Macro Extremes (week ending September 17, 2021)

The following assets (on a weekly timeframe) registered an Overbought reading or traded more than 2.5 standard deviations above its rolling mean.

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

Shanghai Composite equity index

Russia’s MOEX equity index

Bloomberg Commodity Index

Overbought (RSI > 70)

Hot Rolled Coil Steel (for the 51st consecutive week)

The Baltic Dry Index,

Amsterdam’s AEX,

and India’s NIFTY 50 equity index

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

Aluminium

Natural Gas

Assets (securities) which touched the other side of the extreme, being Oversold (where the RSI is < 30) or were at least 2.5 standard deviations below its mean are;

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

Brazil’s BOVESPA equity index

U.K.’s FTSE 100 equity index

Oversold (RSI < 30)

None

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

Iron Ore

Notes & Ideas:

And this week’s list is smaller again as many asset as finding their new trends on their way to an ‘extreme’.

The larger advancers over the past week comprised of Natural Gas +3.4%, Baltic Dry Index +11%, WTI Crude +3%, Brent Crude +3.3%, Tin +2%, Wheat +3%, Cocoa +2.3%, Rice +2%, Heating Oil +3%, Gasoil +3.5% and Lumber and lean Hogs both rose 4%.

The group of decliners included Iron Ore (13%), Copper (4.6%), Platinum (2.7%), Gold (2.2%), Nickel (4%), Shanghai Composite (2.4%), China’s CSI 300 (3.1%), the HSCEI (4.8%), Brazil’s Bovespa (2.5%) and the Helsinki 25 (2.5%)

Notable deletes include;

Cocoa, Japan’s Nikkei 225 index, the Swiss SMI and the Nasdaq 100 index fell from its overbought levels, following the S&P 500’s departure from the list last week.

Incidentally, it staggers me how much energy is spent by market pundits ‘calling a correction’. Beyond the perspective that 10% decline in the S&P 500 would merely see it trading at levels seen this past May but it may surprise some readers that it has already cleaned 2.5% from its recent September 2nd intra-day high of 4,545.

Amongt the list of the week’s advancers and decliners, Silver’s decline of 6.5% caught my eye, adding to the previous week’s fall of 3.6%. Although it’s not trading at my ‘extremes’, it is already 2 standard deviations below its weekly mean.

In other news, Brazil’s Bovespa has now fallen 8% over the past 3 weeks and Iron Ore has halved since July 19th.

Media mentioned Aluminium’s climb to $3,000 but didn’t give a glance when it was $1,500 only a year ago.

Natural Gas continues to soar and has, ever since it broke above a resistance trend line which I wrote about in this post, The Mother of All Breakouts

https://robzdravevski.com/2021/04/30/natural-gas-the-mother-of-all-breakouts/

September 19, 2021

by Rob Zdravevski

rob@karriasset.com.au