Macro Extremes (week ending April 22, 2022)

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

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

China Coal

Rice

Natural Gas

Orange Juice

Overbought (RSI > 70)

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

Canadian, Spanish, French, Greek, British, Italian, Korean, Swedish, Portuguese, New Zealand & Swiss 10 year government bond yields

German 2, 5 and 10 year yields

U.S. 2, 5 & 10 year yields

U.S. Dollar Index (DXY)

TBX

CRB (Commodities) Index

Corn

AUD/JPY

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

TBT

Istanbul’s BIST equity index

USD/JPY

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

None



Oversold (RSI < 30)

TLT

IEF

China’s CSI 300

Shanghai Composite

JPY/AUD

HKD/USD

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

JPY/USD (for the 7th week)



Notes & Ideas:

This pst week’s big news is the same as the last 3 or 4 weeks: the bond market and their overbought status.

Moreover, we saw yields lurch 15-20 basis points higher in many 10 year bonds. Some example include Portugal’s 10’s moving from 1.85% to 2.00% or the U.S. 10’s moving from 2.82% to an intra-week high of 2.98%.

JGB’s made a new high, perhaps suggesting the ‘risk-on’ world is OK.

Precious Metals saw weakness and featured amongst the bearish reversals listed below.

Some currencies moved 2% which isn’t a range normally seen in a weekly term.

In other news, last week’s 26% rise in Natural Gas saw it give up 11% this week and commensurately, the JKM tanked 23%. Other energy commodities also fell while the price of Uranium took a break from its recently reported Overbought Extremes by falling 14%.

We saw constructive price action in the Copenhagen, Oslo & Helsinki equity indices, while the S&P 500 has fallen 6.2% and the Nasdaq 100 has declined 10.5% over the past 3 weeks.

And lastly, we saw bearish outside reversal week in Gold, Silver, Copper, Orange Juice, Platinum, the S&P 500, the Dow Jones Industrials, SOX, MIB, KBW Bank Index, Nasdaq, Russell 2000 and the SOX.

The larger advancers over the past week comprised of; 

Baltic Dry Index 8%, Heating Oil 2.2%, Lumber 14.4%, Rice 2.2%, EURAUD 2% and Dow Jones Transports rose 1.5%

The group of decliners included;

Australian Coal (3%), Bloomberg Commodity Index (2.6%), Cocoa (3.1%), China Coal (10.6%), WTI Crude Oil (4.6%), Gold (2.1%), Copper (3%), Japan Korean ‘LNG” Marker (22.6%), Natural gas (10.5%), Orange Juice (2.8%), Platinum (6.7%), Gasoline (2.2%), Rubber (1.6%), Sugar (4.1%), Silver (5.6%), Cotton (4.3%), CRB Index (2.5%), Brent Crude (4.5%), Uranium (13.7%), Oat (5.1%), Wheat (2%), AUDUSD (2%), NZDUSD (1.9%), CNHUSD (2.3%), JPYUSD (1.7%), ZARUSD (6.9%) and Australia’s ASX 200 fell 0.7%.

April 24, 2022

by Rob Zdravevski

rob@karriasset.com.au