nzd – 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

Biggest Rates Moves

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

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

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

New Highs & Lows

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


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

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

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

Rate Recap

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

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

Vol Recap

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

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

Implied Vol Below Realized

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

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

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

Biggest Vol Moves

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

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

Biggest Market Moves

Biggest Market Moves: +4.3% +2.67 65.17 Iron +1.2% +0.75 63.32 Oil +0.9% +1.77 191.60 CommodityIndex +0.9% +0.150 17.110 Silver +0.9% +69.6 8203.8 XBT +0.8% +10.5 1292.2 Gold +0.8% +0.0054 0.6883 NZD +0.7% +0.0084 1.1822 EUR +0.7% +0.0086 1.3325 GBP +0.5% +3.01 568.47 MSCIAP ------------------------ -0.9% -0.0318 3.5644 PLN -0.9% -0.0094 0.9820 CHF -1.0% -0.0382 3.9183 TRY -1.1% -0.146 13.822 ZAR -1.1% -0.092 8.338 SEK -1.1% -1.23 111.22 JPY -1.2% -0.689 58.498 RUB -1.2% -153 13015 DAX -1.2% -19.1 1617.5 OMX -1.6% -0.049 2.968 NaturalGas

#bigmove, #commodity, #jpy, #try, #fx, #xbt, #asia, #nzd, #sek, #gbp, #ger, #stock, #pln, #zar, #em, #chf, #eur, #rub

Z-Score Outliers

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


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

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

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

New Highs & Lows

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


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

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

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

Rate Recap

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

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

Vol Recap

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

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

Implied Vol Below Realized

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

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

Biggest 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

Z-Score Outliers

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


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

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

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

New Highs & Lows

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


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

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

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

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

Biggest Vol Moves

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

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

Biggest Rates Moves

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

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

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

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 Rates Moves

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

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

Biggest Market Moves

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

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

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 Vol Moves

Biggest Vol Moves: +26.6% +7.8 37.1 NZD_1m2y_bpVol +25.3% +4.4 21.8 NZD_1m1y_bpVol +23.7% +8.5 44.3 NZD_3m2y_bpVol +23.6% +9.2 48.1 NZD_2yGamma +23.6% +9.2 48.1 NZD_6m2y_bpVol +18.7% +4.4 27.9 CAD_1m1y_bpVol +7.2% +3.4 50.4 KRW_6m5y_bpVol +7.2% +3.5 52.0 KRW_6m10y_bpVol +6.8% +4.1 64.2 CAD_1m5y_bpVol +6.5% +2.0 32.8 USD_1m1y_bpVol ------------------------ -5.1% -0.41 7.65 GBP_Vol1w -5.5% -3.7 63.3 NZD_3m5y_bpVol -5.6% -3.6 60.9 NZD_1m5y_bpVol -5.9% -4.4 70.4 NZD_3m10y_bpVol -6.1% -4.4 68.2 NZD_1m10y_bpVol -6.1% -4.3 66.0 NZD_2y1y_bpVol -7.3% -5.3 67.5 NZD_2y2y_bpVol -8.4% -2.7 29.4 CAD_3m1y_bpVol -11.8% -6.3 47.1 CAD_6m2y_bpVol -11.8% -6.3 47.1 CAD_2yGamma

#bigmove, #usd, #nzd, #cad, #irvol, #fxvol, #gbp, #krw

Biggest Rates Moves

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

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

High RSI: 76.9 for NZX50=7422.5 84% 1y Range 96% 5y Range 97% 10y Ra

High RSI: 76.9 for NZX50=7422.5
84% 1y Range
96% 5y Range
97% 10y Range
#rsi #nzd #stock #rsi https://t.co/aowRh2wTcz

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

Biggest Rates Moves

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

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

Biggest Market Moves

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

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

Crossed 200dma: NZD_2y_Bond=2.064 #dma #nzd #dma #rate https://t.co/46w1h

Crossed 200dma: NZD_2y_Bond=2.064
#dma #nzd #dma #rate https://t.co/46w1hC0dye

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

Highest + Lowest RSI

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

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

Biggest 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

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

Biggest Vol Moves

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

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

Biggest Rates Moves

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

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

Biggest Market Moves

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

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

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

Outlier 1y Zscore: -2.57 for NZD_Vol1y=9.61 #nzd #fxvol #zscore #zscore h

Outlier 1y Zscore: -2.57 for NZD_Vol1y=9.61
#nzd #fxvol #zscore #zscore https://t.co/tgBaZ8mocK

