Macro Extremes (week ending November 12, 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)

U.S. Dollar (DXY) Index

Gold in AUD and USD

Russell 2000 Small Cap Index

S&P Midcap 400 Index

Dow Jones Industrial Average

Nasdaq Transports

U.K.’s FTSE 100

Overbought (RSI > 70)

Australian 5 year government bond yields

New Zealand 10 year government bond yields

U.S. 5 year government bond yields

the JKM “Japan/Korea (LNG) Marker”

Coffee

Tin

The CRB (commodities) Index

Australian Coal

Urea 

Italy’s MIB equity index

The S&P 500

And Oslo’s equity index

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

U.S. 2 year government bond yields

France’s CAC-40 equity index

Dow Jones Transports

Nasdaq 100

Philadelphia Semiconductor Index

And Instanbul’s BIST equity index 

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)

GBP/USD – suggesting a weaker British Pound 

Oversold (RSI < 30)

Iron Ore

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

None

Notes & Ideas:

The past week was the mildest in terms of volatile price swings in some months.

While the list of extreme readings narrowed as many assets meander between such as Brazil’s Bovespa no longer being oversold.

The larger advancers over the past week comprised of Baltic Dry Index 3.4%, HSCEI 3.3%, Hang Seng 1.8%, Copenhagen 3.4%, Aluminium 1.9%, Cocoa 5.3%, Copper 2.5%, Gold in USD 2.9%, Coffee 9%, Tin 2.8%, Dutch TTF Gas 2.2%, Nickel 3.2%, Orange Juice 9.7%, Platinum 5.2%, Silver 4.9%, Gold in AUD 3.5%, Corn 4.4%, Rice 4.2%, Soybeans 3.2%, West 6.6%, Uranium 5.8% and Urea 2%

The group of decliners included Gasoil (3.1%), Heating Oil (2.1%), Lumber (6.1%), Natural Gas (13.1%), Rotterdam Coal (6.2%) and China Coal (4.5%)

November 14, 2021

by Rob Zdravevski

rob@karriasset.com.au