100
   -0.7% -0.0061  0.8426 EURGBP
   -0.7%   -0.38   51.44 Oil
   -0.8%  -0.164  19.027 MXN
   -0.9%  -0.121  13.960 CADMXN
   -0.9%    -144   15506 TSX
   -1.8%   -2.36  132.36 SX7E

#bigmove, #zar, #sek, #stock, #etf, #fra, #czk, #jpy, #future, #cad, #usd, #try, #commodity, #eur, #mxn, #fx, #em, #nok, #gbp, #xbt

Z-Score Outliers

 1y Z-Score Outlier: CHF_Vol2y (-2.89), INR (-2.87), VSTOXX3 (-2.78), NOK_Vol2y (-2.71), CHF_Vol1y (-2.69), VSTOXX4 (-2.68), KOSPI (+2.81)

 5y Z-Score Outlier: Eurodollar_Whites (-2.73), USDvsGBP_10y (-2.64), USDvsGBP_10y_Bond (-2.58), USD_2y (+2.51), USD_1y (+2.76), KOSPI (+3.15), XBT (+3.18)

10y Z-Score Outlier: USDvsGBP_10y (-2.86), USDvsGBP_10y_Bond (-2.78), USDvsGBP_2y2y (-2.76), USDvsGBP_1y1y (-2.56), XBT (+3.44)

#zscore, #chf, #stock, #xmarket, #future, #fx, #inr, #nok, #usd, #fxvol, #rate, #eur, #krw, #em, #gbp, #xbt, #vol

New Highs & Lows

New  1y High: CAD=1.3633, SMI=8844.8

New  1y Low : CHF_Vol1y=7.33, CHF_Vol2y=7.52, CHF_Vol3m=6.77, CHF_Vol6m=6.95, EUR_Vol1y=8.05, EUR_Vol2y=8.11, EUR_Vol6m=7.88, EURvsSEK_5s30s=0.365, GBP_Vol1m=7.64, GBP_Vol1y=8.77, GBP_Vol2y=9.04, GBP_Vol3m=8.24, GBP_Vol6m=8.44, GRE_10y_Bond=6.377, NOK_Vol1y=9.59, NOK_Vol2y=9.77, SEK_Vol1y=8.99, SEK_Vol2y=9.02, SEK_Vol6m=8.73, VIX=10.36

New  5y High: KOSPI=2209.5

New 10y High: ETF_Internet=91.71, ETF_Technology=54.24, Nasdaq=6048.9, XBT=1347.9

#highlow, #chf, #sek, #stock, #etf, #xmarket, #cad, #fx, #nok, #usd, #fxvol, #rate, #eur, #krw, #gre, #gbp, #xbt, #vol

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

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

Z-Score Outliers

 1y Z-Score Outlier: INR (-2.97), VSTOXX3 (-2.97), VSTOXX4 (-2.86), CHF_Vol2y (-2.76), EURvsUSD_2s10s (-2.76), NOK_Vol2y (-2.60), NZD_Vol1y (-2.57), CHF_Vol1y (-2.52), KOSPI (+2.83)

 5y Z-Score Outlier: Eurodollar_Whites (-2.82), USDvsGBP_10y (-2.67), USDvsGBP_10y_Bond (-2.56), USD_2y (+2.58), USD_1y (+2.82), XBT (+3.01), KOSPI (+3.14)

10y Z-Score Outlier: USDvsGBP_10y (-2.89), USDvsGBP_2y2y (-2.79), USDvsGBP_10y_Bond (-2.76), USDvsGBP_1y1y (-2.59), TRY (+2.51), EURTRY (+2.52), XBT (+3.28)

#zscore, #xbt, #usd, #future, #nzd, #fx, #inr, #krw, #em, #xmarket, #chf, #nok, #gbp, #try, #eur, #stock, #vol, #rate, #fxvol

New Highs & Lows

New  1y High: CAD=1.3617, FRAvsITA_10y_Bond=1.422, MSCIAP=487.60, OMX=1620.3, SMI=8830.3, Stoxx600=388.73

New  1y Low : CHF_Vol1y=7.49, CHF_Vol2y=7.66, EUR_Vol1y=8.20, EUR_Vol2y=8.27, GBP_Vol1m=7.69, GERvsGRE_10y_Bond=6.054, GRE_10y_Bond=6.406, INR=64.115, SEK_Vol1y=9.15, USDvsCAD_10y_Bond=-0.825, VSTOXX2=16.70, VSTOXX3=17.25, VSTOXX4=18.05

New  5y High: CAC40=5287.9, KOSPI=2207.8

New 10y High: DAX=12473, ETF_Internet=90.95, TotalReturn_MSCI_World=5238.65, XBT=1294.3

#highlow, #etf, #gre, #krw, #chf, #stock, #fxvol, #fra, #fx, #vol, #rate, #usd, #inr, #em, #ger, #xmarket, #gbp, #ita, #xbt, #cad, #asia, #eur, #sek

Rate Recap

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

Vol Recap

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

Implied Vol Below Realized

Cheapest 1m Implied Vol vs Realized:
Ratio vImpl vReal Cheap
 0.46  51.2 110.6 AUD_1y1y
 0.63  36.4  57.6 AUD_2y
 0.68  51.8  76.2 USD_1y1y
 0.75  43.1  57.2 CAD_1y1y
 0.75   7.8  10.4 GBP
 0.90  20.6  23.0 AUD_1y
 0.90   8.7   9.7 SEK
 0.97  71.2  73.1 USD_10y
 0.98  68.8  70.0 USD_20y
 0.99  67.5  68.2 USD_30y
 1.00  70.4  70.6 USD_5y