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 Vol Moves

Biggest Vol Moves: +39.0% +25.6 91.2 NZD_1y5y_bpVol +20.9% +13.4 77.5 NZD_5yGamma +20.9% +13.4 77.5 NZD_6m5y_bpVol +20.2% +1.17 6.95 CAD_Vol1w +11.8% +0.73 6.93 CAD_Vol1m +10.9% +6.9 70.1 NZD_3m5y_bpVol +10.0% +0.68 7.46 AUD_Vol1w +8.9% +6.3 77.3 NZD_1y10y_bpVol +8.7% +0.72 9.04 JPY_Vol1w +8.5% +0.52 6.61 CHF_Vol1w ------------------------ -8.7% -1.6 16.8 JPY_1y5y_bpVol -9.0% -1.5 15.1 JPY_3m5y_bpVol -11.6% -1.9 14.5 JPY_1m5y_bpVol -11.7% -3.2 24.1 CAD_1m1y_bpVol -13.0% -9.4 63.1 CAD_5yGamma -13.0% -9.4 63.1 CAD_1m5y_bpVol -13.0% -2.6 17.4 JPY_3m10y_bpVol -13.9% -4.3 26.7 JPY_1m20y_bpVol -14.5% -2.7 15.9 JPY_1m10y_bpVol -14.7% -1.5 8.7 JPY_1m1y_bpVol

#bigmove, #irvol, #nzd, #cad, #aud, #chf, #fxvol, #jpy

Biggest Rates Moves

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

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

Biggest Market Moves

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

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

Z-Score Outliers

1y Z-Score Outlier: VSTOXX3 (-2.96), EURvsUSD_2s10s (-2.89), INR (-2.86), VSTOXX4 (-2.84), CHF_Vol2y (-2.75), NZD_Vol1y (-2.75), SEK_10s30s (-2.74), NZD_Vol6m (-2.70), NOK_Vol2y (-2.68), NZD_Vol3m (-2.66), NZD_Vol2y (-2.62), EURvsGBP_2s10s (-2.60), AUD_Vol3m (-2.52), AUD_Vol1y (-2.51), CHF_Vol1y (-2.51), KOSPI (+2.70)


 5y Z-Score Outlier: Eurodollar_Whites (-2.86), USDvsGBP_10y (-2.78), USDvsGBP_10y_Bond (-2.64), USDvsGBP_2y2y (-2.57), USD_2y (+2.64), USD_1y (+2.87), XBT (+2.98), KOSPI (+3.00)

10y Z-Score Outlier: USDvsGBP_10y (-2.97), USDvsGBP_2y2y (-2.85), USDvsGBP_10y_Bond (-2.82), USDvsGBP_1y1y (-2.63), USDvsGBP_5y5y (-2.56), TRY (+2.52), EURTRY (+2.54), XBT (+3.25)

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

Low RSI: 24.4 for NZD_Vol2y=10.07 1% 1y Range 16% 5y Range 9% 10y

Low RSI: 24.4 for NZD_Vol2y=10.07
1% 1y Range
16% 5y Range
9% 10y Range
#rsi #fxvol #nzd #rsi https://t.co/5homIPo3RP

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

Highest + Lowest RSI

Highest + Lowest RSI: RSI=74.0 0.045 KRW_10s30s RSI=73.5 149.780 OAT RSI=73.0 134.39 SX7E RSI=72.5 3577.4 EuroStoxx RSI=72.0 1.0822 EURCHF RSI=72.0 -0.124 GRE_2s10s_Bond RSI=71.2 5268.8 CAC40 RSI=70.7 -0.253 NZD_2s5s10s_Bond RSI=70.2 12455 DAX RSI=70.2 9.291 EURNOK ---------------- RSI=22.9 3.182 POR_2s10s_Bond RSI=22.4 3.558 POR_10y_Bond RSI=21.9 8.86 GBP_Vol1y RSI=21.3 3.229 GERvsPOR_10y_Bond RSI=20.7 1.953 SPAvsPOR_10y_Bond RSI=20.5 1.750 AUD_3m RSI=20.0 10.01 NZD_Vol2y RSI=19.2 1.538 POR_5s10s_Bond RSI=18.5 9.15 GBP_Vol2y RSI=16.3 4.275 POR_30y_Bond

#rsi, #fixing, #rate, #por, #nzd, #ger, #chf, #eur, #krw, #curve, #fra, #future, #gbp, #fly, #fx, #nok, #spa, #fxvol, #aud, #xmarket, #gre, #stock

