Tag Archives: rate

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

Implied Vol Below Realized

Cheapest 1m Implied Vol vs Realized:
Ratio vImpl vReal Cheap
 0.44  48.2 109.8 AUD_1y1y
 0.57  32.6  56.8 AUD_2y
 0.68  50.0  73.5 USD_1y1y
 0.78   7.6   9.8 GBP
 0.79  45.4  57.8 CAD_1y1y
 0.81  18.5  22.8 AUD_1y
 0.82   8.1   9.9 SEK
 0.88  14.0  16.0 JPY_5y
 0.90  64.0  71.1 USD_10y
 0.92  62.4  67.5 USD_20y
 0.93  63.0  68.0 USD_5y
 0.93  61.4  65.7 USD_30y
 0.94  42.9  45.4 USD_2y
 0.97  15.6  16.1 JPY_10y
 0.98   8.3   8.5 NOK

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

Crossed 200dma

Crossed 200dma:
108.328 2yNote
  0.140 AUD_5s10s30s
  0.605 CAD_10s30s_Bond
  0.842 CAD_2s10s_Bond
 -0.063 CAD_5s10s30s_Bond
  0.542 CAD_5s10s_Bond
 -0.683 CHF_1y
 -0.349 CHF_2s10s_Bond
 -0.029 CHF_5s10s30s
 27.034 EURCZK
  9.606 EURSEK
 -0.308 EUR_1y
   7.61 EUR_Vol1w
100.298 Euribor_Whites
 -0.739 GER_2y_Bond
 -0.082 ITA_2y_Bond
  0.040 JPY_2s5s
 -0.143 JPY_5y_Bond
  0.620 NOK_5s30s
150.030 OAT
  51.44 Oil
  1.572 POR_2s5s_Bond
  0.749 POR_5s10s30s_Bond
  1.934 POR_5y_Bond
 -0.644 SEK_2y_Bond
  0.786 SEK_5s10s
  0.669 USD_10s30s_Bond

#dma, #jpy, #por, #chf, #sek, #fra, #fly, #czk, #future, #cad, #nok, #usd, #ita, #commodity, #eur, #rate, #fx, #ger, #em, #curve, #aud, #fxvol

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 Rates Moves

Biggest Rates Moves:
          +0.107  -0.718 USDvsCAD_10y_Bond
   +6.6%  +0.098   1.577 CAD_10y_Bond
          +0.079  -0.995 EURvsCHF_10y10y
          +0.063  -1.947 USDvsJPY_5y5y_Inflation
          +0.059  -1.861 USDvsCHF_10y10y
   +6.6%  +0.058   0.934 CHF_10y10y
          +0.054  -0.203 EURvsJPY_2y2y
  +28.3%  +0.052   0.236 USDvsAUD_1y1y
          +0.050  -1.000 EURvsJPY_5y5y
  +12.1%  +0.049   0.455 SEKvsNOK_5y5y
------------------------
   -3.5%  -0.068   1.857 SEK_30y
  -12.2%  -0.069   0.495 SEK_2y2y
   -4.3%  -0.073   1.626 SPA_10y_Bond
          -0.075  -0.076 SEK_5y_Bond
  -11.8%  -0.078   0.584 SEK_10y_Bond
   -4.0%  -0.080   1.904 SEK_5y5y
   -2.3%  -0.098   4.237 POR_30y_Bond
   -5.0%  -0.101   1.934 POR_5y_Bond
   -3.2%  -0.114   3.460 POR_10y_Bond
   -1.9%  -0.127   6.522 GRE_2y_Bond

#bigmove, #por, #chf, #sek, #cad, #xmarket, #nok, #jpy, #usd, #rate, #eur, #gre, #spa, #aud

