sek – 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

Crossed 200dma

Crossed 200dma: 0.136 AUD_5s10s30s -0.104 CAD_5s10s30s_Bond 2.434 CAD_5y5y 0.9817 CHF 0.488 CHF_10s30s 25.22 ETF_Tsy_Bonds 1.479 EUR_30y 0.202 EUR_5y 7383.9 FTSE100 0.254 GBP_2s5s 1.179 GER_30y_Bond -0.341 GER_5y_Bond -0.362 ITA_2s5s10s_Bond 0.023 JPY_1y 0.844 JPY_30y_Bond 0.159 JPY_5s10s_Bond 0.785 NOK_2s10s 0.440 NOK_5s10s 0.007 SEK_5s10s30s 130.85 SX7E -0.159 USD_5s10s30s_Bond

#dma, #fly, #sek, #cad, #gbp, #eur, #rate, #chf, #ita, #usd, #jpy, #curve, #fx, #stock, #nok, #etf, #ger, #aud

Highest + Lowest RSI

Highest + Lowest RSI: RSI=98.7 4.710 Shibor RSI=98.1 1.630 KRW_3m RSI=97.2 1.468 USD_3m RSI=88.5 0.462 Sonia RSI=87.5 0.523 GBP_3m RSI=81.5 9652.7 XBT RSI=78.3 1.755 USD_1y RSI=73.6 -0.438 SPA_2s5s10s_Bond RSI=73.4 110.90 ETF_Internet RSI=70.8 64.50 ETF_Technology ---------------- RSI=28.8 0.345 NOK_2s5s RSI=28.6 84.46 AUDJPY RSI=28.1 1.118 SPA_5s10s_Bond RSI=27.5 -0.239 POR_2y_Bond RSI=27.4 0.935 CHF_5s30s RSI=27.3 3.223 POR_30y_Bond RSI=27.2 2.382 SPA_5s30s_Bond RSI=21.3 0.530 POR_5y_Bond RSI=13.9 -0.635 SEK_3m RSI= 0.2 -0.751 CHF_3m

#rsi, #fly, #sek, #cnh, #gbp, #eur, #rate, #chf, #por, #usd, #jpy, #fixing, #curve, #fx, #stock, #nok, #etf, #spa, #xbt, #krw, #aud

Biggest Vol Moves

Biggest Vol Moves: +11.1% +7.5 74.8 CAD_2y2y_bpVol +8.8% +4.1 50.8 CAD_3m5y_bpVol +8.7% +5.4 67.8 CAD_2y1y_bpVol +5.9% +0.20 3.60 TYVIX +5.4% +0.69 13.55 VSTOXX +5.1% +2.1 43.5 AUD_1m5y_bpVol +4.6% +2.3 52.2 AUD_1m10y_bpVol +4.5% +1.3 30.3 AUD_1m2y_bpVol ------------------------ -4.2% -2.1 48.4 KRW_1y10y_bpVol -4.2% -0.31 7.04 GBP_Vol1m -4.5% -0.29 6.21 GBP_Vol1w -5.4% -0.46 8.09 NOK_Vol1w -6.0% -1.2 18.7 SEK_3m1y_bpVol -8.1% -0.53 6.03 CHF_Vol1w -8.6% -5.3 56.3 CAD_1y10y_bpVol -9.9% -6.4 58.3 CAD_2y10y_bpVol

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

Biggest Market Moves

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

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

Z-Score Outliers

1y Z-Score Outlier: USDvsAUD_1y1y (-3.00), GBP_5s30s (-2.90), USD_5s30s (-2.86), USDvsAUD_10y10y (-2.86), USD_5s30s_Bond (-2.80), USDvsAUD_10y (-2.79), SEK_2y_Bond (-2.75), GBP_5s10s (-2.73), USD_5s10s_Bond (-2.69), USDvsNZD_2y2y (-2.66), 2yNote (-2.63), USD_5s10s (-2.61), USD_10s30s_Bond (-2.55), USD_2y (+2.56), GBP_2s5s10s (+2.58), Nikkei (+2.60), KRW_2y_Bond (+2.68), EURTRY (+2.72), USD_2y_Bond (+2.84), KRW_1y (+2.93), XBT (+3.52)


 5y Z-Score Outlier: CAD_5s30s_Bond (-2.95), OBX (+2.52), USD_1y (+2.56), ETF_Internet (+2.57), MSCIAP (+2.57), Dow (+2.62), ETF_Technology (+2.67), USD_2y_Bond (+2.76), EURTRY (+2.77), KOSPI (+3.20), XBT (+6.80)

10y Z-Score Outlier: ETF_Internet (+2.63), ETF_Technology (+2.78), EURTRY (+3.09), XBT (+7.99)

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

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

Crossed 200dma

Crossed 200dma: -0.080 CAD_5s10s30s_Bond 0.599 EUR_5s10s 1.271 EUR_5s30s 0.211 EUR_5y -0.039 GBP_5s10s30s_Bond 1.594 GBP_5y5y 1.177 GER_30y_Bond 1.507 GER_5s30s_Bond -0.330 GER_5y_Bond 64.575 INR 0.648 JPY_20y -0.175 SEK_2s5s10s 0.012 SEK_5s10s30s

#dma, #eur, #em, #jpy, #sek, #inr, #fx, #rate, #ger, #curve, #fly, #cad, #gbp

Highest + Lowest RSI

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

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

Biggest Vol Moves

Biggest Vol Moves: +12.4% +3.5 31.8 NOK_3m1y_bpVol +11.2% +6.5 64.7 CAD_2y10y_bpVol +6.3% +0.35 5.94 CHF_Vol1w +5.4% +1.6 31.3 NOK_3m2y_bpVol +5.1% +2.4 49.8 AUD_1y2y_bpVol +4.8% +0.25 5.47 CAD_Vol1w +4.8% +2.8 61.5 AUD_2y2y_bpVol ------------------------ -7.3% -2.5 31.6 EUR_1m20y_bpVol -7.3% -2.9 36.6 NOK_1m10y_bpVol -7.4% -2.6 32.4 EUR_1m30y_bpVol -7.5% -3.0 36.9 SEK_1m10y_bpVol -7.5% -2.4 29.5 EUR_1m10y_bpVol -8.4% -5.6 61.4 CAD_2y1y_bpVol -8.7% -4.4 46.2 KRW_2y2y_bpVol -9.0% -4.3 43.6 KRW_3m1y_bpVol -9.1% -4.3 43.1 KRW_1m1y_bpVol -10.9% -8.1 66.1 CAD_2y2y_bpVol

#bigmove, #eur, #sek, #chf, #nok, #irvol, #krw, #cad, #aud, #fxvol

Biggest Rates Moves

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

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

Biggest Market Moves

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

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

Z-Score Outliers

1y Z-Score Outlier: SEK_2y_Bond (-3.15), USD_5s30s_Bond (-3.13), USD_5s30s (-3.10), USD_10s30s_Bond (-2.99), USDvsAUD_10y10y (-2.94), USDvsAUD_10y (-2.92), USDvsNZD_2y2y (-2.86), USD_5s10s_Bond (-2.85), USDvsNZD_10y (-2.81), USDvsAUD_1y1y (-2.80), CHF_5s10s (-2.74), 2yNote (-2.66), USD_5s10s (-2.65), SEK_5y_Bond (-2.58), USDvsNZD_10y10y (-2.55), GBP_5s30s (-2.54), KRW_2y (+2.53), TRY (+2.53), USD_2y (+2.54), Nikkei (+2.71), KRW_2y_Bond (+2.79), EURTRY (+2.82), USD_2y_Bond (+2.85), XBT (+2.91), KRW_1y (+2.94)


