nok – 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 Market Moves

Biggest Market Moves: +17.0% +1403.4 9652.7 XBT +4.1% +0.115 2.928 NaturalGas +0.6% +45.8 8176.1 NZX50 +0.6% +7.1 1294.4 Gold +0.5% +0.0036 0.6912 NZD +0.5% +5.5 1091.0 KRW +0.5% +0.0057 1.2769 CAD +0.3% +0.470 140.390 BTP +0.3% +0.500 167.640 Buxl +0.3% +0.025 8.303 SEK ------------------------ -1.0% -0.67 67.27 Iron -1.0% -7.38 725.50 OBX -1.0% -0.47 45.13 ETF_EM_Vanguard -1.1% -3.40 313.50 Copper -1.3% -0.0497 3.9056 TRY -1.4% -36.5 2507.8 KOSPI -1.5% -0.70 47.01 ETF_EM_MSCI -1.5% -0.0729 4.6483 EURTRY -1.6% -0.77 47.17 ETF_China -2.8% -0.400 13.759 ZAR

#bigmove, #eur, #sek, #cad, #commodity, #ita, #fx, #stock, #nok, #em, #zar, #etf, #xbt, #krw, #future, #try, #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

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

Highest + Lowest RSI

Highest + Lowest RSI: RSI=98.3 4.652 Shibor RSI=97.9 1.620 KRW_3m RSI=96.9 1.462 USD_3m RSI=90.2 0.462 Sonia RSI=87.5 0.523 GBP_3m RSI=76.2 1.743 USD_1y RSI=74.0 -0.556 EURvsNOK_5s30s RSI=73.7 -0.439 SPA_2s5s10s_Bond RSI=72.3 4.6491 EURTRY RSI=71.7 8166.2 XBT ---------------- RSI=26.9 -0.623 POR_2s5s10s_Bond RSI=26.3 3.230 POR_30y_Bond RSI=26.3 1.271 EUR_5s30s RSI=25.2 0.201 EURvsSEK_2y2y RSI=24.4 1.727 FRA_5s30s_Bond RSI=22.4 0.544 POR_5y_Bond RSI=19.9 -0.885 SEK_2y_Bond RSI=19.4 1084.0 KRW RSI=14.9 -0.630 SEK_3m RSI= 0.2 -0.751 CHF_3m

#rsi, #eur, #em, #chf, #spa, #sek, #fra, #fx, #nok, #rate, #cnh, #xbt, #krw, #usd, #curve, #fly, #fixing, #por, #try, #gbp, #xmarket

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

Biggest Rates Moves

Biggest Rates Moves: +1.6% +0.048 2.956 GRE_2y_Bond +5.3% +0.040 0.800 NOK_3m +3.4% +0.027 0.813 SEKvsNOK_10y_Bond +2.3% +0.025 1.124 EURvsUSD_5y5y +11.3% +0.024 0.237 EURvsSEK_5s30s +0.023 -0.098 FRA_5y_Bond +0.022 -0.414 CHF_1y1y +1.4% +0.022 1.578 GERvsPOR_10y_Bond +0.022 -0.223 EURvsCHF_1y1y +0.022 -0.859 EURvsUSD_5s30s ------------------------ -1.4% -0.027 1.962 JPYvsKRW_10y -1.2% -0.030 2.458 CAD_30y -1.4% -0.030 2.097 CAD_2y2y -4.6% -0.032 0.670 CHF_5y5y -1.4% -0.033 2.327 KRW_5y_Bond -1.5% -0.033 2.117 KRW_5y -0.033 -0.258 SEK_5y_Bond -1.5% -0.034 2.228 KRW_2y2y -4.7% -0.034 0.687 SEK_10y_Bond -1.7% -0.036 2.116 JPYvsKRW_2y2y

#bigmove, #eur, #usd, #chf, #sek, #jpy, #fra, #nok, #rate, #ger, #krw, #gre, #fixing, #por, #cad, #xmarket

