Macro Extremes (week ending November 29, 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 *

CAD/EUR *

Dow Jones Transport Index

S&P Small Cap 600

Russell 2000

S&P Mid Cap 400

Overbought (RSI > 70)

USD/INR

KBW Bank Index *

Dow Jones Industrials 

Pakistan’s KSE Index *

Czechia’s PX Index *

Israel’s TA35 *

Nasdaq Transports Index *

Toronto’s TSX *

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

Brazilian 10 year government bond yields

Arabica Coffee *

Hungary’s BUX Index *

KRE Regional Banks Index *

Extremes below the Mean (at least 2.5 standard deviations)

Austrian, Swiss, Danish, Spanish, Greek and Italian government bond yields

BRL/USD

CAC Index

Oversold (RSI < 30)

U.S. 3 month government 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)

South Korean 10 year government bond yields

Notes & Ideas:

Government bond saw much action as most yields fell.

Only Brazilian and Finnish yields rose.

The former appears as an overbought extreme and the latter is in a 4 week rising streak.

Chilean & U.S. 2’s broke their 5 consecutive weeks of advance.

EU yields have declined for 4 weeks, across the curve.

British 2, 3 and 5 bond yields have declined for 4 consecutive weeks.

Japanese 2’s have risen for 5 straight weeks and for 8 of the past 9.

U.S. break-even inflation rates have declined to their lowest in 5 weeks.

Spanish 10 year yields are at their lowest since November 2022

While Danish 10’s yields are at their lowest since September 2022.

Equities were mostly firmer.

Some of the emerging market indices were weaker.

Helsinki and the CAC are in 6 week losing streaks.

While the KSE has risen for 6 straight weeks.

A bunch of U.S. indices appear in this weeks overbought extreme list.

The TAIEX posted a bearish outside reversal week.

Australia’s Industrials Index has advanced for the past 4 weeks

And the Nasdaq Biotech Index has recovered half of the 10% drop seen 3 weeks prior.

Commodity prices were mostly weaker, reversing last weeks strength.

Precious Metals, Oil, Gas and Wheat prices fell, giving up last week’s gains.

Arabica coffee is in a 4 week winning streak.

Oats, Shanghai Rebar and Sugar are in their respective 4, 7 and 9 week losing streaks. 

JKM LNG in Yen and other gas prices aren’t overbought anymore nor is the Copper/Gold Ratio.

The Baltic Dry Index has fallen 26% over the past fortnight.

U.S.Midwest Hot Rolled Coil Steel has spent 27 weeks being oversold,

while Lithium Hydroxide has now lingered in weekly oversold territory for 78 consecutive weeks.

Currencies were active again, again.

All of the currency pairs appearing as extremes last week, are no longer so.

The DXY Index broke its 8 week rising streak.

The Aussie was mostly weaker. It fell 3% against the Yen.

The Brazilian Real fell to a new low against the USD.

The Loonie was weaker.

The world huddled into the Swiss Franc. It broke a 6 week losing streak against the USD and the CHF/AUD posted a bullish outside reversal week. 

The Yen rose.

The Swedish Krona and Chinese Yuan both rose and broke their 6 week losing streak vs. the USD.

The GBP also rose against the USD, bringing its 8 consecutive weeks of declines, to an end.

While the EUR/JPY has fallen for 4 straight weeks, the EUR/USD isn’t oversold anymore.

The larger advancers over the past week comprised of;

Cotton 1.6%, Hot Rolled Coil Steel 4.3%, Arabica Coffee 5.3%, Natural Gas 5%, Robusta Coffee 8.5%, Iron Ore 2.7%, Rubber 1.8%, Shanghai 1.8%, All Developed World ex-USA 1.6%, DAX 1.6%, Dow Jones Industrials 1.6%, KSE 3.6%, Nasdaq Biotech 2.5%, S&P 500 1.2%, Nasdaq Transports 1.8%, Vietnam 1.8% and the ASX Small Caps rose 1.9%.

The group of largest decliners from the week included;

Baltic Dry Index (11.9%), Brent (4%), Cocoa (3.7%), WTI Crude Oil (4.6%), DXY Index (1.6%), Heating Oil (4%), JKM LNG in Yen (5.9%), Tin (1.9%), Newcastle Coal (3.6%), Palladium (2.9%), Platinum (2.2%), Gasoline (5.8%), Cane Sugar (3.7%), S&PGSCI (2.1%), Gasoil (3%), Silver in AUD (2.7%), Silver in USD (2.3%), Gold in AUD (2.8%), Gold in CAD (2.3%), Gold in CHF (3.9%), Gold in EUR (3.9%), Gold in GBP (4%), Gold in USD (2.4%), Oats (3.4%), Wheat (3%), BUX (2%), Bovespa (2.7%), TAIEX (2.8%), PSI (2.5%) and the KOSPI fell 1.8%.

November 30, 2024

By Rob Zdravevski

rob@karriasset.com.au