Macro Extremes (week ending November 22, 2024)

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.

* denotes multiple week inclusion

Extremes above the Mean (at least 2.5 standard deviations)

Cocoa

JKM LNG in Yen

Natural Gas

Dutch TTF Gas *

CAD/EUR *

Overbought (RSI > 70)

Gold as priced in AUD, CHF, EUR & GBP

KBW Bank Index *

Israel’s TA35 *

Nasdaq Transports Index

Toronto’s TSX *

Australian Financials Index *

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

Japanese 2 & 5 year bond yields 

Arabica Coffee

DXY Index

Hungary’s BUX Index *

KRE Regional Banks Index *

Pakistan’s KSE *

Czechia’s PX Index *

Extremes below the Mean (at least 2.5 standard deviations)

SEK/USD *

Nasdaq Biotechnology Index

NIFTY

Denmark’s Copenhagen OMX 25 *

Poland’s WIG Index

Vietnam

Oversold (RSI < 30)

Copper/Gold Ratio

U.S. 3 month government bill yield *

U.S. 5 year bond yield minus U.S. 3 month bill yield

Australian Coking Coal *

U.S. Midwest Hot Rolled Coil Steel *

North European Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

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

EUR/USD

RMB/USD *

DKK/USD *

Notes & Ideas:

Most government bond yields fell.

The few yields that rose were the Canadian, Danish, Finnish, Japanese, Russian, Swedish and U.S. 2’s.

Chilean & U.S. 2’s have risen for 5 consecutive weeks.

The U.S. 2’s are their highest weekly close in 4 months,

Japanese 2’s are in a 4 week rising streak. They have risen for 7 of the past 8 weeks.

U.S. 10 year minus Euro 10 year bond yield spread has climbed for 9 of the past 10 weeks.

and the U.S. 5 year inflation break-even rate has nearly completed an upward mean reversion.

Equities were mostly firmer.

Notably, financials appear in the overbought category.

Brazil’s BOVESPA had a bullish outside reversal.

Tel Aviv 35 Index fell and broke its 5 week winning streak.

The PSI & SMI rose and broke their 4 week losing streaks.

Chinese, Hong Kong, French and Italian indices were weaker.

Helsinki and the CAC are in 5 week losing streaks.

The former has fallen for 7 of the past 8 weeks.

HSCEI has sunk for 6 of the past 7 weeks.

And the S&P MidCap 400 long trade may be coming to an end.

Nearly all Commodity prices were stronger. 

All the precious metals bounced along with Oil and Gas prices.

Cocoa, Orange Juice, Coffee & Hogs also gained.

WTI Crude had a bullish reversal outside week.

Natural Gas spiked to overbought

Uranium, Lumber and Soybeans were among the small list of losers.

The Baltic Dry Index fell 12% to halve the previous fortnight gains.

Copper is nearing its lowest close since March 2024.

Silver broke its 4 week losing streak.

Sugar is in a 7 week losing streak.

U.S.Midwest Hot Rolled Coil Steel has spent 26 weeks being oversold,

while Lithium Hydroxide is showing some life, it has now lingered in weekly oversold territory for 77 consecutive weeks.

And Tin is nearing an oversold reading.

Currencies were active again, again.

Several pairs are appearing in thus weeks list.

The DXY Index is at its highest close in 12 months and is in a 8 week rising streak.

AUD rose, breaking some losing streaks.

The Canadian Loonie rose, again.

The Swiss fell, so much that the CHF/USD has slumped for 6 weeks straight and for 7 of the past 8 weeks.

The Colombian Peso is in a 4 week losing streak and has fallen for 7 of the past 8 weeks.

China’s Yuan has fallen for 6 straight weeks versus the USD.

The Euro was weaker.

GBP was most weaker too., The GBP/USD is in a 8 week losing streak.

The MYR/USD broke its 7 week declining streak.

NZD/USD has sunk for 7 of the past 8 weeks.

And the Philippine Peso has made a new ‘lower low’ versus the USD.

The larger advancers over the past week comprised of;

Bloomberg Commodity Index 3%, Brent Crude Oil 5.4%, Cocoa 5.4%, WTI Crude Oil 6.5%, Cotton 2.7%, Lean Hogs 2.7%, Heating Oil 4.7%, JKM LNG 3.8%, Arabica Coffee 6.9%, Cattle 1.6%, LNG JKM in Yen 8.5%, Lithium Hydroxide 2.3%, Natural Gas 10.8%, Nickel 1.9%, Orange Juice 5.3%, Palladium 8.1%, Platinum 3.2%, Gasoline 4.9%, Robust Coffee 4.4%, S&P GSCI 3.8%, CRB Index 3.6%, Gasoil 4%, Silver in AUD 3%, Silver in USD 3.6%, Gold in AUD 5.3%, Gold in CAD 5.2%, Gold in CHF 6.7%, Gold in EUR 7.2%, Gold in GBP 6.7%, Gold in USD 6%, Gold in ZAR 5.5%, Wheat 1.9%, AEX 2%, KBW Bank Index 2%, BUX 2.3%, DJ Industrials 2%, S&P SmallCap 600 3.8%, Russell 2000 4.5%, Nasdaq Composite 1.7%, KRE Regional Bank Index 3%, KSE 3.2%, KOSPI 3.5%, S&P MidCap 400 4.2%, Nasdaq Biotech Index 3%, Nasdaq 100 1.9%, Oslo 1.6%, SA40 1.8%, Sensex 2%, SOX 2.5%, S&P 500 1.7%, Nasdaq Transports 1.8%, TSX 2.2%, FTSE 100 2.5%, ASX Financials 1.8%, ASX 200 1.3% and the ASX Materials Index rose 1.7%.

The group of largest decliners from the week included;

Baltic Dry Index (11.7%), Lumber (2.6%), Aluminium (3.1%), Uranium (6.1%), Oats (1.8%), Soybean (1.5%), Shanghai Composite (1.9%), CSI 300 (2.6%), China A50 (1.8%), Egypt (2.6%) and Italy’s MIB fell 2%. 

November 24, 2024

By Rob Zdravevski

rob@karriasset.com.au