Biggest Market Moves

Biggest Market Moves: +3.9% +2.52 67.69 Iron +0.5% +26.7 5379.5 CAC40 +0.4% +0.061 13.883 ZAR +0.4% +0.0034 0.8905 EURGBP +0.4% +0.0178 4.6491 EURTRY +0.4% +0.23 63.55 Oil +0.3% +9.5 3572.1 EuroStoxx +0.3% +23.8 9315.6 SMI +0.2% +0.0029 1.1851 EUR +0.2% +0.310 125.310 Gilt ------------------------ -0.3% -4.9 1612.6 OMX -0.3% -0.034 10.831 GBPNOK -0.3% -0.0205 6.4013 CADNOK -0.3% -0.0125 3.5519 PLN -0.4% -2.70 736.58 OBX -0.4% -4.3 1152.4 MSCIEM -0.4% -0.093 21.459 CZK -0.5% -37.6 8166.2 XBT -0.5% -0.041 8.297 SEK -0.5% -0.350 64.575 INR

#bigmove, #stock, #inr, #em, #sek, #chf, #fx, #fra, #xbt, #nok, #cad, #czk, #eur, #zar, #pln, #try, #future, #commodity, #gbp

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

Crossed 200dma

Crossed 200dma: -0.088 CAD_5s10s30s_Bond 25.23 ETF_Tsy_Bonds 2.048 EUR_10y10y 1.485 EUR_30y -0.234 GBP_2s5s10s_Bond 1.610 GBP_5y5y 111.22 JPY 0.249 JPY_10y 0.213 JPY_2s10s 0.209 JPY_2s10s_Bond -0.101 JPY_2s5s10s_Bond 0.054 JPY_2s5s_Bond 0.155 JPY_5s10s_Bond 0.937 JPY_5s30s_Bond 0.037 KRW_10s30s 8.53 NOK_Vol1m 8.83 NZD_Vol1m 2.968 NaturalGas -0.250 SEK_2y 0.034 SEK_5s10s30s 0.338 SPA_5y_Bond 0.004 USD_2s5s10s 2.524 USD_30y

#dma, #commodity, #curve, #jpy, #cad, #usd, #fx, #fxvol, #krw, #nok, #spa, #sek, #gbp, #eur, #nzd, #fly, #rate, #etf

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

Crossed 200dma

Crossed 200dma: 166.980 Buxl 2.262 CAD_30y_Bond -0.042 CAD_5s10s30s 0.785 CHF_2s10s 0.974 CHF_5s30s 0.813 EUR_10y 1.393 EUR_20y 0.193 EUR_5y 1.463 EUR_5y5y 1.261 FRA_2s10s_Bond 7411.3 FTSE100 0.253 GBP_2s5s 1.594 GBP_5y5y 7.83 GBP_Vol1m -0.327 GER_2s5s10s_Bond -0.305 ITA_2s5s10s_Bond 2.398 ITA_5s30s_Bond -0.103 JPY_2s5s10s_Bond 0.828 JPY_30y 0.734 JPY_5s30s 0.948 JPY_5s30s_Bond 0.094 JPY_5y 8.2129 NOK 2.412 NOK_10y10y 0.345 NOK_2s5s -0.105 NOK_2s5s10s -0.260 SEK_2y 0.020 SEK_5s10s30s 1.262 SPA_10s30s_Bond 1.823 SPA_2s10s_Bond 0.025 USD_2s5s10s 12.98 VIX2 13.88 VIX3 14.68 VIX4

#dma, #stock, #rate, #fx, #vol, #chf, #nok, #cad, #ger, #future, #sek, #usd, #spa, #fxvol, #jpy, #fra, #curve, #eur, #gbp, #ita, #fly