Z-Score Outliers

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

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

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

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

New Highs & Lows

New  1y High: CAD=1.3633, SMI=8844.8

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

New  5y High: KOSPI=2209.5

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

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

Rate Recap

Rate            USD   EUR   GBP   JPY   CHF   CAD   SEK   NOK   AUD   NZD   KRW
-------------------------------------------------------------------------------
Bond      2y   1.27 -0.69  0.09 -0.20  0.26  0.74 -0.61  0.67  1.69  2.11  1.59
Bond      5y   1.83 -0.34  0.52 -0.16        1.03 -0.00  1.04  2.16  2.46  1.87
Bond     10y   2.30  0.35  1.08  0.02 -0.10  1.48  0.66  1.66  2.63  3.07  2.20
Bond     30y   2.96  1.11  1.72  0.80  0.35  2.17                          2.37
-------------------------------------------------------------------------------
Bond    2s5s   0.56  0.35  0.42  0.04        0.29  0.61        0.47  0.35  0.28
Bond   2s10s   1.03  1.04  0.99  0.22 -0.36  0.74  1.27        0.94  0.96  0.61
Bond   5s10s   0.48  0.69  0.56  0.18        0.45  0.66  0.62  0.47  0.61  0.33
Bond   5s30s   1.13  1.45  1.20  0.96        1.14                          0.49
Bond  10s30s   0.66  0.76  0.63  0.79  0.45  0.69                          0.17
Bond 2s5s10s   0.08 -0.35 -0.14 -0.13       -0.16 -0.05        0.01 -0.27 -0.05
Bond5s10s30s  -0.18 -0.06 -0.07 -0.61       -0.24                          0.17
-------------------------------------------------------------------------------
Central Bank   1.00 -0.40  0.25 -0.10 -0.75  0.50 -0.50  0.50  1.50  1.75  1.25
OIS            0.90 -0.36  0.21                                                
3m             1.17 -0.33  0.33  0.01 -0.73  0.93 -0.47  0.94  1.75  1.97  1.39
1y             1.40 -0.30  0.37  0.03 -0.67  0.97 -0.45  1.02  1.75  2.07  1.48
1y1y           1.77 -0.14  0.50  0.04 -0.56  1.19 -0.10  1.16  1.95  2.57  1.64
2y             1.58 -0.13  0.56  0.03 -0.62  1.08 -0.27  1.19  1.85  2.31  1.56
2y2y           2.14  0.33  0.86  0.07 -0.23  1.49  0.56  1.71  2.43  3.17  1.80
5y             1.96  0.21  0.79  0.06 -0.31  1.37  0.33  1.52  2.29  2.89  1.73
5y5y           2.65  1.43  1.50  0.38  0.63  2.23  1.98  2.40  3.25  3.93  2.10
10y            2.28  0.80  1.13  0.21  0.16  1.79  1.14  1.94  2.85  3.39  1.91
10y10y         2.80  1.95  1.71  1.05  0.88  2.89  2.65  2.40  3.68  4.45  2.00
20y            2.51  1.33  1.40  0.63  0.51  2.29  1.82  2.14  3.22        1.95
30y            2.54  1.41  1.38  0.79  0.63  2.27  1.93  2.15  3.29        1.95
-------------------------------------------------------------------------------
2s5s           0.37  0.34  0.23  0.02  0.31  0.28  0.60  0.34  0.44  0.58  0.16
2s10s          0.69  0.93  0.58  0.18  0.78  0.71  1.40  0.75  1.00  1.07  0.34
5s10s          0.32  0.59  0.35  0.15  0.47  0.42  0.80  0.41  0.56  0.49  0.18
5s30s          0.58  1.20  0.60  0.73  0.94  0.90  1.59  0.64  1.01        0.22
10s30s         0.26  0.61  0.25  0.58  0.47  0.48  0.79  0.22  0.45        0.04
2s5s10s        0.05 -0.25 -0.12 -0.13 -0.17 -0.14 -0.20 -0.08 -0.13  0.09 -0.02
5s10s30s       0.06 -0.02  0.10 -0.42  0.00 -0.06  0.01  0.20  0.12        0.14

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

Implied Vol Below Realized

Cheapest 1m Implied Vol vs Realized:
Ratio vImpl vReal Cheap
 0.43  47.9 112.6 AUD_1y1y
 0.56  32.9  58.4 AUD_2y
 0.69  50.7  73.8 USD_1y1y
 0.75  44.6  59.7 CAD_1y1y
 0.79   7.7   9.8 GBP
 0.83  18.9  22.7 AUD_1y
 0.90   8.6   9.5 SEK
 0.93  14.1  15.1 JPY_5y
 0.96  69.1  71.8 USD_10y
 0.98  66.8  68.4 USD_20y
 0.99  65.6  66.5 USD_30y
 0.99  68.4  68.9 USD_5y