 5y Z-Score Outlier: CAD_5s30s_Bond (-2.97), ETF_Internet (+2.53), USD_1y (+2.55), Dow (+2.60), ETF_Technology (+2.64), MSCIAP (+2.68), OBX (+2.68), USD_2y_Bond (+2.75), EURTRY (+2.79), KOSPI (+3.43), XBT (+5.85)

10y Z-Score Outlier: TRY (+2.53), ETF_Internet (+2.61), ETF_Technology (+2.76), EURTRY (+3.10), XBT (+6.89)

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

New Highs & Lows

New 1y High: EURvsCHF_1y1y=-0.223, KRW_3m=1.620


New  1y Low : CHF_5s10s=0.438, CHF_5s10s30s=-0.065, CZK=21.459, EURCZK=25.428, EURvsNOK_2y2y=1.254, KRW=1084.0, NZD_10y10y=3.869, SEK_5y_Bond=-0.258, USD_2s10s=0.415, USDvsAUD_5y5y=0.473
New  5y High: USDvsJPY_2s10s=-0.197
New 10y High: EURTRY=4.6491, TotalReturn_MSCI_World=5779.76

New 10y Low : NZD_3m=1.905, SEK_2y_Bond=-0.885

#highlow, #eur, #em, #chf, #sek, #fx, #nzd, #usd, #nok, #rate, #czk, #krw, #curve, #fly, #fixing, #try, #jpy, #aud, #etf, #xmarket

Rate Recap

Rate USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- Bond 2y 1.73 -0.70 0.47 -0.18 0.28 1.45 -0.88 0.50 1.77 1.96 2.08 Bond 5y 2.04 -0.33 0.75 -0.13 1.64 -0.23 1.04 2.10 2.38 2.36 Bond 10y 2.32 0.35 1.27 0.03 -0.13 1.90 0.72 1.51 2.52 2.79 2.54 Bond 30y 2.74 1.18 1.83 0.81 0.41 2.25 2.52 ------------------------------------------------------------------------------- Bond 2s5s 0.32 0.37 0.29 0.05 0.19 0.65 0.33 0.42 0.28 Bond 2s10s 0.59 1.05 0.81 0.21 -0.42 0.45 1.60 0.75 0.83 0.46 Bond 5s10s 0.28 0.68 0.52 0.15 0.26 0.95 0.47 0.42 0.41 0.18 Bond 5s30s 0.70 1.52 1.08 0.94 0.61 0.16 Bond 10s30s 0.42 0.83 0.56 0.78 0.54 0.35 -0.02 Bond 2s5s10s 0.04 -0.32 -0.23 -0.10 -0.07 -0.29 -0.10 0.01 0.10 Bond5s10s30s -0.14 -0.15 -0.03 -0.63 -0.09 0.20 ------------------------------------------------------------------------------- Central Bank 1.25 -0.40 0.50 -0.10 -0.75 1.00 -0.50 0.50 1.50 1.75 1.25 OIS 1.16 -0.36 0.46 3m 1.45 -0.33 0.52 -0.04 -0.75 1.40 -0.63 0.76 1.73 1.91 1.61 1y 1.74 -0.32 0.64 0.01 -0.63 1.60 -0.45 0.85 1.76 1.99 1.80 1y1y 2.06 -0.19 0.92 0.05 -0.44 1.95 -0.06 1.06 1.98 2.31 2.13 2y 1.90 -0.19 0.82 0.04 -0.54 1.78 -0.25 1.04 1.89 2.15 1.97 2y2y 2.23 0.32 1.19 0.11 -0.11 2.13 0.55 1.58 2.32 2.81 2.26 5y 2.11 0.19 1.07 0.10 -0.22 2.00 0.34 1.39 2.19 2.60 2.15 5y5y 2.55 1.45 1.61 0.39 0.70 2.47 1.92 2.33 3.04 3.63 2.34 10y 2.32 0.81 1.33 0.25 0.24 2.22 1.10 1.83 2.71 3.09 2.24 10y10y 2.73 2.05 1.78 1.05 1.07 2.93 2.53 2.42 3.39 3.88 2.32 20y 2.50 1.39 1.54 0.65 0.64 2.54 1.75 2.10 3.02 2.27 30y 2.52 1.49 1.53 0.84 0.73 2.49 1.84 2.10 3.07 2.27 ------------------------------------------------------------------------------- 2s5s 0.21 0.39 0.25 0.06 0.32 0.21 0.58 0.34 0.30 0.45 0.18 2s10s 0.42 1.01 0.51 0.21 0.78 0.44 1.35 0.80 0.82 0.94 0.27 5s10s 0.21 0.62 0.26 0.15 0.46 0.23 0.77 0.45 0.52 0.49 0.09 5s30s 0.41 1.29 0.45 0.74 0.95 0.49 1.50 0.72 0.88 0.12 10s30s 0.20 0.67 0.19 0.59 0.49 0.27 0.73 0.27 0.37 0.04 2s5s10s 0.00 -0.24 -0.01 -0.09 -0.14 -0.01 -0.18 -0.10 -0.22 -0.04 0.10 5s10s30s 0.00 -0.05 0.07 -0.44 -0.04 -0.04 0.03 0.18 0.15 0.05

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

Vol Recap

Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- fxVol 1m 6.67 7.61 8.20 6.66 6.53 8.71 8.53 7.68 8.83 fxVol 3m 6.27 7.47 8.25 6.50 6.37 8.03 8.18 7.70 8.77 fxVol 6m 6.89 7.81 8.85 6.98 6.77 8.39 8.49 8.21 9.24 fxVol 1y 7.29 8.26 9.26 7.58 7.31 8.74 8.98 8.76 9.76 fxVol 2y 7.73 8.78 9.43 8.09 7.78 9.13 9.41 9.28 10.24 ------------------------------------------------------------------------------- Realized 1m 8.09 8.96 6.51 7.37 6.75 8.77 9.92 7.40 7.95 5.84 Realized 3m 7.45 8.72 7.23 7.32 7.62 8.48 8.76 7.36 8.87 5.56 ------------------------------------------------------------------------------- Gamma 2y 43.5 15.7 38.3 9.8 37.8 57.9 27.8 33.3 40.8 43.4 48.0 Realized 1m 30.3 10.0 33.9 3.4 13.9 31.3 18.7 22.5 35.9 35.0 29.8 Realized 3m 32.2 10.4 35.7 5.3 14.5 41.8 22.8 16.2 36.1 27.9 36.6 ------------------------------------------------------------------------------- Gamma 5y 54.4 31.1 49.2 11.5 34.9 54.5 40.1 46.7 49.8 57.8 47.0 Realized 1m 41.4 22.3 46.9 9.5 19.8 38.9 28.6 28.5 45.8 36.1 35.9 Realized 3m 48.3 27.1 50.4 10.0 20.7 41.9 32.2 29.4 45.0 36.6 37.4 ------------------------------------------------------------------------------- Gamma 10y 58.2 38.8 54.5 15.6 42.3 54.2 44.3 45.6 55.4 64.8 50.9 Realized 1m 51.1 30.9 47.2 13.2 27.7 43.9 34.3 34.4 55.9 47.6 41.7 Realized 3m 54.1 35.5 51.1 13.7 27.9 43.9 37.3 35.7 51.8 44.8 38.1 ------------------------------------------------------------------------------- irVol 1m2y 34.1 11.1 33.9 7.2 35.9 46.5 20.3 31.1 30.2 34.4 46.3 irVol 1m5y 47.9 25.6 43.8 8.7 34.4 44.9 32.2 41.3 43.6 54.5 46.3 irVol 1m10y 52.7 31.9 48.5 11.7 35.4 48.6 39.9 39.5 52.1 61.9 50.8 irVol 1m30y 54.6 35.0 46.6 24.2 irVol 3m2y 38.3 12.3 36.1 8.8 36.7 51.0 23.8 29.7 36.3 40.6 46.6 irVol 3m5y 50.2 26.9 46.9 10.4 34.7 49.3 34.8 40.9 47.8 56.7 46.5 irVol 3m10y 54.5 33.8 51.8 13.7 37.9 51.8 40.3 40.0 53.9 64.0 50.8 irVol 3m30y 54.6 36.4 49.2 24.4 irVol 1y1y 43.7 18.1 34.3 10.6 38.0 59.3 32.0 45.3 43.6 48.3 46.6 irVol 1y2y 51.3 24.8 42.6 11.2 39.2 68.4 38.1 50.9 47.4 51.8 48.1 irVol 1y5y 60.5 38.4 55.8 13.1 40.3 58.9 46.8 57.0 53.9 59.6 46.8 irVol 1y10y 63.1 46.0 61.0 17.9 48.8 56.3 51.9 54.9 58.1 65.8 50.4 irVol 1y30y 60.1 47.0 58.0 29.8 irVol 2y2y 62.0 37.4 54.3 13.9 49.1 74.2 49.2 58.8 58.7 58.7 50.6 irVol 2y5y 66.8 47.0 63.4 16.1 52.3 63.6 55.6 63.9 60.2 63.0 47.1 irVol 2y10y 68.3 52.8 66.4 21.3 58.1 58.2 59.2 62.9 61.5 67.7 49.0 irVol 2y30y 63.1 52.5 62.5 30.0 irVol 5y5y 74.3 61.9 72.9 22.5 irVol 5y10y 72.3 63.7 70.7 27.1 irVol 5y30y 64.6 57.2 64.8 33.3 irVol 10y10y 67.9 65.3 68.4 31.7 irVol 10y30y 59.2 54.3 60.5 38.0