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

Biggest Rates Moves

Biggest Rates Moves: +1.6% +0.077 4.984 GERvsGRE_10y_Bond +1.2% +0.065 5.335 GRE_10y_Bond +8.4% +0.060 0.770 NOK_3m +0.047 -1.021 EURvsJPY_10y10y +9.9% +0.043 0.479 USDvsNZD_10y_Bond +12.4% +0.038 0.345 USDvsJPY_5s30s +1.6% +0.034 2.119 USD_1y1y +0.034 -0.787 EURvsJPY_2s10s +1.4% +0.033 2.325 EURvsUSD_1y1y +550.0% +0.033 0.039 USDvsGBP_5s30s ------------------------ -7.7% -0.045 0.541 POR_5y_Bond -1.6% -0.047 2.823 NZD_2y2y -2.4% -0.050 2.071 EUR_10y10y -0.051 -0.167 USDvsCAD_2y2y -3.1% -0.052 1.646 FRA_30y_Bond -1.8% -0.058 3.225 POR_30y_Bond -23.0% -0.061 0.204 USDvsNZD_1y1y -10.6% -0.063 0.533 USDvsNZD_2y2y -2.3% -0.064 2.740 SPA_30y_Bond -2.7% -0.070 2.483 CAD_5y5y

#bigmove, #rate, #fixing, #ger, #nok, #nzd, #usd, #spa, #fra, #jpy, #gbp, #xmarket, #por, #eur, #cad, #gre

Biggest Market Moves

Biggest Market Moves: +2.7% +1.26 48.23 ETF_China +1.3% +0.63 47.69 ETF_EM_MSCI +1.3% +14.9 1151.0 MSCIEM +1.2% +1.35 109.75 ETF_Internet +1.2% +0.56 45.62 ETF_EM_Vanguard +1.2% +3.60 312.90 Copper +1.1% +6.30 565.46 MSCIAP +1.1% +71.8 6862.5 Nasdaq +1.1% +0.67 64.26 ETF_Technology +1.0% +7.62 739.67 OBX ------------------------ -0.7% -0.055 8.430 SEK -0.7% -0.0426 6.4258 CADNOK -0.8% -0.125 14.692 CADMXN -0.9% -0.088 9.640 EURNOK -0.9% -0.101 10.874 GBPNOK -0.9% -0.0783 8.2129 NOK -1.0% -0.030 3.017 NaturalGas -1.2% -0.222 18.774 MXN -1.3% -110.8 8134.2 XBT -1.5% -0.97 62.50 Iron

#bigmove, #stock, #fx, #xbt, #etf, #nok, #commodity, #asia, #sek, #usd, #eur, #gbp, #cad, #mxn, #em

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

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 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

Z-Score Outliers

1y Z-Score Outlier: EURvsUSD_2s10s (-2.91), CHF_Vol2y (-2.83), NOK_Vol2y (-2.77), VSTOXX3 (-2.71), VSTOXX4 (-2.65), INR (-2.62), CHF_Vol1y (-2.59), GRE_10y_Bond (-2.56), NOK_Vol1y (-2.56), SEK_Vol2y (-2.56), CAC40 (+2.52), CAD (+2.57), SMI (+2.61), XBT (+2.83), KOSPI (+3.04)


 5y Z-Score Outlier: Eurodollar_Whites (-2.73), USDvsGBP_10y_Bond (-2.56), USDvsGBP_10y (-2.54), USD_2y_Bond (+2.51), USD_2y (+2.57), USD_1y (+2.77), KOSPI (+3.51), XBT (+3.59)

10y Z-Score Outlier: USDvsGBP_10y (-2.78), USDvsGBP_10y_Bond (-2.77), USDvsGBP_2y2y (-2.74), USDvsGBP_1y1y (-2.54), EURTRY (+2.51), XBT (+3.86)

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

New Highs & Lows

New 1y High: CAD=1.3749, EURNOK=9.531, EuroStoxx=3627.9, OMX=1638.3, SMI=8980.0, SX7E=137.29, Stoxx600=391.98


