usd – MbMktBot

Rate Recap

Rate USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- Bond 2y 1.74 -0.71 0.46 -0.17 0.29 1.43 -0.86 0.50 1.76 1.96 2.07 Bond 5y 2.05 -0.34 0.73 -0.12 1.61 -0.24 1.04 2.09 2.39 2.34 Bond 10y 2.33 0.34 1.25 0.04 -0.14 1.87 0.71 1.49 2.52 2.80 2.53 Bond 30y 2.77 1.18 1.81 0.84 0.39 2.22 2.52 ------------------------------------------------------------------------------- Bond 2s5s 0.31 0.37 0.27 0.05 0.18 0.62 0.33 0.43 0.27 Bond 2s10s 0.59 1.05 0.79 0.21 -0.42 0.44 1.57 0.76 0.84 0.46 Bond 5s10s 0.28 0.68 0.52 0.16 0.25 0.95 0.46 0.43 0.41 0.19 Bond 5s30s 0.72 1.52 1.07 0.96 0.61 0.18 Bond 10s30s 0.44 0.84 0.55 0.80 0.53 0.36 -0.01 Bond 2s5s10s 0.03 -0.32 -0.25 -0.10 -0.07 -0.33 -0.11 0.02 0.08 Bond5s10s30s -0.16 -0.15 -0.03 -0.64 -0.10 0.20 ------------------------------------------------------------------------------- Central Bank 1.25 -0.40 0.50 -0.10 -0.75 1.00 -0.50 0.50 1.50 1.75 1.25 OIS 1.16 -0.36 0.46 3m 1.47 -0.33 0.52 -0.02 -0.75 1.40 -0.64 0.80 1.73 1.92 1.63 1y 1.75 -0.32 0.64 0.02 -0.63 1.60 -0.44 0.86 1.77 2.00 1.80 1y1y 2.07 -0.19 0.93 0.06 -0.40 1.95 -0.06 1.05 1.97 2.32 2.10 2y 1.92 -0.19 0.83 0.04 -0.51 1.77 -0.25 1.03 1.88 2.16 1.95 2y2y 2.23 0.32 1.18 0.12 -0.08 2.10 0.55 1.57 2.29 2.81 2.24 5y 2.11 0.20 1.08 0.10 -0.19 1.98 0.34 1.38 2.19 2.62 2.13 5y5y 2.54 1.43 1.57 0.41 0.70 2.43 1.89 2.30 3.04 3.67 2.32 10y 2.32 0.81 1.31 0.26 0.25 2.19 1.09 1.81 2.71 3.12 2.22 10y10y 2.74 2.04 1.76 1.08 1.07 2.91 2.52 2.40 3.41 3.92 2.31 20y 2.51 1.37 1.52 0.66 0.65 2.51 1.74 2.08 3.03 2.26 30y 2.53 1.48 1.50 0.86 0.74 2.47 1.84 2.08 3.09 2.26 ------------------------------------------------------------------------------- 2s5s 0.19 0.39 0.25 0.06 0.32 0.21 0.59 0.34 0.32 0.46 0.18 2s10s 0.40 0.99 0.49 0.21 0.77 0.43 1.34 0.79 0.83 0.96 0.27 5s10s 0.21 0.60 0.23 0.15 0.45 0.22 0.76 0.44 0.52 0.50 0.09 5s30s 0.42 1.28 0.42 0.75 0.94 0.49 1.50 0.71 0.90 0.13 10s30s 0.21 0.67 0.19 0.60 0.49 0.28 0.75 0.27 0.38 0.04 2s5s10s -0.01 -0.21 0.02 -0.09 -0.13 -0.01 -0.17 -0.10 -0.20 -0.04 0.09 5s10s30s -0.00 -0.07 0.04 -0.45 -0.04 -0.06 0.01 0.17 0.14 0.05