Biggest Vol Moves

Biggest Vol Moves: +3.3% +1.3 40.6 JPY_5y30y_bpVol +3.2% +1.3 41.5 JPY_7y30y_bpVol +3.2% +1.3 42.2 JPY_10y30y_bpVol +3.2% +1.2 38.9 JPY_3y30y_bpVol +3.1% +1.2 39.8 JPY_4y30y_bpVol +2.7% +1.9 72.5 CAD_1m5y_bpVol +2.7% +1.9 72.5 CAD_5yGamma +2.1% +1.4 69.5 NZD_2y1y_bpVol +2.0% +1.4 71.8 NZD_2y2y_bpVol ------------------------ -28.6% -2.72 6.78 AUD_Vol1w -30.8% -3.74 8.42 SEK_Vol1m -30.9% -3.02 6.76 NZD_Vol1w -35.2% -8.84 16.25 VSTOXX -35.8% -4.66 8.35 EUR_Vol1m -37.5% -4.99 8.32 JPY_Vol1w -43.1% -4.62 6.09 CHF_Vol1w -46.7% -6.72 7.68 NOK_Vol1w -52.2% -8.81 8.05 SEK_Vol1w -57.4% -10.72 7.95 EUR_Vol1w

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

Z-Score Outliers

1y Z-Score Outlier: NZD_Vol1y (-2.86), VSTOXX3 (-2.85), NZD_Vol6m (-2.83), NZD_Vol3m (-2.80), JPY_Vol3m (-2.76), VSTOXX4 (-2.76), INR (-2.74), NZD_Vol2y (-2.73), EURvsUSD_2s10s (-2.72), CHF_Vol2y (-2.64), SEK_10s30s (-2.64), AUD_Vol3m (-2.63), AUD_Vol1y (-2.61), NOK_Vol2y (-2.60), EURCZK (-2.59), AUD_Vol6m (-2.58), JPY_Vol6m (-2.54), JPY_Vol1y (-2.53), CHF_Vol1y (-2.51), ITA_2s5s10s_Bond (+2.64)


 5y Z-Score Outlier: Eurodollar_Whites (-2.78), USDvsGBP_10y (-2.70), USDvsGBP_10y_Bond (-2.58), USDvsGBP_2y2y (-2.51), USD_2y (+2.53), KOSPI (+2.69), USD_1y (+2.79), XBT (+2.91)

10y Z-Score Outlier: USDvsGBP_10y (-2.91), USDvsGBP_2y2y (-2.80), USDvsGBP_10y_Bond (-2.77), USDvsGBP_1y1y (-2.57), TRY (+2.51), XBT (+3.18)

#zscore, #nzd, #krw, #inr, #fly, #sek, #fx, #xmarket, #stock, #rate, #xbt, #chf, #nok, #em, #fxvol, #aud, #jpy, #eur, #future, #ita, #vol, #try, #czk, #curve, #gbp, #usd

New Highs & Lows

New 1y High: CAC40=5268.8, EuroStoxx=3577.4, OMX=1609.3, SMI=8711.3, SX7E=134.39, Stoxx600=386.09


New  1y Low : AUD_Vol1y=9.02, AUD_Vol2y=9.46, AUD_Vol3m=7.87, AUD_Vol6m=8.46, CAD_Vol1m=6.20, CHF_Vol1y=7.56, CHF_Vol2y=7.82, CHF_Vol3m=6.82, CHF_Vol6m=7.16, EUR_Vol1y=8.21, EUR_Vol2y=8.35, EUR_Vol6m=8.04, EURvsGBP_10y=0.323, EURvsGBP_2y2y=0.531, EURvsGBP_5y5y=0.070, EURvsSEK_10y10y=0.650, FRA_2s5s10s_Bond=-0.542, GBP_Vol1m=7.90, GBP_Vol1y=8.86, GBP_Vol2y=9.15, GBP_Vol6m=8.57, GERvsGRE_10y_Bond=6.116, GRE_10y_Bond=6.445, GRE_2y_Bond=6.569, JPY_Vol1y=9.31, JPY_Vol3m=8.80, JPY_Vol6m=9.06, NOK_Vol1y=9.67, NOK_Vol2y=9.96, NOK_Vol3m=8.85, NZD_Vol1y=9.41, NZD_Vol2y=10.01, NZD_Vol3m=8.18, NZD_Vol6m=8.81, RUB=55.827, SEK_Vol1y=9.15, SEK_Vol2y=9.31, SEK_Vol3m=8.46, SEK_Vol6m=8.75, VIX4=14.73, VSTOXX3=17.75, VSTOXX4=18.45
New  5y Low : EURvsGBP_10y10y=-0.250, EURvsGBP_2s10s=-0.363
New 10y High: DAX=12455, ETF_Internet=89.65, ETF_Technology=53.80, Nasdaq=5983.8, TotalReturn_MSCI_World=5208.09