New  1y Low : CHF_Vol2y=7.34, CommodityIndex=177.01, EUR_Vol2y=7.93, EURvsSEK_5s30s=0.350, GBP_Vol1m=7.00, GBP_Vol1y=8.42, GBP_Vol2y=8.69, GBP_Vol3m=7.79, GBP_Vol6m=8.07, GERvsGRE_10y_Bond=5.574, GRE_10y_Bond=5.968, ILS=3.6077, SEK_Vol1y=8.77, SEK_Vol2y=8.84, VIX3=13.58, VSTOXX2=16.20, VSTOXX3=17.20, VSTOXX4=17.95
New  5y High: CAC40=5372.4
New  5y Low : EURvsNOK_10y10y=0.378, VIX4=14.13

New 10y High: DAX=12648, KOSPI=2241.2, TotalReturn_MSCI_World=5254.01

#highlow, #commodity, #krw, #cad, #usd, #stock, #eur, #gre, #xmarket, #vol, #sek, #chf, #fx, #ils, #fxvol, #em, #nok, #ger, #etf, #gbp, #rate, #fra

Crossed 200dma: NOK_Vol1w=9.76 #dma #fxvol #dma #nok https://t.co/AwlwvU2

Crossed 200dma: NOK_Vol1w=9.76
#dma #fxvol #dma #nok https://t.co/AwlwvU2w0L

Crossed 200dma: NOK_5s30s=0.625 #dma #rate #dma #curve #nok https://t.co/

Crossed 200dma: NOK_5s30s=0.625
#dma #rate #dma #curve #nok https://t.co/723qKamzF9

High RSI: 80.4 for EURNOK=9.531 100% 1y Range 93% 5y Range 82% 10y Ra

High RSI: 80.4 for EURNOK=9.531
100% 1y Range
93% 5y Range
82% 10y Range
#rsi #eur #fx #rsi #nok https://t.co/yV0ldZdni1

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 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

Z-Score Outliers

1y Z-Score Outlier: EURCZK (-3.50), EURvsUSD_2s10s (-3.01), NOK_Vol2y (-2.91), CHF_Vol2y (-2.86), VSTOXX3 (-2.71), CHF_Vol1y (-2.69), INR (-2.69), NOK_Vol1y (-2.66), VSTOXX4 (-2.59), SEK_Vol2y (-2.54), GRE_10y_Bond (-2.53), CHF_Vol3m (-2.51), CAD (+2.52), KOSPI (+2.77), XBT (+2.94)


 5y Z-Score Outlier: Eurodollar_Whites (-2.71), USDvsGBP_10y_Bond (-2.58), USDvsGBP_10y (-2.56), USD_2y (+2.54), USD_1y (+2.76), KOSPI (+3.23), XBT (+3.66)

10y Z-Score Outlier: USDvsGBP_10y (-2.80), USDvsGBP_10y_Bond (-2.79), USDvsGBP_2y2y (-2.76), USDvsGBP_1y1y (-2.57), XBT (+3.92)

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

New Highs & Lows

New 1y High: CAD=1.3730, EuroStoxx=3586.2, SMI=8891.9, USDvsCAD_2s10s=0.066


New  1y Low : CHF_Vol1y=7.18, CHF_Vol2y=7.36, CHF_Vol3m=6.46, CHF_Vol6m=6.79, EUR_Vol1y=7.84, EUR_Vol2y=7.94, EUR_Vol3m=7.57, EUR_Vol6m=7.70, EURvsSEK_2s10s=0.415, GBP_Vol1m=7.19, GBP_Vol1y=8.55, GBP_Vol2y=8.82, NOK_Vol1y=9.27, NOK_Vol2y=9.43, NOK_Vol3m=8.51, NOK_Vol6m=8.87, SEK_Vol1y=8.79, SEK_Vol2y=8.88, SEK_Vol3m=8.23, SEK_Vol6m=8.51, VSTOXX2=16.55
New 10y High: DAX=12528, XBT=1516.7