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

Implied Vol Below Realized

Cheapest 1m Implied Vol vs Realized: Ratio vImpl vReal Cheap 0.58 43.6 75.8 AUD_1y1y 0.71 48.3 68.0 NZD_1y1y 0.74 34.3 46.4 GBP_1y1y 0.82 6.7 8.1 EUR 0.83 17.8 21.4 NOK_1y 0.84 30.2 35.9 AUD_2y 0.85 7.6 9.0 GBP 0.86 8.5 9.9 NOK 0.89 11.7 13.2 JPY_10y 0.90 6.7 7.4 CHF 0.92 8.7 9.5 JPY_5y 0.92 20.9 22.6 NZD_1y 0.93 52.1 55.9 AUD_10y 0.93 43.8 46.9 GBP_5y 0.95 43.6 45.8 AUD_5y 0.97 6.5 6.8 CAD 0.97 43.7 45.1 USD_1y1y 0.98 34.4 35.0 NZD_2y 0.99 54.6 55.4 USD_30y 0.99 8.7 8.8 SEK 0.99 17.5 17.6 AUD_1y

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

Crossed 200dma

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

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

Highest + Lowest RSI

Highest + Lowest RSI: RSI=98.1 4.638 Shibor RSI=97.7 1.610 KRW_3m RSI=96.5 1.454 USD_3m RSI=90.2 0.462 Sonia RSI=87.5 0.523 GBP_3m RSI=77.2 -0.419 SPA_2s5s10s_Bond RSI=75.3 1.738 USD_1y RSI=72.5 8203.8 XBT RSI=71.4 568.47 MSCIAP RSI=71.2 6867.4 Nasdaq ---------------- RSI=25.3 4.135 GRE_5y_Bond RSI=24.8 1.114 SPA_5s10s_Bond RSI=24.1 -0.367 ITA_2y_Bond RSI=23.5 3.215 POR_30y_Bond RSI=22.9 -0.227 POR_2y_Bond RSI=21.3 -0.876 SEK_2y_Bond RSI=20.4 1086.3 KRW RSI=17.6 0.525 POR_5y_Bond RSI=15.7 -0.626 SEK_3m RSI= 0.2 -0.751 CHF_3m

#rsi, #curve, #gre, #usd, #por, #fx, #xbt, #cnh, #krw, #asia, #spa, #sek, #gbp, #fly, #stock, #fixing, #eur, #em, #chf, #rate, #ita

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

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

Crossed 200dma

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

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

Highest + Lowest RSI

Highest + Lowest RSI: RSI=98.0 4.624 Shibor RSI=97.7 1.610 KRW_3m RSI=95.9 1.446 USD_3m RSI=91.4 0.526 GBP_3m RSI=90.2 0.462 Sonia RSI=86.1 1.756 USD_1y RSI=82.5 1.772 USD_2y_Bond RSI=77.0 -0.423 SPA_2s5s10s_Bond RSI=74.9 1.943 USD_2y RSI=73.8 4.6462 EURTRY ---------------- RSI=22.9 98.213 Eurodollar_Whites RSI=22.5 107.391 2yNote RSI=22.4 1090.8 KRW RSI=22.2 0.659 USD_5s30s_Bond RSI=22.1 4.121 GRE_5y_Bond RSI=21.8 0.402 USD_10s30s_Bond RSI=19.5 -0.879 SEK_2y_Bond RSI=18.5 0.541 POR_5y_Bond RSI= 8.9 -0.632 SEK_3m RSI= 0.2 -0.751 CHF_3m

#rsi, #rate, #cnh, #fixing, #fx, #em, #chf, #future, #krw, #sek, #usd, #spa, #curve, #por, #gbp, #eur, #fly, #gre, #try

Biggest Market Moves

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

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

Z-Score Outliers

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


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

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

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

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

New 10y Low: SEK_2y_Bond=-0.879 #sek #rate https://t.co/Rs66qPDjQ4

New 10y Low: SEK_2y_Bond=-0.879
#sek #rate https://t.co/Rs66qPDjQ4

Rate Recap

Rate USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- Bond 2y 1.31 -0.70 0.11 -0.20 0.29 0.68 -0.63 0.68 1.71 2.06 1.58 Bond 5y 1.89 -0.32 0.53 -0.15 0.99 -0.03 1.04 2.17 2.41 1.88 Bond 10y 2.35 0.39 1.12 0.02 -0.07 1.54 0.62 1.67 2.64 3.02 2.21 Bond 30y 3.00 1.18 1.78 0.80 0.39 2.15 2.38 ------------------------------------------------------------------------------- Bond 2s5s 0.58 0.38 0.43 0.04 0.31 0.60 0.46 0.35 0.30 Bond 2s10s 1.05 1.09 1.01 0.22 -0.37 0.85 1.25 0.93 0.95 0.63 Bond 5s10s 0.47 0.72 0.58 0.17 0.55 0.65 0.63 0.47 0.61 0.33 Bond 5s30s 1.11 1.50 1.25 0.95 1.15 0.50 Bond 10s30s 0.64 0.79 0.66 0.78 0.46 0.61 0.17 Bond 2s5s10s 0.11 -0.34 -0.16 -0.13 -0.24 -0.05 -0.01 -0.26 -0.02 Bond5s10s30s -0.18 -0.07 -0.08 -0.60 -0.06 0.15 ------------------------------------------------------------------------------- Central Bank 1.00 -0.40 0.25 -0.10 -0.75 0.50 -0.50 0.50 1.50 1.75 1.25 OIS 0.91 -0.36 0.21 3m 1.17 -0.33 0.32 0.00 -0.73 0.91 -0.48 0.93 1.74 1.98 1.38 1y 1.40 -0.31 0.37 0.03 -0.66 0.93 -0.46 1.02 1.75 2.07 1.47 1y1y 1.79 -0.15 0.53 0.03 -0.54 1.13 -0.12 1.17 2.02 2.56 1.64 2y 1.60 -0.14 0.58 0.03 -0.60 1.02 -0.28 1.20 1.89 2.31 1.55 2y2y 2.18 0.34 0.91 0.07 -0.21 1.47 0.56 1.74 2.48 3.20 1.80 5y 1.98 0.23 0.82 0.07 -0.29 1.35 0.33 1.54 2.30 2.91 1.73 5y5y 2.66 1.47 1.57 0.38 0.69 2.27 1.98 2.43 3.35 3.94 2.10 10y 2.30 0.83 1.19 0.22 0.20 1.79 1.13 1.96 2.92 3.40 1.91 10y10y 2.81 2.02 1.78 1.05 0.93 2.91 2.64 2.40 3.71 4.50 1.99 20y 2.53 1.38 1.46 0.63 0.55 2.29 1.81 2.15 3.27 1.95 30y 2.55 1.47 1.45 0.79 0.67 2.29 1.92 2.17 3.33 1.95 ------------------------------------------------------------------------------- 2s5s 0.38 0.37 0.25 0.04 0.31 0.32 0.61 0.34 0.41 0.60 0.17 2s10s 0.70 0.97 0.61 0.20 0.80 0.77 1.41 0.77 1.03 1.09 0.35 5s10s 0.32 0.60 0.36 0.16 0.49 0.45 0.80 0.42 0.62 0.49 0.18 5s30s 0.57 1.24 0.62 0.72 0.96 0.94 1.58 0.62 1.03 0.22 10s30s 0.25 0.63 0.26 0.56 0.47 0.50 0.79 0.20 0.41 0.04 2s5s10s 0.06 -0.23 -0.12 -0.12 -0.18 -0.12 -0.19 -0.07 -0.20 0.11 -0.01 5s10s30s 0.07 -0.03 0.10 -0.41 0.02 -0.05 0.01 0.21 0.21 0.14

