Macro Extremes (week ending September 30, 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)

Australian 2 year government bond yield

Swiss 10 year government bond yield

U.S. 10 year minus Australian 10 year bond yield spread

Overbought (RSI > 70)

U.S. 2 year government bond yield

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

U.S. Dollar Index (DXY)

U.S. 5, 10, 20 and 30 year government bond yields

German 2, 5 & 10 year government bond yields

British 5 year government bond yields

Spanish, French, British, Greek, Italian, Korean, Portuguese and Swedish 10 year government bond yields


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

U.S. 10 year minus U.S. 5 year bond yield







Oslo, Copenhagen and Helsinki equity bourses

Spain’s IBEX

The FTSE 100 and the Swiss SMI equity indices

Oversold (RSI < 30)


Hot Rolled Coil Steel (HRC)




Taiwan’s TAIEX, South Korea’s KOSPI and the HSCEI equity indices

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






Notes & Ideas:

The big news for the week was the whipsawing action seen in the foreign exchange markets.

The British Pound bounced and made up nearly all of the weakness seen early in the week.

I write this note about the perspective and figures behind the move.

In that note, I highlighted that this week the AUD lost 3.1%, 4.7% and 1.9% versus the EUR, GBP and USD respectively. Along with the AUD/JPY, these currency crosses all appeared in the past week editions showing the AUD trading at ‘extremes’ to each of them.

Yet, we don’t hear the word crisis’ used when the Aussie tanks 5% against Sterling??

For additional comparison, this past week the FTSE 100 equities index fell 1.8% whilst the ASX 200 declined an almost equal 1.5%.

The Aussie stockmarket wasn’t labelled as being in crisis.

Perhaps, we can say, not all crises are same?

In equities, on a closing weekly basis, we mostly saw consolidating and benign moves especially amongst the Small and Mid Cap indices. 

However, intra-week also saw plenty of movement.

And we are now seeing some in Oversold territory again.

The larger losers for the week appear in the list below along with a host of idea generators.

We saw the S&P 500 mean revert to its 200 week moving average (WMA) for the first time since March 2020 and last week’s visitors to the 200 WMA stay around it, including the Nasdaq 100, CAC, Russell 2000 and U.S. small and mid caps.

The DAX, SOX and Dow Jones Industrials are nearing that mark, as are a few others

We also saw subdued moves in many other markets. The U.S. Dollar Index only fell 0.8% and the CRB Index snoozed at (0.07%).

All the larger moves (+/- 2%) for the week appear in the list below, which has featured the smallest amount of securities in some weeks.

The larger advancers over the past week comprised of; 

Australian Coking Coal 3.2%, Cocoa 4.8%, Gasoil 3.1%, Copper 2.1%, Heating Oil 4.1%, JKM KNG 3.1%, Orange Juice 4%, Palladium 54%, Dutch TTF Gas 1.8%, Silver in AUD 2.9%, Gold in AUD 3%, Wheat 4.7%, Nasdaq Biotech 2.1%.

The group of decliners included;

Rotterdam Coal(3.5%), Baltic Dry Index (3.1%), China Coal (4.9%), Lean Hogs (3.7%), HRC (3.2%), Lumber (2.9%), Tin (2.3%), Nickel (6.5%), Sugar (3.3%), Cotton (7.8%), Florida Urea (6.1%), Brent Crude (1.6%), Middle East Urea (11.3%), Soybeans (4.3%), Shanghai Composite (2.1%), KBW Banks (3.1%), DJ Industrials (2.9%), MIB (2%), HSCEI (33%), HSI (4%), IBEX (2.9%), Nasdaq (3%), Nikkei (4.5%), SOX (4.2%), S&P 500 (2.9%), Strait Times (3%), TAIEX (4.9%), FTSE 100 (1.8%), Nasdaq Composite (2.7%) and Australia’s ASX 200 declined 1.5% for the week.

October 2, 2022

By Rob Zdravevski   

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