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

Vol Recap

Volatility USD EUR GBP JPY CHF CAD SEK NOK AUD NZD KRW ------------------------------------------------------------------------------- fxVol 1m 6.97 7.04 7.87 6.69 6.41 8.79 8.56 7.20 8.15 fxVol 3m 6.64 7.20 8.06 6.67 6.38 8.32 8.33 7.48 8.50 fxVol 6m 7.20 7.69 8.72 7.19 6.82 8.68 8.68 8.08 9.07 fxVol 1y 7.44 8.19 9.15 7.71 7.34 8.88 9.06 8.71 9.62 fxVol 2y 7.88 8.71 9.31 8.21 7.81 9.25 9.53 9.30 10.12 ------------------------------------------------------------------------------- Realized 1m 6.39 7.78 6.63 6.79 5.78 7.01 7.27 6.43 7.48 6.29 Realized 3m 7.26 8.63 7.22 7.10 7.61 8.14 8.40 7.27 8.90 5.58 ------------------------------------------------------------------------------- Gamma 2y 43.0 16.3 37.6 10.0 37.8 58.9 28.8 34.5 40.7 44.0 48.0 Realized 1m 28.5 11.5 32.8 4.3 12.0 28.9 15.1 19.9 30.2 35.2 29.2 Realized 3m 31.7 11.5 35.7 5.4 14.5 41.8 22.8 16.2 35.5 28.0 36.9 ------------------------------------------------------------------------------- Gamma 5y 53.5 32.0 48.9 11.8 34.9 55.4 41.2 47.8 49.6 58.4 46.4 Realized 1m 40.6 19.2 44.1 9.7 17.7 36.8 24.3 23.9 43.3 36.4 31.7 Realized 3m 48.0 27.2 50.5 9.9 20.8 41.4 32.2 29.2 44.5 36.6 37.8 ------------------------------------------------------------------------------- Gamma 10y 57.2 39.6 54.0 16.1 42.3 54.4 45.5 46.6 55.4 65.4 51.3 Realized 1m 47.0 26.7 42.9 13.4 26.7 41.7 29.7 28.8 53.2 47.0 35.8 Realized 3m 53.7 35.3 51.2 13.5 28.1 44.0 37.4 35.6 51.8 44.7 37.9 ------------------------------------------------------------------------------- irVol 1m2y 32.4 10.6 31.6 7.3 35.9 47.1 18.9 29.5 30.3 34.7 45.1 irVol 1m5y 46.1 24.8 40.9 8.9 34.4 43.3 32.8 40.1 43.5 55.0 46.2 irVol 1m10y 50.6 30.1 44.8 11.9 35.4 48.4 38.5 37.1 52.2 62.5 51.3 irVol 1m30y 52.4 33.1 43.1 25.0 irVol 3m2y 37.3 13.2 34.9 9.1 36.7 51.7 23.3 31.4 36.0 41.1 46.6 irVol 3m5y 49.0 27.7 46.7 10.7 34.7 50.8 36.3 41.9 47.2 57.1 46.1 irVol 3m10y 53.3 34.5 51.0 14.2 37.9 51.9 41.6 40.8 53.5 64.6 50.2 irVol 3m30y 53.5 37.8 48.5 25.2 irVol 1y1y 43.8 18.9 34.3 10.9 38.0 60.3 32.4 46.3 44.0 49.0 46.7 irVol 1y2y 51.3 25.6 42.6 11.5 39.2 69.4 38.7 52.5 49.7 52.5 48.2 irVol 1y5y 59.8 39.3 55.3 13.8 40.3 58.7 48.0 57.7 53.8 60.1 47.4 irVol 1y10y 62.4 46.2 60.6 18.5 48.8 56.3 52.2 55.2 58.1 66.5 48.4 irVol 1y30y 59.5 47.9 57.7 29.9 irVol 2y2y 62.0 38.4 54.3 14.2 49.1 74.8 49.8 60.9 61.4 59.2 48.8 irVol 2y5y 66.3 47.6 63.3 16.7 52.3 63.5 56.3 64.5 59.9 63.5 47.1 irVol 2y10y 67.8 53.2 66.2 21.9 58.1 58.3 59.7 63.5 61.1 68.5 48.7 irVol 2y30y 62.7 52.9 62.4 30.4 irVol 5y5y 74.1 62.2 72.9 23.5 irVol 5y10y 72.1 63.7 70.7 27.5 irVol 5y30y 64.4 57.2 64.8 33.6 irVol 10y10y 67.9 65.5 68.4 32.1 irVol 10y30y 59.2 54.5 60.5 37.8

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

Implied Vol Below Realized

Cheapest 1m Implied Vol vs Realized: Ratio vImpl vReal Cheap 0.63 44.0 69.9 AUD_1y1y 0.72 49.0 68.4 NZD_1y1y 0.78 34.3 44.1 GBP_1y1y 0.83 18.1 21.8 NOK_1y 0.89 11.9 13.4 JPY_10y 0.90 7.0 7.8 GBP 0.92 8.9 9.7 JPY_5y 0.92 10.6 11.5 EUR_2y 0.93 40.9 44.1 GBP_5y 0.94 21.0 22.3 NZD_1y 0.96 31.6 32.8 GBP_2y 0.98 52.2 53.2 AUD_10y 0.99 33.1 33.6 EUR_30y 0.99 6.7 6.8 CHF 0.99 34.7 35.2 NZD_2y 0.99 52.4 52.8 USD_30y