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

Vol Recap

Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- fxVol 1m 7.70 7.00 8.36 6.28 7.14 8.00 8.18 8.06 8.34 fxVol 3m 7.76 7.79 8.89 6.73 7.20 8.38 8.75 8.58 8.98 fxVol 6m 7.74 8.07 9.17 6.89 7.34 8.56 9.02 8.96 9.38 fxVol 1y 7.84 8.42 9.37 7.22 7.58 8.77 9.32 9.35 9.80 fxVol 2y 7.93 8.69 9.59 7.34 7.98 8.84 9.51 9.77 10.33 ------------------------------------------------------------------------------- Realized 1m 7.56 9.83 8.11 5.42 5.27 9.35 8.32 8.50 7.22 7.58 Realized 3m 7.50 8.42 8.11 6.17 5.72 8.18 8.01 8.32 7.90 8.85 ------------------------------------------------------------------------------- Gamma 2y 50.9 26.1 34.2 12.2 53.9 44.2 35.4 60.7 43.0 48.8 37.1 Realized 1m 41.8 15.2 14.5 5.1 22.8 33.1 18.9 14.2 59.0 20.1 19.8 Realized 3m 41.9 15.1 19.5 4.7 22.5 28.4 19.8 19.8 52.9 28.5 21.5 ------------------------------------------------------------------------------- Gamma 5y 68.6 44.2 54.3 15.2 47.9 60.6 51.3 67.0 65.8 65.4 47.9 Realized 1m 61.0 31.0 30.2 15.6 31.4 52.8 37.2 26.5 36.6 33.1 32.0 Realized 3m 64.1 41.0 41.2 11.7 32.3 50.2 40.4 33.3 45.8 37.1 33.0 ------------------------------------------------------------------------------- Gamma 10y 72.1 55.7 64.9 18.7 51.9 63.0 61.6 65.3 74.4 72.0 49.6 Realized 1m 64.6 39.0 32.9 15.4 41.5 57.5 47.2 36.5 68.1 43.5 42.9 Realized 3m 66.0 46.1 46.1 14.6 44.8 58.8 45.6 43.7 64.9 44.9 41.3 ------------------------------------------------------------------------------- irVol 1m2y 44.5 17.0 26.3 10.2 53.9 38.0 21.6 47.8 31.7 37.6 36.5 irVol 1m5y 64.0 37.7 46.6 13.0 47.9 60.6 39.7 63.5 55.5 61.4 47.4 irVol 1m10y 65.0 46.5 55.9 14.6 49.7 63.0 49.5 57.6 67.3 68.7 49.3 irVol 1m30y 62.3 56.0 56.7 34.4 irVol 3m2y 47.4 22.1 30.2 11.6 48.8 39.5 28.1 53.4 38.6 45.5 37.1 irVol 3m5y 67.0 43.1 50.1 14.6 45.1 58.9 47.4 67.0 63.0 64.2 47.9 irVol 3m10y 69.8 53.4 61.4 17.3 50.9 61.5 57.7 62.9 73.0 71.2 49.6 irVol 3m30y 66.2 63.0 61.2 34.6 irVol 1y1y 49.4 26.8 34.7 12.2 42.2 40.8 38.7 65.0 48.5 54.7 34.2 irVol 1y2y 60.1 32.9 43.2 13.4 43.3 54.4 45.1 68.4 58.0 59.5 37.4 irVol 1y5y 72.9 49.0 60.3 16.5 45.7 59.7 58.3 73.0 68.9 67.6 46.8 irVol 1y10y 75.1 59.7 69.6 20.8 55.2 59.3 65.1 71.0 75.4 73.3 48.8 irVol 1y30y 71.3 64.2 69.0 35.7 irVol 2y2y 72.8 45.8 56.6 16.5 53.2 58.2 58.5 73.6 68.7 67.8 41.4 irVol 2y5y 77.0 55.7 67.9 19.5 57.1 62.1 65.0 75.9 71.8 71.0 45.0 irVol 2y10y 77.6 63.5 72.5 24.0 63.5 58.0 69.2 75.0 74.0 75.2 47.4 irVol 2y30y 72.3 64.1 69.9 34.9 irVol 5y5y 81.1 67.6 76.3 25.8 irVol 5y10y 78.8 69.0 73.5 30.4 irVol 5y30y 69.4 61.9 67.8 37.6 irVol 10y10y 70.7 67.9 68.1 34.4 irVol 10y30y 61.8 55.6 60.2 40.1

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

Implied Vol Below Realized

Cheapest 1m Implied Vol vs Realized: Ratio vImpl vReal Cheap 0.42 48.5 115.4 AUD_1y1y 0.54 31.7 59.0 AUD_2y 0.68 40.8 59.6 CAD_1y1y 0.71 7.0 9.8 GBP 0.77 49.4 64.4 USD_1y1y 0.81 18.4 22.8 AUD_1y 0.83 13.0 15.6 JPY_5y 0.86 8.0 9.3 SEK 0.95 14.6 15.4 JPY_10y 0.95 8.1 8.5 AUD 0.98 8.2 8.3 NOK 0.99 67.3 68.1 AUD_10y

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

Crossed 200dma

Crossed 200dma: -0.203 AUD_2s5s10s 1.711 AUD_2y_Bond 160.900 Bund 1.025 CAD_2y 1.154 CAD_5s30s_Bond 0.016 CHF_5s10s30s 7.70 CHF_Vol1w 98.80 DXY 0.662 GBP_10s30s_Bond 1.116 GBP_10y_Bond 0.579 GBP_2y 1.778 GBP_30y_Bond 0.625 NOK_5s30s 9.76 NOK_Vol1w 0.778 POR_5s10s30s_Bond -0.631 SEK_2y_Bond 0.704 USD_2s10s 0.114 USD_2s5s10s_Bond 13.656 ZAR

#dma, #dxy, #future, #aud, #cad, #usd, #eur, #fly, #sek, #chf, #fx, #zar, #fxvol, #em, #nok, #por, #gbp, #rate, #curve

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

Z-Score Outliers

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


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

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

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

New Highs & Lows

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


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

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

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

1mVol Implied < Realized: SEK r0.86 #fxvol #fx #histvol #sek https://t

1mVol Implied < Realized: SEK r0.86
#fxvol #fx #histvol #sek https://t.co/iXBkfI1xhm

