Tag Archives: usd

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 Vol Moves

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

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

Biggest Rates Moves

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

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

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

Z-Score Outliers

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

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

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

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

New Highs & Lows

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

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

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

New  5y Low : EURvsNOK_10y10y=0.390

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

New 10y Low : EURvsUSD_2s10s=-0.259

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

Rate Recap

Rate            USD   EUR   GBP   JPY   CHF   CAD   SEK   NOK   AUD   NZD   KRW
-------------------------------------------------------------------------------
Bond      2y   1.27 -0.73  0.07 -0.21  0.24  0.72 -0.65  0.65  1.66  2.06  1.58
Bond      5y   1.84 -0.39  0.50 -0.16        1.02 -0.07  1.04  2.11  2.41  1.86
Bond     10y   2.32  0.32  1.08  0.01 -0.11  1.58  0.59  1.63  2.58  3.02  2.19
Bond     30y   3.00  1.10  1.72  0.79  0.33  2.19                          2.37
-------------------------------------------------------------------------------
Bond    2s5s   0.57  0.35  0.43  0.04        0.30  0.58        0.46  0.34  0.28
Bond   2s10s   1.04  1.05  1.01  0.22 -0.35  0.86  1.24        0.92  0.96  0.61
Bond   5s10s   0.48  0.70  0.58  0.17        0.55  0.66  0.59  0.46  0.61  0.33
Bond   5s30s   1.16  1.49  1.21  0.95        1.16                          0.51
Bond  10s30s   0.68  0.79  0.63  0.78  0.45  0.61                          0.17
Bond 2s5s10s   0.09 -0.36 -0.16 -0.13       -0.25 -0.08       -0.00 -0.27 -0.05
Bond5s10s30s  -0.21 -0.08 -0.05 -0.60       -0.06                          0.15
-------------------------------------------------------------------------------
Central Bank   1.00 -0.40  0.25 -0.10 -0.75  0.50 -0.50  0.50  1.50  1.75  1.25
OIS            0.91 -0.35  0.21                                                
3m             1.17 -0.33  0.33  0.00 -0.73  0.92 -0.47  0.97  1.75  2.00  1.39
1y             1.39 -0.31  0.37  0.03 -0.68  0.97 -0.46  1.03  1.75  2.08  1.48
1y1y           1.77 -0.16  0.50  0.03 -0.59  1.18 -0.13  1.16  1.98  2.54  1.63
2y             1.58 -0.14  0.56  0.03 -0.64  1.07 -0.29  1.20  1.87  2.30  1.55
2y2y           2.14  0.28  0.86  0.06 -0.25  1.50  0.51  1.70  2.45  3.18  1.79
5y             1.96  0.20  0.79  0.06 -0.33  1.38  0.29  1.51  2.27  2.90  1.72
5y5y           2.65  1.41  1.51  0.37  0.59  2.31  1.91  2.37  3.34  3.96  2.09
10y            2.28  0.79  1.15  0.21  0.13  1.82  1.08  1.92  2.90  3.41  1.90
10y10y         2.81  1.96  1.72  1.03  0.91  2.93  2.59  2.36  3.71  4.43  1.99
20y            2.52  1.33  1.41  0.61  0.51  2.30  1.76  2.12  3.26        1.94
30y            2.55  1.41  1.39  0.77  0.61  2.33  1.87  2.12  3.33        1.94
-------------------------------------------------------------------------------
2s5s           0.38  0.34  0.23  0.04  0.30  0.30  0.58  0.32  0.41  0.60  0.17
2s10s          0.70  0.94  0.58  0.19  0.77  0.75  1.37  0.72  1.03  1.11  0.34
5s10s          0.33  0.59  0.36  0.15  0.46  0.45  0.79  0.41  0.62  0.51  0.17
5s30s          0.59  1.22  0.60  0.71  0.94  0.95  1.57  0.61  1.06        0.22
10s30s         0.27  0.62  0.24  0.55  0.48  0.50  0.79  0.20  0.43        0.04
2s5s10s        0.05 -0.25 -0.13 -0.12 -0.15 -0.14 -0.20 -0.09 -0.22  0.09 -0.01
5s10s30s       0.06 -0.03  0.11 -0.40 -0.03 -0.05 -0.01  0.20  0.19        0.13

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

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

Highest + Lowest RSI

Highest + Lowest RSI:
RSI=83.7   93.23 ETF_Internet
RSI=77.6   1.172 USD_3m
RSI=77.3  6091.6 Nasdaq
RSI=76.6   54.79 ETF_Technology
RSI=74.5  1.3681 CAD
RSI=73.8  7382.2 NZX50
RSI=73.4  1435.9 XBT
RSI=72.5  144.14 GBPJPY
RSI=71.7   0.684 USD_10s30s_Bond
RSI=71.2  1627.0 OMX
----------------
RSI=23.1    8.21 GBP_Vol6m
RSI=22.5   0.759 POR_5s10s30s_Bond
RSI=22.2   3.111 POR_2s10s_Bond
RSI=21.8    7.41 CHF_Vol2y
RSI=21.7   0.205 NOK_10s30s
RSI=21.1   1.527 POR_5s10s_Bond
RSI=21.0   0.924 CAD_3m
RSI=20.5   1.750 AUD_3m
RSI=19.0    8.61 GBP_Vol1y
RSI=14.5    8.89 GBP_Vol2y

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

Biggest Rates Moves

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

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

Biggest Market Moves

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

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

Z-Score Outliers

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

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

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

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

New Highs & Lows

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

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

New  5y High: FedFund=0.910

New  5y Low : VIX4=14.13

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

New 10y Low : VIX=10.11

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

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

Highest + Lowest RSI

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

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

Biggest Rates Moves

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

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

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

Z-Score Outliers

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

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

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

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

New Highs & Lows

New  1y High: CAD=1.3633, SMI=8844.8

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

New  5y High: KOSPI=2209.5

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

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

Rate Recap

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

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

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

Highest + Lowest RSI

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

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

Biggest Rates Moves

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

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

Z-Score Outliers

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

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

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

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

New Highs & Lows

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

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

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

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

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

Rate Recap

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

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

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

Highest + Lowest RSI

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

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

Biggest Rates Moves

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

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