New 10y Low : EURvsUSD_2s10s=-0.227

#highlow, #nzd, #fly, #sek, #fx, #xmarket, #stock, #rub, #rate, #chf, #nok, #em, #fxvol, #aud, #cad, #jpy, #eur, #fra, #etf, #vol, #ger, #gbp, #usd, #gre

Rate Recap

Rate USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- Bond 2y 1.18 -0.79 0.09 -0.22 0.14 0.72 -0.64 0.66 1.65 2.10 1.60 Bond 5y 1.77 -0.44 0.49 -0.17 1.01 -0.11 1.04 2.10 2.40 1.86 Bond 10y 2.25 0.25 1.03 0.02 -0.20 1.47 0.56 1.59 2.54 2.97 2.17 Bond 2s5s 0.59 0.35 0.40 0.05 0.29 0.53 0.38 0.45 0.30 0.25 Bond 2s10s 1.07 1.04 0.94 0.24 -0.34 0.75 1.20 0.93 0.89 0.87 0.56 Bond 5s10s 0.48 0.69 0.54 0.19 0.46 0.67 0.55 0.44 0.57 0.31 Bond 2s5s10s 0.11 -0.34 -0.14 -0.14 -0.17 -0.14 -0.17 0.00 -0.27 -0.06 ------------------------------------------------------------------------------- Central Bank 1.00 -0.40 0.25 -0.10 -0.75 0.50 -0.50 0.50 1.50 1.75 1.25 OIS 0.91 -0.36 0.21 3m 1.16 -0.33 0.34 0.01 -0.73 0.93 -0.47 1.02 1.75 1.95 1.38 1y 1.35 -0.30 0.38 0.03 -0.70 0.97 -0.46 1.04 1.74 2.06 1.47 1y1y 1.71 -0.18 0.48 0.03 -0.63 1.16 -0.17 1.11 1.95 2.59 1.61 2y 1.53 -0.14 0.55 0.03 -0.67 1.07 -0.32 1.18 1.84 2.33 1.54 2y2y 2.08 0.26 0.81 0.07 -0.34 1.44 0.42 1.62 2.36 3.12 1.74 5y 1.90 0.17 0.76 0.07 -0.40 1.33 0.24 1.46 2.23 2.86 1.68 5y5y 2.56 1.34 1.44 0.36 0.48 2.20 1.86 2.27 3.25 3.84 2.02 10y 2.21 0.76 1.09 0.22 0.04 1.75 1.02 1.84 2.83 3.33 1.84 10y10y 2.71 1.84 1.64 0.98 0.82 2.87 2.50 2.33 3.66 4.38 1.93 20y 2.44 1.26 1.34 0.59 0.42 2.25 1.70 2.06 3.19 1.88 30y 2.46 1.33 1.32 0.73 0.51 2.23 1.80 2.10 3.26 1.88 ------------------------------------------------------------------------------- 2s5s 0.37 0.32 0.21 0.04 0.27 0.26 0.56 0.28 0.39 0.54 0.14 2s10s 0.68 0.90 0.54 0.18 0.71 0.68 1.33 0.67 0.99 1.01 0.30 5s10s 0.31 0.58 0.33 0.15 0.44 0.42 0.78 0.39 0.60 0.47 0.16 5s30s 0.56 1.15 0.56 0.66 0.91 0.90 1.56 0.64 1.03 0.20 10s30s 0.25 0.57 0.23 0.51 0.47 0.48 0.79 0.25 0.43 0.04 2s5s10s 0.06 -0.26 -0.12 -0.11 -0.17 -0.16 -0.22 -0.12 -0.21 0.07 -0.02 5s10s30s 0.07 0.01 0.10 -0.37 -0.02 -0.07 -0.01 0.14 0.17 0.12