Crossed 200dma: SEK_2y_Bond=-0.631 #dma #sek #rate #dma https://t.co/Z1Uh

Crossed 200dma: SEK_2y_Bond=-0.631
#dma #sek #rate #dma https://t.co/Z1UhEBOhpN

Rate Recap

Rate USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- Bond 2y 1.29 -0.72 0.07 -0.20 0.25 0.70 -0.65 0.67 1.67 2.04 1.58 Bond 5y 1.85 -0.37 0.49 -0.15 1.00 -0.06 1.04 2.13 2.37 1.90 Bond 10y 2.32 0.33 1.07 0.02 -0.12 1.54 0.58 1.63 2.59 2.97 2.24 Bond 30y 2.97 1.11 1.73 0.80 0.34 2.15 2.41 ------------------------------------------------------------------------------- Bond 2s5s 0.56 0.34 0.42 0.04 0.30 0.58 0.46 0.33 0.31 Bond 2s10s 1.02 1.04 1.00 0.22 -0.37 0.84 1.23 0.92 0.94 0.65 Bond 5s10s 0.47 0.70 0.58 0.17 0.55 0.65 0.60 0.46 0.60 0.34 Bond 5s30s 1.12 1.48 1.23 0.95 1.15 0.51 Bond 10s30s 0.65 0.78 0.65 0.78 0.46 0.60 0.17 Bond 2s5s10s 0.09 -0.36 -0.16 -0.13 -0.25 -0.07 0.00 -0.27 -0.03 Bond5s10s30s -0.18 -0.08 -0.07 -0.60 -0.06 0.17 ------------------------------------------------------------------------------- Central Bank 1.00 -0.40 0.25 -0.10 -0.75 0.50 -0.50 0.50 1.50 1.75 1.25 OIS 0.91 -0.36 0.21 3m 1.17 -0.33 0.32 0.00 -0.73 0.91 -0.48 0.94 1.74 1.98 1.38 1y 1.39 -0.33 0.37 0.03 -0.67 0.94 -0.45 1.03 1.75 2.07 1.48 1y1y 1.77 -0.17 0.51 0.03 -0.57 1.16 -0.13 1.16 2.01 2.58 1.65 2y 1.58 -0.16 0.56 0.03 -0.62 1.04 -0.29 1.20 1.87 2.31 1.57 2y2y 2.14 0.30 0.87 0.07 -0.24 1.49 0.52 1.72 2.44 3.17 1.82 5y 1.96 0.21 0.79 0.07 -0.32 1.36 0.29 1.52 2.27 2.89 1.75 5y5y 2.62 1.39 1.52 0.38 0.60 2.28 1.93 2.38 3.32 3.92 2.14 10y 2.27 0.80 1.15 0.22 0.14 1.79 1.08 1.93 2.90 3.38 1.93 10y10y 2.77 1.97 1.73 1.05 0.91 2.90 2.59 2.37 3.70 4.42 2.03 20y 2.49 1.33 1.42 0.63 0.51 2.29 1.77 2.12 3.25 1.98 30y 2.52 1.42 1.41 0.79 0.62 2.29 1.88 2.13 3.30 1.98 ------------------------------------------------------------------------------- 2s5s 0.37 0.36 0.23 0.04 0.30 0.32 0.58 0.33 0.40 0.58 0.18 2s10s 0.69 0.96 0.59 0.19 0.76 0.75 1.37 0.73 1.02 1.07 0.36 5s10s 0.31 0.59 0.36 0.15 0.46 0.43 0.79 0.41 0.62 0.49 0.18 5s30s 0.56 1.21 0.61 0.72 0.95 0.92 1.58 0.61 1.03 0.23 10s30s 0.25 0.62 0.26 0.56 0.48 0.49 0.79 0.20 0.41 0.04 2s5s10s 0.06 -0.23 -0.12 -0.11 -0.16 -0.11 -0.21 -0.08 -0.23 0.09 -0.01 5s10s30s 0.06 -0.02 0.10 -0.41 -0.02 -0.06 -0.00 0.20 0.22 0.14

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

Vol Recap

Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- fxVol 1m 7.47 7.19 8.45 5.98 7.18 7.93 8.05 7.72 8.40 fxVol 3m 7.57 7.98 8.97 6.46 7.18 8.23 8.51 8.43 8.86 fxVol 6m 7.70 8.24 9.25 6.79 7.38 8.51 8.87 8.87 9.37 fxVol 1y 7.84 8.55 9.43 7.18 7.58 8.79 9.27 9.27 9.76 fxVol 2y 7.94 8.82 9.67 7.36 7.98 8.88 9.43 9.67 10.27 ------------------------------------------------------------------------------- Realized 1m 7.05 9.80 8.03 4.79 5.29 9.34 8.31 8.52 7.22 7.61 Realized 3m 7.29 8.66 8.13 5.93 5.74 8.17 8.00 8.55 7.91 9.01 ------------------------------------------------------------------------------- Gamma 2y 51.3 25.6 33.8 12.2 53.9 44.3 35.2 59.3 43.2 48.2 38.5 Realized 1m 42.3 14.4 12.4 5.1 22.8 32.9 19.4 14.2 59.6 20.2 18.9 Realized 3m 41.9 15.0 20.7 4.6 22.3 28.2 20.4 20.0 53.1 28.5 21.3 ------------------------------------------------------------------------------- Gamma 5y 68.7 43.8 53.7 15.2 47.9 60.9 51.4 66.3 66.1 64.8 50.4 Realized 1m 61.8 31.5 29.4 15.6 30.5 53.2 35.5 25.8 35.3 32.8 30.8 Realized 3m 63.9 40.9 42.2 11.7 31.9 50.3 41.4 33.7 45.8 36.9 32.7 ------------------------------------------------------------------------------- Gamma 10y 72.3 55.2 64.6 18.7 51.9 63.7 61.8 65.1 74.9 71.3 51.9 Realized 1m 64.1 38.2 31.8 15.5 37.4 57.9 44.6 34.6 69.2 44.0 41.6 Realized 3m 65.6 46.4 46.3 14.9 43.7 58.9 47.0 43.9 64.7 45.0 41.0 ------------------------------------------------------------------------------- irVol 1m2y 44.2 17.7 25.1 10.2 53.9 38.1 22.4 49.8 31.9 37.2 37.8 irVol 1m5y 63.5 38.0 46.2 13.0 47.9 60.9 40.4 64.2 55.9 60.9 48.3 irVol 1m10y 64.5 45.1 55.4 14.6 49.7 63.7 49.1 56.3 67.9 68.1 49.8 irVol 1m30y 61.9 54.5 56.2 34.5 irVol 3m2y 47.0 22.9 28.9 11.6 48.8 39.4 29.1 55.3 38.8 44.4 38.5 irVol 3m5y 66.3 42.2 49.4 14.6 45.1 59.2 47.4 65.6 63.0 63.2 48.9 irVol 3m10y 69.1 51.5 60.6 17.3 50.9 61.8 57.7 61.2 73.2 70.3 50.1 irVol 3m30y 66.1 60.8 60.7 34.7 irVol 1y1y 49.7 26.3 34.4 12.2 42.2 40.8 38.6 64.5 49.4 53.7 33.3 irVol 1y2y 60.4 32.3 43.1 13.4 43.3 54.4 45.0 66.9 58.2 58.8 37.3 irVol 1y5y 72.6 48.5 59.7 16.5 45.7 60.0 58.1 72.5 69.9 66.9 45.4 irVol 1y10y 75.0 59.1 69.3 20.8 55.2 59.5 64.9 70.5 76.0 72.4 48.3 irVol 1y30y 71.2 63.3 68.7 35.8 irVol 2y2y 73.0 44.4 56.8 16.5 53.2 58.2 58.2 71.1 68.2 67.2 41.4 irVol 2y5y 77.0 55.2 67.9 19.5 57.1 62.4 64.6 75.2 72.1 70.4 43.3 irVol 2y10y 77.7 63.0 72.5 24.0 63.5 58.2 68.9 74.8 74.3 74.3 44.7 irVol 2y30y 72.4 63.5 70.0 37.6 irVol 5y5y 81.1 67.6 76.6 25.8 irVol 5y10y 78.7 68.8 73.8 30.4 irVol 5y30y 69.4 61.7 68.0 40.5 irVol 10y10y 70.8 67.7 68.2 34.4 irVol 10y30y 61.9 55.3 60.2 42.3