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

Crossed 200dma

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

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

Highest + Lowest RSI

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

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

Biggest Vol Moves

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

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

Biggest Rates Moves

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

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

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

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 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

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 Rates Moves

Biggest Rates Moves: +0.081 -2.492 USDvsCHF_1y1y +0.069 -2.337 USDvsCHF_2y2y +0.065 -0.102 USDvsCAD_2y2y +0.062 -2.003 USDvsJPY_1y1y +0.062 -2.119 USDvsJPY_2y2y +0.060 -1.141 USDvsGBP_1y1y +13.8% +0.055 0.455 JPY_5y5y_Inflation +0.054 -1.042 USDvsGBP_2y2y +0.053 -1.212 EURvsJPY_5y5y_Inflation +0.050 -2.071 USDvsJPY_10y ------------------------ -2.2% -0.045 1.984 AUD_1y1y -8.7% -0.045 0.473 USDvsAUD_5s30s -1.6% -0.049 3.071 AUD_30y -2.3% -0.050 2.114 USD_5y -1.7% -0.057 3.387 AUD_10y10y -2.7% -0.057 2.042 USD_5y_Bond -2.7% -0.061 2.229 USD_2y2y -3.0% -0.063 2.056 USD_1y1y -3.7% -0.073 1.905 EURvsUSD_2y2y -3.4% -0.078 2.247 EURvsUSD_1y1y

#bigmove, #inflation, #jpy, #aud, #cad, #usd, #eur, #xmarket, #gbp, #chf, #rate

Z-Score Outliers

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


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

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

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

New Highs & Lows

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


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

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

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

Rate Recap

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

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

Vol Recap

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

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

Implied Vol Below Realized

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

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

Crossed 200dma

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

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

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 Vol Moves

Biggest Vol Moves: +14.6% +3.1 24.3 USD_1m1y_bpVol +9.5% +2.5 28.9 USD_3m1y_bpVol +5.8% +1.9 34.7 USD_1m2y_bpVol +3.9% +1.3 34.9 USD_6m1y_bpVol +3.5% +1.3 38.6 USD_3m2y_bpVol +2.9% +1.9 67.0 CAD_2y1y_bpVol +1.8% +0.13 7.49 NOK_Vol1w ------------------------ -6.0% -0.34 5.33 EUR_Vol1w -6.2% -2.5 37.8 CHF_6m2y_bpVol -6.2% -2.5 37.8 CHF_2yGamma -6.8% -2.7 36.7 CHF_3m2y_bpVol -8.3% -0.55 6.10 GBP_Vol1w -8.3% -3.2 35.4 CHF_1m10y_bpVol -8.3% -4.2 46.4 KRW_2y2y_bpVol -8.6% -0.92 9.73 VIX -9.2% -5.6 55.0 AUD_2y5y_bpVol

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

Biggest Rates Moves

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

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

Biggest Market Moves

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

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

Z-Score Outliers

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


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

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

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

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

Outlier 1y Zscore: -3.24 for 2yNote=107.391 #future #usd #zscore #zscore

Outlier 1y Zscore: -3.24 for 2yNote=107.391
#future #usd #zscore #zscore https://t.co/LzcZdYLBcD

1y Moves: USD_5s30s , JPY_5s30s #jpy #curve #usd #rate #high https://t.co

1y Moves: USD_5s30s , JPY_5s30s
#jpy #curve #usd #rate #high https://t.co/o8s8nXMX2j

New 1y High: USDvsJPY_5s30s=0.345 #jpy #usd #xmarket #rate https://t.co/Q

New 1y High: USDvsJPY_5s30s=0.345
#jpy #usd #xmarket #rate https://t.co/QHSXU3zc0f

1y Moves: USD_2s10s , JPY_2s10s #jpy #curve #usd #rate #high https://t.co

1y Moves: USD_2s10s , JPY_2s10s
#jpy #curve #usd #rate #high https://t.co/4gy9ESdqBA

New 1y High: USDvsJPY_2s10s=-0.211 #jpy #usd #xmarket #rate https://t.co/

New 1y High: USDvsJPY_2s10s=-0.211
#jpy #usd #xmarket #rate https://t.co/3cSeZOR8c0

5y Moves: USD_1y1y , JPY_1y1y #jpy #usd #rate #low https://t.co/oEDtGCWD1

5y Moves: USD_1y1y , JPY_1y1y
#jpy #usd #rate #low https://t.co/oEDtGCWD12

New 5y Low: USDvsJPY_1y1y=-2.065 #jpy #usd #xmarket #rate https://t.co/RI

New 5y Low: USDvsJPY_1y1y=-2.065
#jpy #usd #xmarket #rate https://t.co/RIJEB8gYoX