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

Crossed 200dma

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

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 Rates Moves

Biggest Rates Moves:
   +1.9%  +0.123   6.692 GRE_2y_Bond
  +13.7%  +0.094   0.782 EURvsUSD_5y5y_Inflation
   +3.2%  +0.091   2.935 SPA_30y_Bond
   +3.9%  +0.085   2.266 ITA_10y_Bond
   +3.0%  +0.081   2.831 USD_10y10y
   +3.1%  +0.080   2.680 USD_5y5y
   +4.5%  +0.079   1.834 FRA_30y_Bond
   +2.5%  +0.079   3.290 ITA_30y_Bond
   +2.9%  +0.071   2.543 USD_20y
   +2.8%  +0.071   2.572 USD_30y
------------------------
          -0.061  -1.055 EURvsJPY_5y5y
          -0.062  -2.099 USDvsJPY_2y2y
   -7.2%  -0.063   0.813 USDvsNZD_1y1y
   -3.9%  -0.066   1.628 USDvsNZD_10y10y
          -0.066  -1.805 USDvsJPY_10y10y
          -0.066  -2.087 USDvsJPY_10y
  -10.3%  -0.066   0.574 AUDvsNZD_1y1y
   -6.3%  -0.068   1.008 USDvsGBP_5y5y_Inflation
          -0.078  -2.298 USDvsJPY_5y5y
          -0.111  -2.022 USDvsJPY_5y5y_Inflation

#bigmove, #rate, #nzd, #ita, #eur, #aud, #gbp, #spa, #xmarket, #fra, #usd, #jpy, #gre

Biggest Market Moves

Biggest Market Moves:
   +2.0%   +25.6  1281.5 XBT
   +1.7%   +2.08  121.37 EURJPY
   +1.6%   +2.20  142.65 GBPJPY
   +1.3%   +0.51   38.68 ETF_China
   +1.2%   +1.32  111.09 JPY
   +1.1%   +11.2   982.6 MSCIEM
   +1.1%    +232   20996 Dow
   +1.1%   +6.76  625.81 OBX
   +1.1%    +203   19079 Nikkei
   +1.1%   +23.1  2196.8 KOSPI
------------------------
   -0.6%  -1.080 168.540 Buxl
   -0.7%  -1.032 152.406 Bond
   -0.7%   -0.46   66.07 Iron
   -0.8%   -10.2  1265.6 Gold
   -0.9%  -0.079   8.779 SEK
   -0.9% -0.0065  0.6952 NZD
   -1.0% -0.0108  1.0253 NOKSEK
   -1.1% -0.0431  3.8640 PLN
   -1.2%   -1.48  121.45 ETF_20+_Bonds
   -1.5%  -0.270  17.590 Silver

#bigmove, #rate, #xbt, #fx, #nzd, #etf, #eur, #krw, #sek, #pln, #gbp, #stock, #commodity, #nok, #em, #usd, #jpy, #future

Z-Score Outliers

 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 Highs & Lows

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

Rate Recap

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

Vol Recap

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

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

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 Market Moves

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

Z-Score Outliers

 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 Highs & Lows

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

Rate Recap

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

Vol Recap

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

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

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

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

Biggest Market Moves

Biggest Market Moves:
   +4.4%   +2.86   68.22 Iron
   +1.1%   +15.8  1488.6 Topix
   +1.0%    +191   18621 Nikkei
   +0.9%   +1.14  125.17 SX7E
   +0.7%   +15.8  2165.0 KOSPI
   +0.6%  +0.056   9.301 EURNOK
   +0.6%   +32.7  5854.1 ASX200
   +0.6%  +0.061  11.109 GBPNOK
   +0.5% +0.0449  8.6702 NOK
   +0.5%  +0.272  56.464 RUB
------------------------
   -0.2%  -0.370 148.040 OAT
   -0.3%    -7.1  2348.7 S&P500
   -0.3%    -3.5  1134.2 KRW
   -0.3%   -0.12   37.96 ETF_China
   -0.4%   -18.7  5059.2 CAC40
   -0.4% -0.0040  1.0377 NOKSEK
   -0.6%   -1.17  181.87 CommodityIndex
   -0.9%  -0.160  17.860 Silver
   -1.0%   -0.24   23.16 ETF_Financials
   -1.9%   -1.03   51.96 Oil

#bigmove, #stock, #rub, #fra, #eur, #fx, #aud, #jpy, #etf, #em, #gbp, #sek, #usd, #krw, #nok, #future, #commodity

Z-Score Outliers

 1y Z-Score Outlier: EURvsUSD_2s10s (-2.60), INR (-2.59), FRA_2y_Bond (+2.51), EUR_Vol1m (+2.59), ITA_2s5s10s_Bond (+2.65), SEK_Vol1w (+3.66), EUR_Vol1w (+4.00)

 5y Z-Score Outlier: Eurodollar_Whites (-2.67), USDvsGBP_10y (-2.65), USDvsGBP_10y_Bond (-2.57), KOSPI (+2.58), SEK_Vol1w (+2.68), USD_1y (+2.71), XBT (+2.88), EUR_Vol1w (+3.59)

10y Z-Score Outlier: USDvsGBP_10y (-2.86), USDvsGBP_2y2y (-2.78), USDvsGBP_10y_Bond (-2.76), USDvsGBP_1y1y (-2.55), EURTRY (+2.54), TRY (+2.62), XBT (+3.14)

#zscore, #stock, #fxvol, #fra, #ita, #fx, #eur, #try, #xmarket, #em, #gbp, #inr, #usd, #sek, #krw, #fly, #rate, #xbt, #future