Macro Extremes (week ending November 26th, 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)

Chinese government 10 year bond yield

Nasdaq 100

Nickel

(although they all peaked earlier in the week)

Overbought (RSI > 70)

the JKM “Japan/Korea (LNG) Marker”

Tin

Urea 

and Australian Coal 



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

U.S. Dollar (DXY) Index

Coffee

Cattle

Wheat

The last two were highlighted in the following posts;

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)

Hot Rolled Coil Steel (HRC)

EUR/GBP – suggesting a weaker Euro versus the British Pound

SGD/USD

TRY/USD

And Spain’s IBEX equity index

Oversold (RSI < 30)

Iron Ore



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

EUR/USD – suggesting a weaker Euro

DKK/USD

SEK/USD

(These were highlighted in a mid-week note, https://robzdravevski.com/2021/11/25/currency-trade-ideas/  )

Notes & Ideas:

Volatility returned this week, but mainly on the Friday following the Thanksgiving Holiday amid lighter volume and driven by a headline on a new COVID variant.

Amongst the drubbing seen in the energy markets, it’s worthy to note the bearish outside reversal week seen in the Nasdaq, S&P 500 and SOX. My earlier note today makes further comment about this past Friday’s action.

https://mailchi.mp/karriasset/perspective-positioning-and-opportunity-1

Other observations I noticed during the week include;

This week’s list of ‘extremes’ is the smallest I’ve seen for quite some time, telling me many prices are busy meandering or heading to the other side of their range.

Bond yield aren’t featured in the list (unlike the past 2 weeks).

Hot Rolled Coil Steel is down 18% from its recent high, albeit not a dent on its 5 fold increase over the past 18 months.

The U.S. banking index only fell 1.1% for the week.

While Crude Oil fell 10% for the week, Natural Gas rose 8%.

Gasoline and other energy markets touched daily Oversold levels (but not weekly, which the timeframe basis of this periodical).

The larger advancers over the past week comprised of the Baltic Dry Index 8.4%, Iron Ore 1%, JKM 2%, Coffee 4.1%, Cattle 3.4%, Tin 2.9%, Natural Gas 8.1%, Corn 28%, and Istanbul’s BIST equity index rose 3.4%. 

The group of decliners included Aluminium (2.9%), Bloomberg Commodity Index (2.3%), Cocoa (7.2%), WTI Crude Oil (10.3%), Gasoil (8.1%), Gold (3.6%), Copper (2.8%), Heating Oil (8.7%), HRC (10.8%), Lumber (4.5%), Orange Juice (2.9%), Platinum (7.9%), Gasoline (10.4%), Sugar (3.2%), Silver (6.8%), CRB Commodity Index (3.5%), Brent Crude (7.1%), Gold in AUD (2.9%), Rice (1.9%), Chinese Coal (2.2%), Urea (2.1%), Bitcoin (7.9%), Ethereum (5.7%), Cardano (19%), AEX (4.9%), CAC (5.2%), DAX (5.6%), Dow Jones Industrial Average (2%), DJ Transports (1.8%), FTSE MIB (5.4%), HSCEI (4.4%), HSI (3.9%), IBEX (4%), S&P Midcap 400 (3.3%), MOEX (4.4%), Nasdaq (3.3%), Nikkei (3.3%), Sensex (4.2%), Oslo (3.9%), Copenhagen (4%), Helsinki (3.7%), Russell 2000 (4.2%), SMI (2.8%), SOX (4%), S&P 500 (2.2%), STI (2%), TAEIX (2.5%), Nasdaq Transports (2.5%), UK FTSE 100 (2.5%) and Australia’s ASX 200 fell 1.6% for the week.

November 29, 2021

by Rob Zdravevski

rob@karriasset.com.au

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