New 10y Low : EURvsUSD_2s10s=-0.273

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

Crossed 200dma: NOK_Vol1w=9.27 #dma #fxvol #nok #dma https://t.co/IPp9bO1

Crossed 200dma: NOK_Vol1w=9.27
#dma #fxvol #nok #dma https://t.co/IPp9bO1Pw1

Outlier 1y Zscore: -2.91 for NOK_Vol2y=9.43 #fxvol #nok #zscore #zscore h

Outlier 1y Zscore: -2.91 for NOK_Vol2y=9.43
#fxvol #nok #zscore #zscore https://t.co/5cSGJEbC73

Outlier 1y Zscore: -2.66 for NOK_Vol1y=9.27 #fxvol #nok #zscore #zscore h

Outlier 1y Zscore: -2.66 for NOK_Vol1y=9.27
#fxvol #nok #zscore #zscore https://t.co/KupbPb40av

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

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 Market Moves

Biggest Market Moves: +1.1% +6.71 630.37 OBX +1.1% +1.40 133.91 SX7E +0.9% +8.4 988.2 MSCIEM +0.8% +0.76 93.99 ETF_Internet +0.8% +2.89 389.53 Stoxx600 +0.7% +0.29 40.58 ETF_EM_MSCI +0.7% +36.9 5304.2 CAC40 +0.7% +135 19446 Nikkei +0.7% +10.5 1550.3 Topix +0.7% +14.3 2219.7 KOSPI ------------------------ -0.5% -0.0187 3.8563 EURTRY -0.5% -0.068 13.344 ZAR -0.5% -0.045 8.804 SEK -0.5% -0.0219 4.2029 EURPLN -0.7% -7.4 1129.0 KRW -0.7% -1.25 180.34 CommodityIndex -0.8% -0.0269 3.5274 TRY -0.8% -0.0300 3.8455 PLN -0.9% -2.50 262.50 Copper -2.1% -1.06 50.46 Oil

#bigmove, #pln, #nok, #jpy, #stock, #zar, #commodity, #fx, #em, #try, #eur, #sek, #fra, #etf, #usd, #krw

Z-Score Outliers

1y Z-Score Outlier: EURvsUSD_2s10s (-2.88), CHF_Vol2y (-2.84), NOK_Vol2y (-2.76), VSTOXX3 (-2.68), CHF_Vol1y (-2.67), INR (-2.67), GRE_10y_Bond (-2.59), VSTOXX4 (-2.55), XBT (+2.67), FRAvsITA_10y_Bond (+2.74), KOSPI (+2.82)


 5y Z-Score Outlier: Eurodollar_Whites (-2.67), USD_1y (+2.72), KOSPI (+3.25), XBT (+3.43)

10y Z-Score Outlier: USDvsGBP_10y (-2.74), USDvsGBP_10y_Bond (-2.68), USDvsGBP_2y2y (-2.68), USDvsGBP_1y1y (-2.52), ETF_Technology (+2.51), XBT (+3.69)

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

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

Low RSI: 21.7 for NOK_10s30s=0.205 12% 1y Range 34% 5y Range 67% 10y

Low RSI: 21.7 for NOK_10s30s=0.205
12% 1y Range
34% 5y Range
67% 10y Range
#rsi #rate #rsi #curve #nok https://t.co/xeEIYUcgEG

Outlier 1y Zscore: -2.76 for NOK_Vol2y=9.61 #fxvol #zscore #nok #zscore h

Outlier 1y Zscore: -2.76 for NOK_Vol2y=9.61
#fxvol #zscore #nok #zscore https://t.co/mXcCQITe9F

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

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

Z-Score Outliers

1y Z-Score Outlier: CHF_Vol2y (-2.91), CHF_Vol1y (-2.72), NOK_Vol2y (-2.71), VSTOXX3 (-2.70), INR (-2.69), VSTOXX4 (-2.59), EURvsUSD_2s10s (-2.58), KOSPI (+2.64), XBT (+2.70)


