Macro Extremes (week ending September 8, 2023)

A weekly Macro, Cross Asset review of prices trading at extremes which may generate future investment ideas and opportunities.

The following assets (on a weekly timeframe) either 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 Coking Coal

Rubber

Overbought (RSI > 70)

Turkish 10 year government bond yields

U.S. 3 month bill yields

Cocoa

GBP/JPY

Russia’s MOEX

India’s Nifty

And Turkiye’s BIST 100

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

Russian 10 year bond yields 

Uranium

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

CLP/USD

And Copenhagen’s equity index

Oversold (RSI < 30)

U.S. Mid West Hot Rolled Coil Steel

Lithium Hydroxide

CNH/USD

The Oversold Quinella – Both Oversold and Traded at < 2.5 standard deviations below the weekly mean)

None

Notes & Ideas:

The government bond yields reversed last weeks general travel and rose across the board except for in the United Kingdom & China.

Equity indices were lower with the majority of them posting declines between 0.5% and 1.00%.

The KBW Bank Index posted a bearish outside reversal week as did Jakarta while Chile’s equity index is on a 6 week losing streak.

Commodities were mixed with energy prices provided an overall bullish bias for the broader commodity indices. 

This week, Gasoline and Distillates rose, reversing last week’s declines. 

There wasn’t much doin’ in the agricultural’s.

Australian Coking Coal and Uranium are in 9 week winning streaks, Iron Ore’s is 6 and Gold (as priced in AUD) rising streak extends to its 4th week.

Lithium Hydroxide has fallen for 10 consecutive weeks.

Cocoa trades to a near 46 year high.

And Urea’s bullish trade (which began at the $300 mark when it was oversold) is nearing the upper end of is ‘range’.

In currencies, the AUD was softer against everyone except the Thai Baht and the South African Rand.

The Canadian Loonie was stronger against al except the USD.

Incidentally, the DXY Index has risen for 8 straight weeks.

Commensurately, the EUR/USD has fallen over those same 8 weeks.

The Thai Baht and the Japanese Yen are at their weakest levels versus the USD, since November ’22.

The CNH/USD (Chinese Yuan) is at its lowest since December 2007.

And the Mexican Peso has fallen 4% over the past fortnight against the USD.

The larger advancers over the past week comprised of;

Australian Coking Coal 3.3%, Baltic Dry Index 11.4%, WTI Crude 2.3%, Gasoil 7.9%, Heating Oil 6.3%, Cattle 1.7%, Tin 3.3%, Orange Juice 4.4%, Gasoline 2.4%, Sugar 1.9%, S&P GSCI 1.3%, Urea U.S. Gulf 14%, Brent Crude 1,7%, Urea Middle East 12.2%, Uranium 2.2%, Oats 2.8%, Nifty 2%, Sensex 1.9% and BIST rose 3.3%.

The group of decliners included;

Aluminium (2.8%), Cotton (4.5%), Lean Hogs (1.8%), Copper (3.5%), Coffee (2.1%), LNG (2%), Lithium (2.7%), Natural Gas (5.8%), Platinum (7.6%), Palladium (2.9%), Silver (5.2%), Dutch TTF Gas (3.1%), Silver in AUD (4.1%), Rice (3%), CSI 300 (1.4%), KBW Banks (2.4%), DJ Transports (4%), MIB (1.5%), Bovespa (2.2%), MOEX (2.7%), Nasdaq Composite (1.9%), S&P MidCap 400 (3.6%), Nasdaq Biotechs (1.7%), Nasdaq 100 (1.4%), Russell 2000 (3.5%), SOX (3.2%), S&P 500 (1.3%), TSX (2.3%), ASX 200 (1.7%), ASX SmallCaps (2.3%), KRE Regional Banks (5.6%), S&P SmallCaps 600 (4.3%), S&P SmallCap Value (4.7%), Chile’s IPSA (2.1%) and China’s A50 fell 2.1%.

September 10, 2023

by Rob Zdravevski

rob@karriasset.com.au