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

Vol Recap

Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- fxVol 1m 13.01 8.88 10.82 8.45 6.80 12.16 11.40 8.65 9.13 fxVol 3m 9.96 9.03 9.83 7.72 6.87 10.09 10.03 8.61 8.93 fxVol 6m 9.16 9.00 9.65 7.72 7.02 9.53 9.83 9.04 9.44 fxVol 1y 9.11 9.30 9.78 8.12 7.38 9.84 10.21 9.50 9.85 ------------------------------------------------------------------------------- Realized 1m 6.48 10.67 7.46 5.89 5.54 7.18 6.71 6.02 5.30 8.06 Realized 3m 7.15 9.25 9.26 6.19 6.36 7.44 7.81 7.79 7.87 9.98 ------------------------------------------------------------------------------- Gamma 2y 58.3 27.1 37.4 12.7 53.9 56.2 36.5 71.3 46.5 63.5 39.3 Realized 1m 43.6 11.8 15.7 5.7 19.0 26.8 14.1 16.1 62.2 26.2 20.0 Realized 3m 41.9 13.9 22.0 5.4 20.9 27.0 19.4 21.0 52.1 29.0 22.3 ------------------------------------------------------------------------------- Gamma 5y 84.7 52.3 57.6 17.5 47.9 70.6 55.5 88.2 70.1 63.1 52.1 Realized 1m 66.9 30.3 35.4 13.7 21.8 51.6 24.8 20.0 36.2 36.3 31.7 Realized 3m 64.7 40.2 45.1 12.2 29.3 51.9 40.7 35.1 45.8 36.9 34.0 ------------------------------------------------------------------------------- Gamma 10y 85.9 60.5 69.6 21.2 51.9 75.1 64.8 75.7 81.4 69.4 51.4 Realized 1m 68.5 32.5 38.0 13.4 25.7 56.4 30.6 23.1 65.9 42.9 44.4 Realized 3m 66.0 47.0 50.8 16.2 41.8 61.5 46.4 45.1 63.3 45.0 42.0 ------------------------------------------------------------------------------- irVol 1m2y 58.3 25.4 30.8 12.3 53.9 48.4 29.9 71.3 37.1 51.1 38.7 irVol 1m5y 84.7 52.3 57.5 17.5 47.9 70.6 51.0 88.2 70.1 59.9 51.6 irVol 1m10y 85.9 60.5 69.4 20.6 49.7 75.1 60.5 75.7 81.4 66.9 51.1 irVol 1m30y 81.5 75.2 70.2 39.3 irVol 3m2y 52.7 27.1 33.2 12.2 48.8 54.7 31.4 65.9 41.9 59.6 39.3 irVol 3m5y 75.4 48.7 55.1 16.9 45.1 64.1 53.4 75.7 69.0 62.2 52.1 irVol 3m10y 78.0 56.8 68.2 21.2 50.9 68.0 62.3 67.7 78.9 69.1 51.4 irVol 3m30y 74.5 68.2 68.2 39.4 irVol 1y1y 53.8 26.5 35.6 12.4 42.2 44.7 40.6 65.1 50.5 56.3 35.4 irVol 1y2y 64.0 32.3 44.8 14.2 43.3 58.6 46.7 66.6 60.7 68.3 38.3 irVol 1y5y 76.5 50.0 62.5 18.4 45.7 59.8 60.3 74.4 70.6 64.4 46.9 irVol 1y10y 78.4 60.8 72.6 23.1 55.2 59.7 67.1 73.3 76.4 69.8 48.0 irVol 1y30y 74.3 64.9 72.5 40.1 irVol 2y2y 76.3 44.7 59.7 17.5 53.2 58.8 60.3 74.0 70.8 70.4 41.6 irVol 2y5y 80.1 55.7 70.1 20.9 57.1 58.6 65.8 77.1 73.8 66.1 44.2 irVol 2y10y 80.3 63.8 75.0 25.3 63.5 57.3 70.0 77.4 75.8 69.9 45.1 irVol 2y30y 74.8 64.3 72.7 36.8 irVol 5y5y 83.7 67.2 78.1 27.6 irVol 5y10y 80.9 68.9 75.3 31.5 irVol 5y30y 71.3 62.3 69.6 39.3 irVol 10y10y 72.4 67.6 68.9 35.1 irVol 10y30y 63.6 55.7 60.8 40.9