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

Highest + Lowest RSI

Highest + Lowest RSI:
RSI=79.5   1.170 USD_3m
RSI=76.2   90.95 ETF_Internet
RSI=75.3   9.361 EURNOK
RSI=72.7  388.73 Stoxx600
RSI=72.6  1.4588 EURAUD
RSI=72.5  134.72 SX7E
RSI=72.4  5287.9 CAC40
RSI=72.1  6025.2 Nasdaq
RSI=71.9  3578.7 EuroStoxx
RSI=70.9  1.3617 CAD
----------------
RSI=24.2   3.190 POR_2s10s_Bond
RSI=23.8    8.85 GBP_Vol1y
RSI=23.6   17.25 VSTOXX3
RSI=23.5   0.926 CAD_3m
RSI=22.0   0.778 POR_5s10s30s_Bond
RSI=21.8   1.539 POR_5s10s_Bond
RSI=21.0   3.222 GERvsPOR_10y_Bond
RSI=20.5   1.750 AUD_3m
RSI=18.3    9.10 GBP_Vol2y
RSI=17.4   1.875 SPAvsPOR_10y_Bond

#rsi, #curve, #etf, #cad, #usd, #fx, #vol, #ger, #xmarket, #nok, #gbp, #fra, #aud, #spa, #eur, #stock, #fly, #fixing, #rate, #por, #fxvol

Biggest 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

Z-Score Outliers

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

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

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

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

New Highs & Lows

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

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

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

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

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

Rate Recap

Rate            USD   EUR   GBP   JPY   CHF   CAD   SEK   NOK   AUD   NZD   KRW
-------------------------------------------------------------------------------
Bond      2y   1.27 -0.68  0.11 -0.20  0.25  0.76 -0.61  0.68  1.66  2.12  1.60
Bond      5y   1.85 -0.32  0.53 -0.15        1.07 -0.01  1.04  2.12  2.45  1.86
Bond     10y   2.33  0.38  1.08  0.03 -0.09  1.52  0.66  1.68  2.60  3.02  2.19
Bond     30y   2.99  1.12  1.71  0.78  0.34  2.19                          2.36
-------------------------------------------------------------------------------
Bond    2s5s   0.58  0.36  0.42  0.05        0.31  0.59        0.47  0.32  0.26
Bond   2s10s   1.06  1.05  0.98  0.23 -0.34  0.77  1.26        0.94  0.90  0.59
Bond   5s10s   0.48  0.70  0.56  0.18        0.46  0.67  0.64  0.47  0.58  0.33
Bond   5s30s   1.13  1.45  1.18  0.93        1.12                          0.50
Bond  10s30s   0.66  0.75  0.63  0.75  0.43  0.67                          0.17
Bond 2s5s10s   0.11 -0.34 -0.13 -0.13       -0.15 -0.08       -0.00 -0.25 -0.07
Bond5s10s30s  -0.18 -0.05 -0.07 -0.58       -0.21                          0.16
-------------------------------------------------------------------------------
Central Bank   1.00 -0.40  0.25 -0.10 -0.75  0.50 -0.50  0.50  1.50  1.75  1.25
OIS            0.90 -0.36  0.21                                                
3m             1.17 -0.33  0.33  0.01 -0.73  0.93 -0.47  0.97  1.75  1.97  1.39
1y             1.41 -0.30  0.37  0.03 -0.67  0.99 -0.45  1.03  1.76  2.08  1.49
1y1y           1.79 -0.13  0.50  0.04 -0.55  1.24 -0.12  1.15  2.03  2.60  1.64
2y             1.60 -0.12  0.56  0.04 -0.61  1.11 -0.28  1.20  1.89  2.33  1.56
2y2y           2.17  0.34  0.86  0.07 -0.23  1.51  0.53  1.72  2.44  3.20  1.79
5y             1.99  0.24  0.80  0.08 -0.31  1.40  0.32  1.52  2.28  2.92  1.72
5y5y           2.68  1.44  1.50  0.38  0.60  2.25  1.95  2.40  3.31  3.93  2.07
10y            2.32  0.83  1.14  0.23  0.15  1.82  1.11  1.94  2.89  3.40  1.89
10y10y         2.83  1.96  1.71  1.03  0.90  2.93  2.56  2.40  3.72  4.46  1.99
20y            2.54  1.35  1.40  0.62  0.51  2.31  1.77  2.15  3.25        1.93
30y            2.57  1.43  1.38  0.77  0.62  2.29  1.88  2.16  3.32        1.93
-------------------------------------------------------------------------------
2s5s           0.38  0.36  0.23  0.04  0.30  0.28  0.60  0.33  0.39  0.58  0.16
2s10s          0.71  0.95  0.57  0.19  0.76  0.71  1.39  0.74  1.00  1.07  0.33
5s10s          0.33  0.59  0.34  0.15  0.46  0.42  0.79  0.41  0.61  0.49  0.17
5s30s          0.58  1.19  0.59  0.69  0.93  0.90  1.56  0.64  1.04        0.21
10s30s         0.26  0.59  0.24  0.54  0.47  0.48  0.78  0.22  0.43        0.04
2s5s10s        0.06 -0.23 -0.11 -0.11 -0.15 -0.14 -0.19 -0.09 -0.22  0.09 -0.01
5s10s30s       0.07 -0.00  0.10 -0.38 -0.02 -0.05  0.01  0.20  0.17        0.12