 5y Z-Score Outlier: Eurodollar_Whites (-2.74), USDvsGBP_10y (-2.63), USDvsGBP_10y_Bond (-2.57), USD_2y (+2.55), USD_1y (+2.77), KOSPI (+3.07), XBT (+3.43)

10y Z-Score Outlier: USDvsGBP_10y (-2.86), USDvsGBP_10y_Bond (-2.77), USDvsGBP_2y2y (-2.76), USDvsGBP_1y1y (-2.57), XBT (+3.70)

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

Crossed 200dma: NOK_Vol1w=9.75 #dma #fxvol #dma #nok https://t.co/l7OChCe

Crossed 200dma: NOK_Vol1w=9.75
#dma #fxvol #dma #nok https://t.co/l7OChCedqN

Low RSI: 21.7 for NOK_10s30s=0.205 12% 1y Range 34% 5y Range 67% 10y

Low RSI: 21.7 for NOK_10s30s=0.205
12% 1y Range
34% 5y Range
67% 10y Range
#rsi #rsi #rate #curve #nok https://t.co/FvlJk7HhkJ

Outlier 1y Zscore: -2.71 for NOK_Vol2y=9.69 #fxvol #nok #zscore #zscore h

Outlier 1y Zscore: -2.71 for NOK_Vol2y=9.69
#fxvol #nok #zscore #zscore https://t.co/S07HKRO2fC

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

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

Biggest Vol Moves

Biggest Vol Moves: +33.2% +10.3 41.3 NZD_3m1y_bpVol +17.1% +7.4 50.7 NZD_6m1y_bpVol +3.9% +1.5 40.1 KRW_2y1y_bpVol +3.8% +0.27 7.36 CAD_Vol1w +3.4% +0.53 16.11 VSTOXX +2.9% +1.5 53.8 CAD_3m2y_bpVol +2.9% +0.45 16.15 VSTOXX1 +2.8% +1.7 63.6 CAD_2y10y_bpVol +2.6% +1.2 46.7 KRW_1y5y_bpVol +2.5% +1.7 68.3 CAD_3m10y_bpVol ------------------------ -15.6% -2.8 15.1 EUR_1m1y_bpVol -15.7% -9.9 53.3 NOK_1m1y_bpVol -15.8% -3.8 20.2 SEK_1m1y_bpVol -15.9% -1.41 7.46 SEK_Vol1w -15.9% -5.7 30.1 USD_1m1y_bpVol -17.5% -14.5 68.3 CAD_10yGamma -17.7% -12.1 56.4 NZD_1y2y_bpVol -20.5% -17.0 65.8 CAD_1m10y_bpVol -20.7% -12.3 47.1 NZD_3m2y_bpVol -37.1% -18.9 32.0 NZD_1m2y_bpVol

#bigmove, #vol, #irvol, #sek, #cad, #nzd, #nok, #usd, #krw, #eur, #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

Crossed 200dma: NOK_5s30s=0.620 #dma #rate #nok #dma #curve https://t.co/

Crossed 200dma: NOK_5s30s=0.620
#dma #rate #nok #dma #curve https://t.co/FuRjsxu1GQ

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

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 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

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

High RSI: 75.3 for EURNOK=9.361 82% 1y Range 86% 5y Range 76% 10y Ra

High RSI: 75.3 for EURNOK=9.361
82% 1y Range
86% 5y Range
76% 10y Range
#rsi #fx #eur #nok #rsi https://t.co/lx5IrhzOoE

Outlier 1y Zscore: -2.60 for NOK_Vol2y=9.89 #fxvol #zscore #nok #zscore h

Outlier 1y Zscore: -2.60 for NOK_Vol2y=9.89
#fxvol #zscore #nok #zscore https://t.co/91Gcvmxk15

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

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 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