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

Implied Vol Below Realized

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

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

Biggest Vol Moves

Biggest Vol Moves: +9.2% +1.3 15.4 EUR_1m1y_bpVol +9.0% +1.7 20.6 SEK_1m1y_bpVol +8.9% +4.4 53.8 NOK_1m1y_bpVol +8.7% +3.1 38.9 JPY_3y30y_bpVol +7.9% +2.9 39.7 JPY_4y30y_bpVol +7.7% +2.7 37.6 JPY_2y30y_bpVol +7.7% +2.9 40.5 JPY_5y30y_bpVol +7.2% +2.8 41.6 JPY_7y30y_bpVol +5.5% +2.2 42.3 JPY_10y30y_bpVol +4.2% +2.0 49.4 AUD_1y1y_bpVol ------------------------ -6.6% -2.7 38.1 CAD_1m2y_bpVol -7.2% -5.0 64.2 NOK_1m5y_bpVol -7.3% -3.2 40.8 CAD_1y1y_bpVol -7.3% -3.1 39.4 CAD_3m2y_bpVol -7.4% -0.74 9.27 NOK_Vol1w -8.1% -0.65 7.34 CAD_Vol1w -8.2% -3.6 40.4 SEK_1m5y_bpVol -8.2% -3.4 38.0 EUR_1m5y_bpVol -8.5% -3.0 32.2 CAD_6m1y_bpVol -12.6% -0.98 6.81 CHF_Vol1w

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

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

1mVol Implied < Realized: SEK r0.85 #fxvol #sek #histvol #fx https://t

1mVol Implied < Realized: SEK r0.85
#fxvol #sek #histvol #fx https://t.co/OwRvZclwuW

Outlier 1y Zscore: -2.54 for SEK_Vol2y=8.88 #fxvol #sek #zscore #zscore h

Outlier 1y Zscore: -2.54 for SEK_Vol2y=8.88
#fxvol #sek #zscore #zscore https://t.co/6ANTajX0aq

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

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 Market Moves

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

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

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

1mVol Implied < Realized: SEK r0.87 #fx #fxvol #sek #histvol https://t

1mVol Implied < Realized: SEK r0.87
#fx #fxvol #sek #histvol https://t.co/H6hdtCuuqX

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

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

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

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

1mVol Implied < Realized: SEK r0.89 #sek #fxvol #histvol #fx https://t

1mVol Implied < Realized: SEK r0.89
#sek #fxvol #histvol #fx https://t.co/mEXyMIQvZ5

Crossed 200dma: SEK_Vol1w=10.21 #dma #sek #fxvol #dma https://t.co/pieJHT

Crossed 200dma: SEK_Vol1w=10.21
#dma #sek #fxvol #dma https://t.co/pieJHTl1NA

Rate Recap

Rate USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- Bond 2y 1.26 -0.74 0.07 -0.19 0.23 0.73 -0.64 0.66 1.68 2.10 1.58 Bond 5y 1.82 -0.40 0.49 -0.14 1.03 -0.08 1.04 2.14 2.46 1.86 Bond 10y 2.29 0.30 1.06 0.02 -0.12 1.58 0.58 1.62 2.61 3.07 2.19 Bond 30y 2.96 1.07 1.72 0.80 0.33 2.18 2.37 ------------------------------------------------------------------------------- Bond 2s5s 0.56 0.34 0.42 0.04 0.30 0.57 0.47 0.36 0.28 Bond 2s10s 1.04 1.03 0.99 0.21 -0.35 0.84 1.23 0.94 0.97 0.62 Bond 5s10s 0.47 0.70 0.57 0.17 0.54 0.66 0.59 0.47 0.62 0.34 Bond 5s30s 1.14 1.47 1.23 0.95 1.15 0.51 Bond 10s30s 0.67 0.77 0.66 0.78 0.44 0.60 0.17 Bond 2s5s10s 0.09 -0.36 -0.15 -0.12 -0.24 -0.09 -0.00 -0.26 -0.05 Bond5s10s30s -0.20 -0.08 -0.09 -0.61 -0.06 0.16 ------------------------------------------------------------------------------- Central Bank 1.00 -0.40 0.25 -0.10 -0.75 0.50 -0.50 0.50 1.50 1.75 1.25 OIS 0.90 -0.36 0.21 3m 1.17 -0.33 0.33 0.00 -0.73 0.92 -0.47 0.96 1.75 1.97 1.39 1y 1.38 -0.31 0.36 0.03 -0.68 0.97 -0.45 1.03 1.75 2.07 1.48 1y1y 1.74 -0.17 0.49 0.03 -0.57 1.20 -0.13 1.15 1.98 2.55 1.63 2y 1.57 -0.15 0.55 0.03 -0.63 1.08 -0.29 1.19 1.86 2.31 1.55 2y2y 2.12 0.27 0.85 0.07 -0.26 1.50 0.49 1.69 2.42 3.17 1.79 5y 1.94 0.18 0.78 0.07 -0.33 1.38 0.29 1.50 2.29 2.90 1.72 5y5y 2.63 1.38 1.50 0.38 0.58 2.26 1.90 2.36 3.27 3.93 2.10 10y 2.27 0.77 1.13 0.22 0.12 1.81 1.07 1.91 2.86 3.39 1.90 10y10y 2.79 1.93 1.71 1.05 0.93 2.92 2.59 2.37 3.68 4.47 2.00 20y 2.50 1.31 1.40 0.63 0.52 2.31 1.76 2.12 3.23 1.94 30y 2.53 1.39 1.39 0.78 0.61 2.28 1.86 2.12 3.30 1.94 ------------------------------------------------------------------------------- 2s5s 0.37 0.33 0.23 0.04 0.30 0.29 0.58 0.32 0.43 0.58 0.17 2s10s 0.70 0.92 0.58 0.20 0.75 0.72 1.36 0.72 1.01 1.08 0.34 5s10s 0.33 0.59 0.35 0.15 0.46 0.43 0.79 0.41 0.58 0.50 0.18 5s30s 0.59 1.21 0.60 0.71 0.94 0.91 1.57 0.62 1.01 0.22 10s30s 0.27 0.61 0.26 0.56 0.48 0.47 0.79 0.21 0.44 0.04 2s5s10s 0.04 -0.26 -0.12 -0.12 -0.16 -0.14 -0.21 -0.09 -0.15 0.09 -0.01 5s10s30s 0.06 -0.02 0.09 -0.40 -0.03 -0.04 0.00 0.19 0.14 0.14