1y Moves: USD_5s30s , CHF_5s30s #curve #usd #chf #rate #high https://t.co

1y Moves: USD_5s30s , CHF_5s30s
#curve #usd #chf #rate #high https://t.co/GNRP58paeW

New 1y High: USDvsCHF_5s30s=0.585 #xmarket #usd #chf #rate https://t.co/A

New 1y High: USDvsCHF_5s30s=0.585
#xmarket #usd #chf #rate https://t.co/AUzfwTafte

5y Moves: USD_2s10s , CHF_2s10s #curve #usd #chf #rate #high https://t.co

5y Moves: USD_2s10s , CHF_2s10s
#curve #usd #chf #rate #high https://t.co/bEswgIuF2e

New 5y High: USDvsCHF_2s10s=0.368 #xmarket #usd #chf #rate https://t.co/H

New 5y High: USDvsCHF_2s10s=0.368
#xmarket #usd #chf #rate https://t.co/HYMnigjxRM

10y Moves: USD_10y , AUD_10y #usd #aud #rate #low https://t.co/LBU9GiFpnp

10y Moves: USD_10y , AUD_10y
#usd #aud #rate #low https://t.co/LBU9GiFpnp

New 10y Low: USDvsAUD_10y=0.389 #xmarket #usd #aud #rate https://t.co/dam

New 10y Low: USDvsAUD_10y=0.389
#xmarket #usd #aud #rate https://t.co/dam7xcYRwL

New 10y Low: USD_5s30s_Bond=0.659 #curve #usd #rate https://t.co/LpV4yDmZ

New 10y Low: USD_5s30s_Bond=0.659
#curve #usd #rate https://t.co/LpV4yDmZGh

New 5y Low: USD_5s30s=0.389 #curve #usd #rate https://t.co/FppLBYdRIx

New 5y Low: USD_5s30s=0.389
#curve #usd #rate https://t.co/FppLBYdRIx

New 10y Low: USD_5s10s_Bond=0.257 #curve #usd #rate https://t.co/Z0YwZmK8

New 10y Low: USD_5s10s_Bond=0.257
#curve #usd #rate https://t.co/Z0YwZmK8vO

New 10y Low: USD_5s10s=0.196 #curve #usd #rate https://t.co/GB33DkfYL7

New 10y Low: USD_5s10s=0.196
#curve #usd #rate https://t.co/GB33DkfYL7

New 5y High: USD_2y_Bond=1.772 #usd #rate https://t.co/0qT0r0vcx0

New 5y High: USD_2y_Bond=1.772
#usd #rate https://t.co/0qT0r0vcx0

New 5y High: USD_2y=1.943 #usd #rate https://t.co/2nHWeXjaE9

New 5y High: USD_2y=1.943
#usd #rate https://t.co/2nHWeXjaE9

New 5y Low: USD_2s5s_Bond=0.327 #curve #usd #rate https://t.co/5STZUbrJHG

New 5y Low: USD_2s5s_Bond=0.327
#curve #usd #rate https://t.co/5STZUbrJHG

New 10y Low: USD_2s10s_Bond=0.584 #curve #usd #rate https://t.co/66OlBJna

New 10y Low: USD_2s10s_Bond=0.584
#curve #usd #rate https://t.co/66OlBJnajA

New 5y High: USD_1y1y=2.119 #usd #rate https://t.co/cXQRVGkJcT

New 5y High: USD_1y1y=2.119
#usd #rate https://t.co/cXQRVGkJcT

New 5y High: USD_1y=1.756 #usd #rate https://t.co/WOPALCvxh0

New 5y High: USD_1y=1.756
#usd #rate https://t.co/WOPALCvxh0

New 5y Low: USD_10s30s_Bond=0.402 #curve #usd #rate https://t.co/lwJmXivp

New 5y Low: USD_10s30s_Bond=0.402
#curve #usd #rate https://t.co/lwJmXivpyj

New 5y Low: USD_10s30s=0.193 #curve #usd #rate https://t.co/0fYz9OBN39

New 5y Low: USD_10s30s=0.193
#curve #usd #rate https://t.co/0fYz9OBN39

New 10y High: S&P500=2599.0 #usd #stock https://t.co/vD4ZCqEX01

New 10y High: S&P500=2599.0
#usd #stock https://t.co/vD4ZCqEX01

New 10y High: Nasdaq=6862.5 #usd #stock https://t.co/wyiehaH20H

New 10y High: Nasdaq=6862.5
#usd #stock https://t.co/wyiehaH20H

New 5y Low: Eurodollar_Whites=98.213 #future #usd #rate https://t.co/lfs0

New 5y Low: Eurodollar_Whites=98.213
#future #usd #rate https://t.co/lfs06sqzOW

10y Moves: EUR_5s30s , USD_5s30s #curve #usd #rate #eur #low https://t.co

10y Moves: EUR_5s30s , USD_5s30s
#curve #usd #rate #eur #low https://t.co/2GFiO4n1HP