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

Crossed 200dma

Crossed 200dma: -0.211 AUD_2s5s10s 1.837 AUD_2y 9.50 AUD_Vol1w -0.633 CHF_1y1y -0.023 CHF_5s10s30s 0.230 GBP_10s30s 0.476 GBP_1y1y 0.562 GBP_5s30s 10.07 GBP_Vol1w 0.147 JPY_5s10s -0.271 NZD_2s5s10s_Bond 0.298 NZD_2s5s_Bond -0.138 SEK_2s5s10s_Bond 1.803 SEK_30y 17.860 Silver 0.590 USD_2s5s_Bond

#dma, #fxvol, #aud, #jpy, #sek, #gbp, #usd, #nzd, #fly, #rate, #curve, #chf, #commodity

Highest + Lowest RSI

Highest + Lowest RSI: RSI=84.0 16.86 SEK_Vol1w RSI=82.9 18.67 EUR_Vol1w RSI=77.0 11.109 GBPNOK RSI=75.7 13.01 EUR_Vol1m RSI=75.5 25.09 VSTOXX RSI=74.6 10.71 CHF_Vol1w RSI=72.2 9.301 EURNOK RSI=71.5 11.40 NOK_Vol1m RSI=71.3 12.16 SEK_Vol1m RSI=70.7 0.040 KRW_10s30s ---------------- RSI=29.2 10.36 NZD_Vol2y RSI=29.0 0.977 JPY_10y10y RSI=28.6 1.803 SEK_30y RSI=28.1 7114.6 FTSE100 RSI=26.0 2.048 SPAvsPOR_10y_Bond RSI=25.8 0.569 NZD_5s10s_Bond RSI=23.5 0.926 CAD_3m RSI=23.2 0.907 CHF_5s30s RSI=22.8 1.585 POR_5s10s_Bond RSI=20.5 1.750 AUD_3m

#rsi, #stock, #fxvol, #fixing, #eur, #fx, #aud, #por, #jpy, #xmarket, #sek, #gbp, #vol, #nzd, #krw, #nok, #curve, #cad, #rate, #chf, #spa

New Highs & Lows

New 1y Low : EURvsGBP_10y=0.332, EURvsGBP_5y5y=0.098, EURvsSEK_10y10y=0.664, EURvsSEK_2s10s=0.436, NZD_Vol2y=10.36

New 10y Low : EURvsUSD_2s10s=-0.216, GBP_3m=0.335

#highlow, #fxvol, #fixing, #eur, #xmarket, #sek, #gbp, #usd, #nzd, #rate

Crossed 200dma: NZD_2s5s_Bond=0.298 #dma #nzd #rate #curve #dma https://t

Crossed 200dma: NZD_2s5s_Bond=0.298
#dma #nzd #rate #curve #dma https://t.co/5dcrvXgcJT

Crossed 200dma: NZD_2s5s10s_Bond=-0.271 #dma #nzd #fly #rate #dma https:/

Crossed 200dma: NZD_2s5s10s_Bond=-0.271
#dma #nzd #fly #rate #dma https://t.co/rXr5XmctuC