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

Vol Recap

Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- fxVol 1m 7.93 7.64 8.78 6.22 7.05 8.11 8.34 7.77 8.29 fxVol 3m 7.81 8.24 9.23 6.77 7.16 8.50 8.90 8.37 8.74 fxVol 6m 7.88 8.44 9.35 6.95 7.28 8.73 9.18 8.75 9.16 fxVol 1y 8.05 8.77 9.55 7.33 7.52 8.99 9.59 9.26 9.66 fxVol 2y 8.11 9.04 9.74 7.52 7.94 9.02 9.77 9.66 10.17 ------------------------------------------------------------------------------- Realized 1m 7.64 9.75 8.50 4.68 5.52 9.86 8.49 6.54 6.54 7.52 Realized 3m 7.48 8.77 8.56 6.05 6.01 8.30 8.13 7.96 7.74 9.52 ------------------------------------------------------------------------------- Gamma 2y 50.7 25.7 34.3 12.6 53.9 57.2 36.0 59.8 42.7 54.5 37.7 Realized 1m 45.4 14.4 16.2 5.2 23.9 29.8 20.0 14.8 56.8 25.7 20.1 Realized 3m 41.6 14.5 20.9 4.7 22.3 26.4 20.4 20.7 52.2 28.7 21.4 ------------------------------------------------------------------------------- Gamma 5y 68.8 45.7 54.2 15.6 47.9 69.9 53.6 69.2 66.5 64.3 50.4 Realized 1m 68.0 32.7 35.0 16.0 32.2 52.2 36.9 26.7 40.3 38.5 31.6 Realized 3m 63.5 40.8 42.9 11.8 32.1 49.0 41.7 35.6 46.2 36.8 32.6 ------------------------------------------------------------------------------- Gamma 10y 72.4 55.6 65.0 19.2 51.9 68.3 62.2 66.2 75.2 71.0 51.9 Realized 1m 71.1 39.1 37.6 16.1 39.6 57.3 46.0 35.0 68.1 46.7 42.5 Realized 3m 65.1 46.9 48.1 15.1 44.2 57.1 47.2 46.3 63.3 44.3 40.8 ------------------------------------------------------------------------------- irVol 1m2y 42.9 18.9 25.2 10.9 53.9 47.6 24.0 53.8 32.6 32.0 37.0 irVol 1m5y 63.0 39.3 46.4 14.0 47.9 69.9 41.8 66.1 57.6 61.2 49.1 irVol 1m10y 64.0 45.9 55.4 15.6 49.7 65.8 49.8 56.9 71.1 68.6 50.9 irVol 1m30y 61.4 55.7 56.2 35.3 irVol 3m2y 47.1 23.2 29.2 11.8 48.8 53.8 29.4 56.6 38.6 47.1 37.6 irVol 3m5y 67.0 44.8 50.0 14.9 45.1 65.4 50.3 69.2 63.9 63.3 49.6 irVol 3m10y 69.9 52.3 61.0 17.4 50.9 68.3 58.6 61.8 74.2 70.6 51.2 irVol 3m30y 66.6 60.2 61.1 35.6 irVol 1y1y 50.0 25.9 34.6 12.3 42.2 45.4 39.5 63.5 48.2 53.5 34.7 irVol 1y2y 60.6 31.8 43.5 13.9 43.3 61.4 45.6 65.9 58.8 56.4 37.6 irVol 1y5y 72.8 49.1 60.1 16.7 45.7 65.0 58.8 73.0 70.1 65.5 46.7 irVol 1y10y 75.4 59.3 69.5 21.6 55.2 65.4 65.1 71.0 76.1 71.1 48.8 irVol 1y30y 71.8 63.1 69.0 36.7 irVol 2y2y 73.7 44.5 57.4 17.1 53.2 64.0 58.9 69.7 69.2 72.8 41.4 irVol 2y5y 77.5 55.3 68.1 20.0 57.1 65.3 64.8 76.0 72.8 68.1 45.1 irVol 2y10y 78.1 63.2 72.6 24.4 63.5 63.6 69.1 75.4 74.9 72.6 47.2 irVol 2y30y 73.1 63.6 70.3 37.5 irVol 5y5y 82.1 67.0 76.6 26.9 irVol 5y10y 79.6 68.5 73.7 30.3 irVol 5y30y 70.1 61.6 68.2 40.3 irVol 10y10y 71.3 67.2 68.0 34.6 irVol 10y30y 62.6 54.8 60.1 42.3

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

Implied Vol Below Realized

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

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

Crossed 200dma

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

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

Biggest Rates Moves

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

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

Biggest Vol Moves

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

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

Biggest Market Moves

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

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

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

1mVol Implied < Realized: SEK r0.82 #fx #histvol #fxvol #sek https://t

1mVol Implied < Realized: SEK r0.82
#fx #histvol #fxvol #sek https://t.co/Uai0Sg8vxw

Crossed 200dma: SEK_5s10s=0.786 #dma #rate #dma #curve #sek https://t.co/

Crossed 200dma: SEK_5s10s=0.786
#dma #rate #dma #curve #sek https://t.co/fVR7r4h8Db

Crossed 200dma: SEK_2y_Bond=-0.644 #dma #rate #dma #sek https://t.co/2sx8

Crossed 200dma: SEK_2y_Bond=-0.644
#dma #rate #dma #sek https://t.co/2sx8G4xrJN

Crossed 200dma: EURSEK=9.606 #dma #dma #eur #fx #sek https://t.co/74PfsKx

Crossed 200dma: EURSEK=9.606
#dma #dma #eur #fx #sek https://t.co/74PfsKx8bP

Rate Recap

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

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

Vol Recap

Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- fxVol 1m 8.49 7.69 9.25 6.69 7.10 8.61 8.68 7.80 8.32 fxVol 3m 8.17 8.37 9.49 7.05 7.06 8.83 9.13 8.30 8.73 fxVol 6m 8.15 8.53 9.52 7.20 7.23 9.01 9.39 8.73 9.11 fxVol 1y 8.20 8.85 9.63 7.49 7.47 9.15 9.72 9.24 9.61 fxVol 2y 8.27 9.10 9.81 7.66 7.90 9.18 9.89 9.66 10.21 ------------------------------------------------------------------------------- Realized 1m 7.75 9.76 8.48 4.89 5.83 9.52 8.52 6.88 6.67 7.71 Realized 3m 7.57 8.75 8.85 6.04 6.01 8.15 8.13 8.01 7.85 9.70 ------------------------------------------------------------------------------- Gamma 2y 51.4 26.5 34.3 12.6 53.9 55.8 37.1 61.8 42.4 63.4 38.2 Realized 1m 45.8 13.2 16.8 5.1 24.3 30.0 18.1 16.3 58.4 25.9 20.2 Realized 3m 41.4 13.9 21.1 4.9 22.3 26.4 19.7 21.0 52.2 28.8 22.6 ------------------------------------------------------------------------------- Gamma 5y 69.5 46.3 54.2 15.6 47.9 70.4 54.4 73.1 67.0 63.9 50.2 Realized 1m 68.9 36.9 36.6 15.1 33.6 52.9 33.4 27.1 40.5 38.5 31.6 Realized 3m 63.4 40.3 43.5 11.7 31.9 49.0 40.8 36.3 46.4 37.6 34.3 ------------------------------------------------------------------------------- Gamma 10y 72.9 56.0 65.0 19.2 51.9 99.5 62.8 67.5 75.6 70.5 51.9 Realized 1m 71.8 40.6 40.0 14.9 40.3 57.7 40.3 35.0 69.0 46.8 42.4 Realized 3m 65.1 46.7 49.4 15.3 43.6 57.0 45.6 46.7 63.3 45.5 42.5 ------------------------------------------------------------------------------- irVol 1m2y 48.4 22.0 26.5 11.1 53.9 46.7 27.9 61.7 32.9 50.9 37.7 irVol 1m5y 68.4 43.1 48.1 14.1 47.9 70.4 45.9 73.1 59.1 60.5 48.9 irVol 1m10y 69.1 50.1 58.4 16.1 49.7 82.8 54.5 63.0 72.9 67.9 50.9 irVol 1m30y 65.6 60.9 59.2 35.4 irVol 3m2y 47.0 25.4 29.2 11.8 48.8 52.3 32.0 61.8 38.8 59.4 38.2 irVol 3m5y 67.5 45.5 50.0 15.0 45.1 64.0 51.0 71.1 64.9 62.9 49.4 irVol 3m10y 70.0 53.0 61.7 17.5 50.9 99.5 59.3 63.7 75.3 70.2 51.2 irVol 3m30y 66.7 61.0 61.9 35.6 irVol 1y1y 50.7 27.2 34.6 12.3 42.2 44.6 41.7 67.1 47.9 55.9 36.0 irVol 1y2y 61.6 33.0 43.5 13.9 43.3 60.3 47.6 68.1 59.6 68.5 37.9 irVol 1y5y 73.8 49.6 60.1 16.7 45.7 70.1 60.0 74.1 70.7 65.4 45.5 irVol 1y10y 76.1 59.9 69.5 21.6 55.2 92.9 66.3 72.4 76.6 71.0 48.7 irVol 1y30y 72.3 63.8 69.0 36.7 irVol 2y2y 74.6 45.9 57.4 17.1 53.2 62.5 61.5 72.6 71.2 71.6 40.5 irVol 2y5y 78.5 55.8 68.1 20.0 57.1 78.7 65.9 77.0 74.2 67.4 44.9 irVol 2y10y 78.8 63.6 72.7 24.5 63.5 88.3 69.8 76.7 76.2 71.3 47.6 irVol 2y30y 73.6 64.0 70.3 37.2 irVol 5y5y 82.5 67.3 76.6 27.1 irVol 5y10y 80.0 68.8 73.7 30.4 irVol 5y30y 70.6 61.9 68.2 40.1 irVol 10y10y 71.6 67.4 68.0 34.7 irVol 10y30y 62.9 55.3 60.1 42.3