New 10y Low: EURvsUSD_5s30s=-0.918 #xmarket #rate #usd #eur https://t.co/

New 10y Low: EURvsUSD_5s30s=-0.918
#xmarket #rate #usd #eur https://t.co/eIoF7bOSTT

10y Moves: EUR_1y1y , USD_1y1y #rate #usd #eur #high https://t.co/b41hPbk

10y Moves: EUR_1y1y , USD_1y1y
#rate #usd #eur #high https://t.co/b41hPbk0Ag

New 10y High: EURvsUSD_1y1y=2.325 #xmarket #rate #usd #eur https://t.co/r

New 10y High: EURvsUSD_1y1y=2.325
#xmarket #rate #usd #eur https://t.co/rXTqFZHRoj

New 10y High: ETF_Technology=64.26 #usd #etf #stock https://t.co/Q1CwgAsB

New 10y High: ETF_Technology=64.26
#usd #etf #stock https://t.co/Q1CwgAsBEV

New 10y High: ETF_Internet=109.75 #usd #etf #stock https://t.co/dk764TKe7

New 10y High: ETF_Internet=109.75
#usd #etf #stock https://t.co/dk764TKe75

Rate Recap

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

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

Vol Recap

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

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

Implied Vol Below Realized

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

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

Crossed 200dma

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

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

Highest + Lowest RSI

Highest + Lowest RSI: RSI=80.8 93.68 ETF_Internet RSI=80.4 9.531 EURNOK RSI=78.0 1.3749 CAD RSI=76.7 2241.2 KOSPI RSI=76.3 12648 DAX RSI=76.2 8980.0 SMI RSI=76.1 5372.4 CAC40 RSI=75.9 145.34 GBPJPY RSI=75.6 1.4827 EURAUD RSI=75.3 3627.9 EuroStoxx ---------------- RSI=21.0 7.34 CHF_Vol2y RSI=20.0 3.029 GERvsPOR_10y_Bond RSI=18.3 16.240 Silver RSI=18.2 5.574 GERvsGRE_10y_Bond RSI=18.1 5.720 GRE_2y_Bond RSI=17.0 5.968 GRE_10y_Bond RSI=15.7 8.42 GBP_Vol1y RSI=14.5 1.740 AUD_3m RSI=11.7 0.912 CAD_3m RSI=11.6 8.69 GBP_Vol2y

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

Biggest 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: USD_1y1y r0.77 #irvol #rate #histvol #usd ht

1mVol Implied < Realized: USD_1y1y r0.77
#irvol #rate #histvol #usd https://t.co/BSAZp13HgS

Crossed 200dma: USD_2s5s10s_Bond=0.114 #dma #usd #rate #dma #fly https://

Crossed 200dma: USD_2s5s10s_Bond=0.114
#dma #usd #rate #dma #fly https://t.co/YS821kFmAk

Crossed 200dma: USD_2s10s=0.704 #dma #usd #rate #dma #curve https://t.co/

Crossed 200dma: USD_2s10s=0.704
#dma #usd #rate #dma #curve https://t.co/rhHiwiCALi

Crossed 200dma: DXY=98.80 #dma #dxy #fx #dma #usd https://t.co/RcdzktvEkH

Crossed 200dma: DXY=98.80
#dma #dxy #fx #dma #usd https://t.co/RcdzktvEkH

High RSI: 80.8 for ETF_Internet=93.68 99% 1y Range 99% 5y Range 100%

High RSI: 80.8 for ETF_Internet=93.68
99% 1y Range
99% 5y Range
100% 10y Range
#rsi #usd #etf #stock #rsi https://t.co/qFD7264G38

Outlier 10y Zscore: -2.74 for USDvsGBP_2y2y=-1.269 #usd #xmarket #rate #z

Outlier 10y Zscore: -2.74 for USDvsGBP_2y2y=-1.269
#usd #xmarket #rate #zscore #gbp #zscore https://t.co/scULgfntLJ

Rate Recap

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

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

Vol Recap

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

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

Implied Vol Below Realized

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

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

Crossed 200dma

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

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

Highest + Lowest RSI

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

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

Biggest Rates Moves

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

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

Biggest Market Moves

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

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

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