New 1y Low: NZD_Vol2y=10.36 #nzd #fxvol https://t.co/gtROaJDpEh

New 1y Low: NZD_Vol2y=10.36
#nzd #fxvol https://t.co/gtROaJDpEh

Vol Recap

Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- fxVol 1m 12.61 8.78 10.51 8.25 6.95 11.66 11.05 8.71 9.03 fxVol 3m 9.70 8.94 9.63 7.60 6.86 9.80 9.82 8.72 9.06 fxVol 6m 9.02 8.99 9.57 7.65 7.01 9.46 9.74 9.11 9.46 fxVol 1y 8.92 9.32 9.71 7.98 7.40 9.67 10.06 9.53 9.81 ------------------------------------------------------------------------------- Realized 1m 6.48 10.69 7.46 5.85 5.52 7.23 6.59 6.32 5.32 8.04 Realized 3m 7.18 9.26 9.26 6.24 6.35 7.61 7.81 7.78 7.88 9.97 ------------------------------------------------------------------------------- Gamma 2y 55.5 28.8 37.5 12.6 53.9 54.2 37.8 73.2 45.9 63.1 39.4 Realized 1m 44.0 12.1 18.0 5.6 18.4 26.8 13.9 16.1 62.5 27.4 18.7 Realized 3m 42.1 14.1 22.4 5.3 20.9 27.2 19.4 21.1 52.0 29.1 22.7 ------------------------------------------------------------------------------- Gamma 5y 80.3 53.9 57.9 16.5 47.9 76.2 56.6 91.1 69.4 62.8 53.5 Realized 1m 67.7 28.7 40.3 13.0 21.8 51.9 24.9 19.9 32.7 36.3 29.7 Realized 3m 64.8 39.9 45.3 12.1 29.5 51.9 40.9 35.4 45.9 36.9 34.6 ------------------------------------------------------------------------------- Gamma 10y 81.4 61.8 70.0 19.8 51.9 71.5 65.2 77.0 78.9 68.9 52.1 Realized 1m 69.5 27.2 43.7 13.5 27.7 56.6 30.5 22.6 65.2 41.5 41.6 Realized 3m 65.9 46.2 50.9 16.2 42.0 61.5 46.8 45.7 63.0 44.7 42.2 ------------------------------------------------------------------------------- irVol 1m2y 55.5 26.0 30.9 11.1 53.9 47.5 30.6 73.2 35.3 51.0 38.9 irVol 1m5y 80.3 53.9 57.7 15.3 47.9 76.2 52.6 91.1 66.8 59.6 53.1 irVol 1m10y 81.4 61.8 69.7 17.7 49.7 71.5 61.9 77.0 77.9 66.4 51.8 irVol 1m30y 77.0 75.8 70.3 37.7 irVol 3m2y 51.5 28.8 33.2 11.8 48.8 52.8 33.4 70.1 41.5 59.4 39.4 irVol 3m5y 74.2 49.8 55.1 15.9 45.1 62.7 54.7 77.1 68.7 62.0 53.5 irVol 3m10y 76.9 57.3 68.1 18.9 50.9 66.1 62.8 67.9 78.9 68.6 52.1 irVol 3m30y 73.4 68.1 68.0 37.9 irVol 1y1y 53.6 27.3 35.6 12.3 42.2 42.7 41.6 67.1 49.9 55.8 35.5 irVol 1y2y 64.2 33.1 44.9 14.1 43.3 56.5 47.8 68.6 60.0 67.8 38.4 irVol 1y5y 76.2 50.3 62.9 18.0 45.7 59.1 60.7 75.5 70.5 64.0 47.1 irVol 1y10y 78.3 61.1 73.0 22.4 55.2 59.3 67.4 73.9 76.2 69.2 48.4 irVol 1y30y 74.3 65.2 72.4 38.8 irVol 2y2y 75.9 45.2 59.7 17.3 53.2 57.9 60.9 75.4 70.4 69.9 41.5 irVol 2y5y 79.8 56.1 70.3 20.4 57.1 58.4 66.3 78.3 73.3 65.5 44.6 irVol 2y10y 80.0 64.1 75.2 25.2 63.5 56.8 70.4 78.0 75.5 69.3 45.4 irVol 2y30y 74.5 64.7 72.6 38.3 irVol 5y5y 83.7 67.5 78.1 27.1 irVol 5y10y 80.8 69.3 75.3 31.3 irVol 5y30y 71.2 62.7 69.6 41.0 irVol 10y10y 72.4 68.0 68.9 35.1 irVol 10y30y 63.6 56.1 60.8 42.4

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

Highest + Lowest RSI

Highest + Lowest RSI: RSI=83.8 16.68 SEK_Vol1w RSI=81.6 17.63 EUR_Vol1w RSI=78.6 16.30 NOK_Vol1w RSI=76.9 10.92 CHF_Vol1w RSI=75.0 24.90 VSTOXX RSI=74.9 11.048 GBPNOK RSI=73.4 12.61 EUR_Vol1m RSI=73.2 1.156 USD_3m RSI=70.0 505.30 TotalReturn_Barclays_Bond RSI=68.2 11.05 NOK_Vol1m ---------------- RSI=31.1 0.734 JPY_30y RSI=30.7 0.594 JPY_20y RSI=30.4 0.987 JPY_10y10y RSI=29.9 10.38 NZD_Vol2y RSI=29.5 1.810 SEK_30y RSI=29.0 1.636 AUD_2y_Bond RSI=28.4 7118.5 FTSE100 RSI=28.0 2.077 SPAvsPOR_10y_Bond RSI=24.8 65.36 Iron RSI=20.5 1.750 AUD_3m

#rsi, #eur, #fx, #etf, #nzd, #usd, #gbp, #rate, #aud, #fxvol, #vol, #jpy, #spa, #fixing, #stock, #nok, #por, #chf, #xmarket, #commodity, #sek