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

Implied Vol Below Realized

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

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

Crossed 200dma

Crossed 200dma:
108.266 2yNote
 0.7535 AUD
 -0.220 AUD_2s5s10s
  0.174 AUD_5s10s30s
160.980 Bund
  0.422 CAD_5s10s
 0.9938 CHF
  9.593 EURSEK
 -0.001 EUR_5s10s30s
   8.60 EUR_Vol1m
  1.137 GBP_10y
  1.402 GBP_20y
  0.574 GBP_2s10s
  0.864 GBP_2y2y
  1.381 GBP_30y
  0.795 GBP_5y
  1.499 GBP_5y5y
  2.236 ITA_5s30s_Bond
  0.226 JPY_2s10s_Bond
 -0.112 JPY_2s5s10s
  3.606 POR_10y_Bond
 99.610 Shortsterling_Whites
  0.713 USD_2s10s
  0.585 USD_2s5s_Bond

#dma, #rate, #fx, #ita, #fly, #eur, #cad, #chf, #aud, #sek, #gbp, #fxvol, #usd, #jpy, #por, #future, #curve

Highest + Lowest RSI

Highest + Lowest RSI:
RSI=77.8   1.167 USD_3m
RSI=75.7  1.0862 EURCHF
RSI=74.7   9.352 EURNOK
RSI=74.2   90.51 ETF_Internet
RSI=74.0   0.045 KRW_10s30s
RSI=73.8  135.13 SX7E
RSI=73.1  3583.2 EuroStoxx
RSI=72.2  6025.5 Nasdaq
RSI=71.8  5277.9 CAC40
RSI=70.7  -0.253 NZD_2s5s10s_Bond
----------------
RSI=24.4   17.40 VSTOXX3
RSI=24.4   10.07 NZD_Vol2y
RSI=23.5   0.926 CAD_3m
RSI=22.9   3.181 POR_2s10s_Bond
RSI=22.8   1.551 POR_5s10s_Bond
RSI=21.2   3.228 GERvsPOR_10y_Bond
RSI=20.9    8.81 GBP_Vol1y
RSI=20.5   1.750 AUD_3m
RSI=19.7   1.931 SPAvsPOR_10y_Bond
RSI=17.4    9.09 GBP_Vol2y

#rsi, #nzd, #cad, #vol, #ger, #chf, #krw, #stock, #gbp, #spa, #xmarket, #fra, #por, #eur, #aud, #nok, #etf, #fixing, #rate, #fx, #fly, #fxvol, #usd, #curve

Biggest Rates Moves

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

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

Biggest Market Moves

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

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

Z-Score Outliers

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

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

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

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

New Highs & Lows

New  1y High: ETF_EM_MSCI=40.20, EuroStoxx=3583.2, MSCIAP=486.43, MSCIEM=982.6, OMX=1617.0, SMI=8775.2, SX7E=135.13, Stoxx600=386.91

New  1y Low : CHF_Vol1y=7.53, CHF_Vol2y=7.71, EUR_Vol2y=8.30, EURvsGBP_10y=0.303, EURvsGBP_2y2y=0.521, EURvsGBP_5y5y=0.062, EURvsSEK_10y10y=0.599, EURvsSEK_5s30s=0.380, GBP_Vol1m=7.84, GBP_Vol1y=8.81, GBP_Vol2y=9.09, GBP_Vol6m=8.47, GERvsGRE_10y_Bond=6.057, GRE_10y_Bond=6.435, INR=64.273, NOK_Vol2y=9.86, SEK_Vol2y=9.18, USDvsCAD_5y5y=-0.428, VIX3=13.98, VIX4=14.43, VSTOXX2=16.80, VSTOXX3=17.40, VSTOXX4=18.20

New  5y High: CAC40=5277.9, KOSPI=2196.8

New  5y Low : EURvsGBP_10y10y=-0.259, EURvsGBP_2s10s=-0.381

New 10y High: DAX=12467, ETF_Internet=90.51, ETF_Technology=54.08, Nasdaq=6025.5, TotalReturn_MSCI_World=5237.29, XBT=1281.5

New 10y Low : EURvsUSD_2s10s=-0.242

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