Macro Extremes (week ending September 2, 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)

None

Overbought (RSI > 70)

U.S. 2 year government bond yield

U.S. Dollar Index

Istanbul Stock Exchange (BIST)

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

U.K. 10 year government bond yields



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

NZD/AUD

CAD/USD

TLT

Oversold (RSI < 30)

U.S. 5 year minus U.S.3 month government bond yield ‘spread’

Turkish 10 year government bond yields

Hot Rolled Coiled Steel

Tin

EUR/USD

GBP/USD

CNH/USD

DKK/USD

KRW/USD

SEK/USD

JPY/USD

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

None

Notes & Ideas:

The big news over the past week saw a continuation of the decline in U.S. equities with the Philadelphia Semiconductor Index (SOX) standing out with a 7% swoon.

Government bond yields are approaching their next round of being overbought, as are Cattle prices.

U.K. 10 year bond yields are at their highest since July 2011.

The U.S. Dollar Index (DXY) is at its highest since September 2022.

Gold, Silver and Platinum are nearing buys, 

as is the Baltic Dry Index.

The Shanghai Composite equity index, Copper and the U.S. KBW Banking Index has mean reverted and dipped to its 200 week moving average for the second time in as many months.

Following last week’s comments about surging gas prices, Dutch TTF Gas and Japan Korean LNG Marker price no longer overbought having tanked 38% and 20% for the week, respectively. 

U.S. RBOB Gasoline prices continue to retrace. This week’s 8% decline means it has halved over the past 3 months,

While, Australian Coking Coal has risen 33% over the past 5 weeks.

The larger advancers over the past week comprised of; 

Australian Coking Coal 11.2%, Orange Juice 6% and Istanbul’s BIST equity index rose 2%.

The group of decliners included;

Aluminium (8.5%), Rotterdam Coal(2%), Bloomberg Commodity Index (4.4%), China Coal (2%), WTI Crude (6.7%), Gasoil (8.6%), Copper (7.7%), Heating Oil (10.7%), HRC (1.8%), JKM (19.7%), (19.7%), Coffee (3.9%), Lumber (3.8%), Tin (6.2%), Natural Gas (5.2%), Nickel (2.2%), Palladium (4.5%), Platinum (4.3%), Gasoline (8%), Rubber (2.4%), Sugarm(1.7%), Silver (4.6%), CRB Index (4.9%), Cotton (11.2%), Dutch TTF (38.1%), Brent Crude (7.3%), Silver in AUD (3.3%), Silver (4.5%), Oats (5.7%), Soybeans (2.8%), AEX (3.8%), KBW Banks (2.5%), Dow Jones Industrials (2.8%), DJ Transports (4.5%), HSCEI (3.6%), HSI (3.6%), IBEX (1.6%), KOSPI (2.9%), S&P MidCap 400 (4.2%), Nasdaq 100 (4%), Nikkei (3.5%), Oslo (3%), Copenhagen (3.8%), Russell 2000 (4.7%), SOX (7.1%), S&P 500 (3.3%), Taiex (4%), FTSE (2%), S&P SmallCap 600 (5.2%), Nasdaq Composite (4.2%), Canada’s TSX (3%) and Australia’s ASX 200 declined (3.9%).

September 4, 2022

by Rob Zdravevski

rob@karriasset.com.au