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

Implied Vol Below Realized

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

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

Crossed 200dma

Crossed 200dma: -0.126 AUD_2s5s10s 0.117 AUD_5s10s30s 161.270 Bund -0.357 CHF_2s10s_Bond 0.004 CHF_5s10s30s -0.019 EUR_5s10s30s 8.78 EUR_Vol1w 0.348 GBP_5s10s 0.176 JPY_2s10s 0.023 JPY_2s5s 3.574 POR_10y_Bond 1.651 POR_2s5s_Bond 0.803 SEK_5s10s 0.080 USD_2s5s10s_Bond

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

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

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

Crossed 200dma: SEK_5s10s=0.803 #dma #curve #rate #sek #dma https://t.co/

Crossed 200dma: SEK_5s10s=0.803
#dma #curve #rate #sek #dma https://t.co/YBjS1UbXpJ

Rate Recap

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

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

Vol Recap

Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- fxVol 1m 8.60 7.84 9.31 6.88 6.93 8.70 8.90 7.66 8.15 fxVol 3m 8.14 8.31 9.18 6.99 6.95 8.69 8.99 7.95 8.31 fxVol 6m 8.13 8.47 9.37 7.21 7.10 8.89 9.25 8.53 8.90 fxVol 1y 8.24 8.81 9.53 7.53 7.40 9.16 9.69 9.07 9.47 fxVol 2y 8.30 9.09 9.68 7.71 7.83 9.18 9.86 9.50 10.07 ------------------------------------------------------------------------------- Realized 1m 7.91 10.40 8.63 5.46 5.76 9.68 8.58 6.42 6.13 7.78 Realized 3m 7.56 8.93 8.89 6.05 6.17 8.17 8.19 7.85 7.84 9.73 ------------------------------------------------------------------------------- Gamma 2y 52.2 26.5 35.7 12.6 53.9 51.5 36.3 61.9 46.6 64.2 39.2 Realized 1m 47.1 13.5 17.3 5.3 24.7 28.4 16.7 16.0 57.6 26.2 20.7 Realized 3m 41.4 14.0 22.0 5.3 22.3 26.6 19.9 21.1 51.7 28.7 22.9 ------------------------------------------------------------------------------- Gamma 5y 70.9 46.6 55.2 15.7 47.9 63.1 54.0 73.9 69.3 77.5 50.1 Realized 1m 70.6 35.5 38.0 13.6 34.9 52.4 32.9 27.1 40.5 38.4 31.7 Realized 3m 63.7 40.7 45.2 12.2 32.0 50.1 42.2 36.8 46.5 37.5 34.8 ------------------------------------------------------------------------------- Gamma 10y 73.8 56.8 66.1 19.2 51.9 66.1 62.9 68.0 78.6 74.2 50.7 Realized 1m 73.1 38.9 41.0 13.4 40.5 58.3 38.9 35.0 68.2 46.7 41.9 Realized 3m 65.5 47.4 50.8 16.1 43.9 58.8 47.9 47.6 62.9 45.6 42.8 ------------------------------------------------------------------------------- irVol 1m2y 50.1 22.0 28.3 11.2 53.9 44.0 26.5 61.9 36.4 51.5 38.6 irVol 1m5y 70.4 44.3 50.1 14.5 47.9 63.1 43.7 73.9 67.2 63.2 49.6 irVol 1m10y 71.2 51.9 60.7 15.9 49.7 66.1 52.5 64.3 78.6 68.9 50.4 irVol 1m30y 67.5 63.1 61.6 35.9 irVol 3m2y 47.8 25.4 31.0 11.9 48.8 49.9 30.6 61.9 41.8 60.1 39.2 irVol 3m5y 68.9 46.0 51.0 15.1 45.1 58.5 50.6 70.7 68.2 70.1 50.1 irVol 3m10y 71.3 53.9 63.0 17.4 50.9 61.9 59.5 63.4 78.5 72.3 50.7 irVol 3m30y 67.8 62.4 63.1 36.2 irVol 1y1y 51.8 27.2 35.3 12.3 42.2 43.1 41.6 65.8 51.2 56.9 33.5 irVol 1y2y 62.7 32.9 44.3 14.0 43.3 56.1 47.5 68.0 60.4 69.5 37.9 irVol 1y5y 75.0 49.7 60.7 16.8 45.7 58.9 59.9 74.1 70.8 91.2 46.5 irVol 1y10y 77.0 60.0 70.3 21.6 55.2 58.9 66.3 72.6 76.6 77.3 47.9 irVol 1y30y 73.1 63.8 69.7 37.2 irVol 2y2y 75.1 45.7 58.4 17.2 53.2 57.3 61.4 75.1 70.9 72.0 41.5 irVol 2y5y 79.3 55.6 68.7 20.1 57.1 58.3 65.7 77.1 73.7 67.7 44.0 irVol 2y10y 79.5 63.5 73.3 24.5 63.5 57.0 69.7 76.9 75.9 71.6 45.3 irVol 2y30y 74.2 63.8 70.9 36.9 irVol 5y5y 82.9 67.0 77.1 27.1 irVol 5y10y 80.4 68.6 74.3 30.4 irVol 5y30y 70.9 61.8 68.7 39.7 irVol 10y10y 72.0 67.4 68.3 34.7 irVol 10y30y 63.3 55.3 60.3 41.7

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

Implied Vol Below Realized

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

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

Crossed 200dma

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

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

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

1mVol Implied < Realized: SEK r0.90 #fxvol #fx #histvol #sek https://t

1mVol Implied < Realized: SEK r0.90
#fxvol #fx #histvol #sek https://t.co/Cg6rdYDKbh

Crossed 200dma: EURSEK=9.593 #dma #eur #dma #fx #sek https://t.co/EP3glPk

Crossed 200dma: EURSEK=9.593
#dma #eur #dma #fx #sek https://t.co/EP3glPk96N

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

Implied Vol Below Realized

Cheapest 1m Implied Vol vs Realized: Ratio vImpl vReal Cheap 0.46 50.2 109.0 AUD_1y1y 0.64 36.1 56.7 AUD_2y 0.70 52.0 74.2 USD_1y1y 0.75 42.7 57.2 CAD_1y1y 0.75 7.9 10.6 GBP 0.88 20.6 23.3 AUD_1y 0.92 8.4 9.1 SEK

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