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


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)


CRB (Commodities) Index



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


Istanbul’s BIST equity index


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


Oversold (RSI < 30)



China’s CSI 300

Shanghai Composite



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  

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