Macro Extremes (week ending March 12, 2021)

At some time during this past week, the following assets (on a weekly timeframe) registered either Overbought, Oversold or traded more than 2.5 standard deviations above its rolling mean.

For the second consecutive week, the only assets in my immediate universe which was either Oversold (where the RSI is < 30) and or trading at least 2.5 standard deviations below its mean are…..

Gold (priced in USD and AUD)

U.S. 2 Year Treasury Bond Yields

Everything else in my list below is in the “Overbought” territory

Extremes “above” the Mean (at least 2.5 standard deviations)

USD/JPY (The Yen is weak relative to the U.S. Dollar)

USD / Korean Won

Australian Government 2 Year Bond Yields

Overbought (RSI > 70)

AUD / JPY

USD / JPY (i.e. Yen is weak)

WTI Oil

Brent Crude Oil

CRB Index (we’ve already seen an impressive 6 month commodity rally)

Heating Oil (again)

Gasoil

Copper 

Aluminium

Tin

U.S. KBW Banking Index (again)

Dow Jones Transport Index (again)

Swedish, British, Australian, U.S. and Canadian 10 year bond yields 

Corn

Soybeans

Nikkei 225

Russell 2000

S&P MidCap 400

Bitcoin

Ravencoin

Ethereum

The Quinella – Both Overbought and Traded at > 2.5 standard deviations above the weekly mean)

Korean 10 year bond yields

U.S. 5 year bond yields (i.e. the trade is to Buy the bond)

Stockholm OMX 30 Index

Notes:

The spread between the 2 year and 10 year bond yield continues to widen, now sitting at 1.48%, something not seen since October, 2015. 

The uncrowded trade is to be Long Gold while Short 10 year Government Bonds is awfully popular. 

Bitcoin is still trading at more than 500% above its 200 Weekly Moving Average.

March 15, 2021

by Rob Zdravevski

rob@karriasset.com.au