Biggest Vol Moves

Biggest Vol Moves: +15.4% +2.23 16.68 SEK_Vol1w +13.4% +2.09 17.63 EUR_Vol1w +13.0% +1.26 10.92 CHF_Vol1w +12.8% +2.5 22.0 EUR_3m1y_bpVol +12.3% +7.3 66.4 NOK_3m1y_bpVol +11.7% +1.71 16.30 NOK_Vol1w +9.7% +2.2 25.0 SEK_3m1y_bpVol +8.7% +1.6 19.9 AUD_1m1y_bpVol +7.9% +2.1 28.8 EUR_2yGamma +7.9% +2.1 28.8 EUR_3m2y_bpVol ------------------------ -3.0% -1.7 55.5 USD_1m2y_bpVol -4.1% -0.35 8.25 CHF_Vol1m -4.2% -0.38 8.71 AUD_Vol1m -4.5% -0.49 10.51 JPY_Vol1m -4.6% -0.36 7.40 CAD_Vol1w -5.2% -0.78 14.15 VIX -5.7% -0.57 9.38 NZD_Vol1w -5.8% -0.56 9.03 NZD_Vol1m -22.6% -5.64 19.35 VSTOXX1

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

Biggest Rates Moves

Biggest Rates Moves: +4.0% +0.050 1.304 EUR_5y5y +1.9% +0.047 2.503 AUD_10y_Bond +2.3% +0.046 2.061 USD_2y2y +20.2% +0.041 0.244 GER_10y_Bond +1.8% +0.041 2.379 NZD_5y_Bond +1.7% +0.040 2.354 AUD_2y2y +2.3% +0.040 1.795 EUR_10y10y +2.5% +0.038 1.588 NOK_10y_Bond +2.0% +0.038 1.889 USD_5y +1.7% +0.037 2.203 USD_10y ------------------------ -0.038 -0.941 EURvsJPY_5y5y -8.2% -0.040 0.450 JPY_5y5y_Inflation -0.040 -1.235 USDvsGBP_2y2y -0.042 -0.808 EURvsJPY_10y10y -26.3% -0.046 0.129 EURvsGBP_5y5y -2.4% -0.049 2.024 GERvsITA_10y_Bond -2.7% -0.058 2.077 SPAvsPOR_10y_Bond -8.8% -0.066 0.684 GERvsFRA_10y_Bond -1.0% -0.074 7.203 GRE_2y_Bond -2.1% -0.076 3.533 GERvsPOR_10y_Bond

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

Biggest Market Moves

Biggest Market Moves: +2.8% +33.6 1240.0 XBT +1.7% +0.39 23.40 ETF_Financials +1.5% +74.2 5077.9 CAC40 +1.4% +1.66 124.03 SX7E +1.3% +0.50 38.08 ETF_China +1.2% +0.48 39.29 ETF_EM_MSCI +1.2% +0.76 65.36 Iron +1.0% +0.41 39.74 ETF_EM_Vanguard +0.9% +53.8 5916.8 Nasdaq +0.9% +0.48 53.28 ETF_Technology ------------------------ -0.4% -0.48 123.54 ETF_20+_Bonds -0.4% -30.5 7188.0 NZX50 -0.5% -5.2 1137.7 KRW -0.5% -0.88 183.04 CommodityIndex -0.7% -0.386 56.192 RUB -0.8% -0.140 18.020 Silver -0.8% -0.0305 3.9069 EURTRY -0.8% -1.380 173.640 Buxl -0.9% -0.0338 3.6412 TRY -1.0% -0.130 13.150 ZAR

#bigmove, #eur, #fx, #etf, #usd, #try, #rate, #em, #rub, #future, #stock, #zar, #xbt, #nzd, #fra, #commodity, #krw

Z-Score Outliers

1y Z-Score Outlier: INR (-2.69), NZD_Vol1y (-2.53), NOK_Vol1w (+2.85), SEK_Vol1w (+3.69), EUR_Vol1w (+3.71) 5y Z-Score Outlier: USDvsGBP_10y (-2.61), SEK_Vol1w (+2.62), USD_1y (+2.72), XBT (+2.88), EUR_Vol1w (+3.23) 10y Z-Score Outlier: USDvsGBP_10y (-2.83), USDvsGBP_2y2y (-2.73), USDvsGBP_10y_Bond (-2.66), USDvsGBP_1y1y (-2.51), EURTRY (+2.54), TRY (+2.63), XBT (+3.14)

#zscore, #eur, #fx, #usd, #gbp, #try, #fxvol, #rate, #em, #inr, #nok, #xbt, #nzd, #xmarket, #sek