Macro Extremes (week ending March 18, 2022)

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)

Brazil and Canadian 10 year government bond yields

Gold (in USD and AUD)

AUD/JPY

DXY (U.S. Dollar Index)

TBT & TBX (U.S. listed “Short” bond ETF’s), confirming the inverse reading of the overbought U.S. bond yields listed in the next category.

Overbought (RSI > 70)

Australian 2, 3, 5 & 10 year government bond yields

U.S. 2, 5 & 10 year government bond yields

Greek, Spanish, Turkish & Korean 10 year government bond yields

Australian Coal

CRB Index

Bloomberg Commodity Index

Heating Oil

Nickel

Gasoline

Corn

Soybeans



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

New Zealand 10 year government bond yields

Uranium

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)

EUR/USD

GBP/USD

HKD/USD

DKK/USD

JPY/USD

KRW/USD

Taiwan’s TAIEX equity index



Oversold (RSI < 30)

U.S. 10 year minus 2 year government bond yield spread

U.S. 10 year minus 5 year government bond yield spread (as it flirts with inverting)

(Now at the same level as March 9th, 2020)



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

CSI 300 equity index



Notes & Ideas:

The big news in this week’s edition is the decidedly smaller list of overbought commodities prices as many took a break from their recent surges.

Other news amongst performance was the rally in global indices while many currencies eased away from their recent ‘extremes’.

Avid readers of this weekly edition may find cross-referencing last week’s edition with this one beneficial.

In other notable moments, 

I’m seeing the AUD and USD at 4 year and 6 year respective highs agains the Japanese Yen;

The price of WTI Crude was down 14% at its lowest point this week (from last week’s close);

China’s CSI 300 and Germany’s DAX rose 8% from its intra-week low;

Amazingly, the HSCEI is 22% higher from the low seen earlier in the week, while the hang Seng’s 17.5% reversal along with the Nasdaq’s 11% isn’t too shabby either.

Frances’s CAC40 rose 7% from the week’s nadir and is up 15% overall from the previous week’s low and Germany’s DAX is similarly 16% higher from the same trough.

A small thing to watch is the Nasdaq performed a bullish outside reversal week while the S&P 500 didn’t.

The larger advancers over the past week comprised of; 

Gasoil 5.2%, Copper 2.5%, Heating Oil 5.3%, Lumber 2.3%, LNG 14.5%, Natural Gas 2.9%, Orange Juice 6.5%, Cotton 4.8%, Oats 5%, Bitcoin 10.7%, MIB 5.1%, Hang Seng 4.3%, HSCEI 4.2%, AEX 6.2%, KBW Bank Index 6%, CAC 5.8%, DAX 5.8%, Dow Jones Industrials 5.2%, Nikkei 6.6%, Sensex 4%, DJ Transports 8.3%, Oslo 2.9%, IBEX 3.4%, Bovespa 3.2%, S&P 400 Midcap 5%, Nasdaq-100 8.4%, Russell 2000 5.4%, S&P 500 6.2%, Swiss SMI 6%, Philadelphia Semiconductor Index (SOX) 9.2%, Singapore’s STI 2.5%, Istanbul 5%, Copenhagen 6%, Helsinki 5.4%, Stockholm 5.2%, TAEIX 1.1%, FTSE-100 3.5% and Australia’s ASX-200 3.3%.

The group of decliners included;

Baltic Dry Index (4.2%) (understandably considering it rose 76% in the previous 6 weeks), Aluminium (2.6%), Rotterdam Coal (11%), B’berg CCI (2.4%), Cocoa (3.2%), WTI Crude Oil (5.7%), Gold (3.4%), GVX (11%), Lean Hogs (3.2%), JKM LNG (4.4%), Tin (3.2%), Nickell (12.2%), Palladium (10.9%) extending last week’s 6% decline), Platinum (4.8%), Gasoline (2.2%), Silver (4.1%), Dutch TTF Gas (20%) compounding last week’s 32% fall, Brent Crude (4%), Uranium (4.3%) pulling back part of last week’s 16% advance, Gold in AUD (5%), Corn (2.7%), Wheat (3.9%), Shanghai Composite (1.8%) and China’s CSI 300 equity index fell 1%.

March 20, 2022

by Rob Zdravevski

rob@karriasset.com.au  

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