rob zdravevski's blog

Macro Extremes (week ending March 14, 2025)

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.

n.b. pricing of (commodity) futures contracts is only considering the immediate front month.

* denotes multiple week inclusion

Extremes above the Mean (at least 2.5 standard deviations)

Austrian, Swiss, Czech, German, Danish, Spanish, Greek, Dutch and Portuguese 10 year government bond yields 

BofA High Yield Index yield

BofA High Yield Index Option Adjusted Spread 

Copper/Gold Ratio

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

U.S. 30 year minus U.S. 10 year bond yield spread

Copper

Tin

Silver in AUD & USD

JPY/AUD *

Vietnam’s equity index *

Overbought (RSI > 70) 

Japanese 2, 5 & 10 year government bond yields *

Gold in AUD, CAD, CHF, USD and ZAR *

Austria’s ATX *

Hungary’s BUX Index *

Germany’s DAX Index *

Italy’s MIB Index *

HSCEI Index *

Hang Seng Index *

Pakistan’s KSE Index

Czech Republic’s PX Index *

Chile’s IPSA and IGPA Indices *

And Poland’s WIG Index

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

None

Extremes below the Mean (at least 2.5 standard deviations)

U.S. 2, 3 and 5 year government bond yields

AUD/CHF

AUD/EUR

AUD/GBP

CAD/CHF

CAD/EUR

CAD/GBP

CAD/JPY

AUD/EUR *

AUD/GBP *

AUD/JPY *

CAD/CHF *

CAD/EUR

CAD/GBP

CAD/JPY

USD/SEK

KBW Bank Index

Dow Jones Industrials 

Dow Jones Transports

S&P SmallCaps 600 Index *

Russell 2000 *

Taiwan’s TAEIX 

Malaysia’s KLSE

The FTSE 250

Nasdaq Composite *

S&P MidCap 400 *

Nasdaq 100 *

Nikkei 225

Thailand’s SET *

Philadelphia SOX Index *

S&P 500 

ASX Financials

ASX 200

And the ASX 200

Oversold (RSI < 30)

U.S. 3 month government bill yield *

Australian Coking Coal *

Richards Bay Coal

North European Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

Newcastle Coal *

Orange Juice *

And Uranium *

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

U.S. 10 year government bond yield minus German 10 year bond yield spread

Nasdaq Transportation Index

Notes & Ideas:

Government bond yields were subdued.

There was a slight bias higher for longer dated issues while the yield for shorter dated paper tended to ease.

This is evident in some U.S. spreads appearing in this week’s list.

It’s worth noting those yields and spreads which were omitted from this week’s edition.

High Yield bond yields have entered overbought territory.

And Norwegian 10’s are building their way towards an all-time high.

Equities were mostly weaker, again.

This week sees a few more of the world’s indices join the American indices at oversold extremes.

South American, Central European and Chinese bourses were the few to rise during the week.

Some of these are found in this week’s overbought list.

Spain’s IBEX, Switzerland’s SMI and Singapore’s STI departed overbought territory, while Israel’s TA35 and Poland’s WIG rejoin that membership.

During the week, the KBW Bank Index, Dow Jones Industrials, Dow Jones Transports, TAIEX and Nikkei 225 ventured into oversold land.

Germany’s DAX Index is overbought for 7 weeks. 

Thailand’s SET has fallen for 7 consecutive weeks.

Vietnam’s main index has risen for 8 weeks.

The S&P SmallCap 600, MidCap 400 and Russell 2000 have declined for 7 consecutive weeks.

Switzerland’s SMI broke its 4 week winning streak. 

Amsterdam’s AEX, Philly’s SOX, Nasdaq Transports, the Nasdaq Composite, the ASX Industrials and the ASX 200 are in 4 week losing streaks.

And the S&P SmallCap 600 has fallen for 5 straight weeks.

Commodities saw much activity.

Silver, Platinum and Palladium added to last weeks gains.

LNG Gas prices along with Tin and Sugar also had a good week.

Coal, Coffee, Distillates and some Softs languished.

Cotton, Lean Hogs & JKM LNG (as priced in Yen) all rose enough to see them depart the oversold category.

Copper and Tin enter overbought territory, while Lumber & Arabica Coffee makes an exit.

While Gold rose for the week, Copper’s advance was large enough to poke the Copper/Gold Ratio into an overbought extreme.

The Baltic Dry Index has soared 82% over the past 4 weeks. No one is building new ships…..

Cocoa has fallen for 6 of the past 7 weeks and is in a 4 week losing streak.

Heating Oil has also sunk for 4 consecutive weeks.

Gasoline and Rubber are in 5 week losing streaks.

Orange Juice declines further, extends its losing streak to 12 weeks. That’s an example of quite an extreme.

U.S. Hot Rolled Coil Steel has climbed for 7 weeks.

Brent Crude and WTI Crude broke 7 straight weeks of decline. 

Tin prices have soared 25% over the past 6 weeks.

while Lithium Hydroxide has now lingered in weekly oversold territory for 93 consecutive weeks.

Currencies were mostly quiet and uneventful.

Myopically, the Aussie was mixed, with a slight upward bias if I was forced to choose.

The larger picture shows the AUD and CAD exhibiting ‘risk off’ tendencies and correlations.

Inversely, the Swiss and the Yen have been attracting the ‘risk-off’ love.

The Euro firmed.

The Loonie has fallen for 5 straight weeks agains the Euro.

And oddly, the Swedish Krona is soaring against the USD.

The larger advancers over the past week comprised of;

Baltic Dry Index 19.2%, Cotton 2%, Copper 4%, JKM LNG 2.9%, JKM LNG in Yen 8.4%, Tin 8.9%, Palladium 1.9%, Platinum 4.8%, Gasoline 1.9%, Sugar 4.8%, Dutch TTF Gas 5.8%, Silver in AUD 3.6%, Silver in USD 3.9%, Gold in AUD 2.3%, Gold in CAD 2.6%, Gold in CHF 3.2%, Gold in EUR 2.2%, Gold in GBP 2.5%, Gold in USD 2.6%, Gold in ZAR 2.2%, CSI 300 1.6%, China A50 4.2%, BOVESPA 3%, PX 1.8%, IGPA 1.7%, IPSA 1.8%, TA35 1.8%, BIST 3.2% and Poland’s WIG rose 3.7%.

The group of largest decliners from the week included;

Australian Coking Coal (3%), Richards Bay Coal (3%), Cocoa (5.1%), North European Hot Rolled Coil Steel (2.8%), Heating Oil (2.4%), Coffee (1.9%), Newcastle Coal (1.8%), Natural Gas (6.7%), Orange Juice (13.1%), Gasoil (1.6%), Corn (2.3%), KBW Bank Index (2.8%), DJ Industrials (3%), DJ Transports (6.2%), IBEX (1.9%), Jakarta Composite (3%), S&P SmallCap 600 (2.6%), Russell 2000 (1.8%), TAEIX (2.7%), Nasdaq Composite (2.4%), KLSE (2.3%), S&P MidCap 400 (1.9%), Nasdaq 100 (2.5%), Copenhagen (2.4%), Stockholm (1.7%) S&P 500 (2.3%), STI (2%), Nasdaq Transports (6.7%), ASX Financials (3.1%), ASX 200 (2%), ASX Industrials (2.7%) and the ASX Small Caps fell 1.7%.

March 16, 2025

By Rob Zdravevski

rob@karriasset.com.au