Tag Archives: 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

Implied Vol Below Realized

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

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

Crossed 200dma

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

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

Highest + Lowest RSI

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

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

Biggest 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

Z-Score Outliers

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

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

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

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

New Highs & Lows

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

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

New 10y High: DAX=12528, XBT=1516.7

New 10y Low : EURvsUSD_2s10s=-0.273

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

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

Implied Vol Below Realized

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

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

Highest + Lowest RSI

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

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

Biggest Rates Moves

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

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

Z-Score Outliers

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

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

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

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

New Highs & Lows

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

New  1y Low : CADMXN=13.691, CHF_Vol3m=6.59, EURPLN=4.2029, EUR_Vol1y=7.90, EUR_Vol2y=7.99, EUR_Vol6m=7.79, GBP_Vol1y=8.60, GBP_Vol2y=8.87, GERvsGRE_10y_Bond=5.662, GRE_10y_Bond=5.990, ILS=3.6086, NOK_Vol1y=9.45, NOK_Vol2y=9.61, NOK_Vol3m=8.68, NOK_Vol6m=9.06, SEK_Vol1y=8.83, SEK_Vol2y=8.94, SEK_Vol3m=8.35, SEK_Vol6m=8.60

New  5y High: CAC40=5304.2, KOSPI=2219.7

New  5y Low : EURvsNOK_10y10y=0.390

New 10y High: DAX=12508, ETF_Internet=93.99, ETF_Technology=54.91, Nasdaq=6095.4, TotalReturn_MSCI_World=5251.59, XBT=1439.4

New 10y Low : EURvsUSD_2s10s=-0.259

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

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

Implied Vol Below Realized

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

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

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 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

Z-Score Outliers

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

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

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

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

New Highs & Lows

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

New  1y Low : CADMXN=13.696, CHF_Vol1y=7.23, CHF_Vol2y=7.41, EUR_Vol1y=7.96, EURvsSEK_2s10s=0.433, GBP_Vol1y=8.61, GBP_Vol2y=8.89, GBP_Vol3m=7.94, GBP_Vol6m=8.21, NOK_Vol1y=9.52, NOK_Vol2y=9.69, NOK_Vol3m=8.76, NOK_Vol6m=9.09, VIX3=13.58

New  5y High: FedFund=0.910

New  5y Low : VIX4=14.13

New 10y High: ETF_Internet=93.23, ETF_Technology=54.79, Nasdaq=6091.6, TotalReturn_MSCI_World=5240.51, XBT=1435.9

New 10y Low : VIX=10.11

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