rob zdravevski's blog

Macro Extremes (week ending January 10, 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.

* denotes multiple week inclusion

Extremes above the Mean (at least 2.5 standard deviations)

Austrian, Chilean, French & Dutch 10 year government bond yields

Eurozone 5 year government bond yield

Bloomberg Commodity Index

Brent Crude Oil

WTI Crude Oil

Heating Oil

Cattle

Natural Gas *

Gasoil

Corn

Overbought (RSI > 70)

Japanese 2,5 and 10 year government bond yield *

Brazilian, Europe and British 10 year government bond yields *

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

DXY Index *

Arabica Coffee

Gold as priced in AUD, CAD and EUR

Hungary’s BUX Index

Pakistan’s KSE Index *

Czech Republic’s PX Index *

Israel’s TA35 *

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

Australian 10 year bond yield minus Australian 2 year bond yield *

Australian 10 year bond yield minus Australian 5 year bond yield *

U.S. 10 year bond yield minus U.S. 2 year bond yield spread *

Urea U.S. Gulf 

Gold in ZAR

Extremes below the Mean (at least 2.5 standard deviations)

Belgian 10 year government bond yields * 

ZAR/USD *

FTSE 250 Index

Oversold (RSI < 30)

Chinese 10 year government bond yields * 

U.S. 3 month government bill yield *

North European Hot Rolled Coil Steel *

U.S. Midwest Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

AUD/THB

AUD/USD

CAD/USD *

EUR/USD

GBP/USD

NZD/USD

RMB/USD *

DKK/USD *

INR/USD *

KRW/USD *

SGD/USD *

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

Newcastle Coal *

Notes & Ideas:

Government bond yields rose.

The Euro 10 year yield has risen for 6 weeks straight as has the US10/2 yield spread.

Spanish, French, Italian, Dutch and Portuguese 10 year bond yields have risen for 5 weeks. 

Many of the spreads appearing in last weeks list, no longer appear.

And Czech 10’s broke their 5 week rising streak.

Equities mostly declined.

The Czech Republic’s PX Index has risen for 13 of the past 14 weeks.

Israel’s Tel Aviv 35 Index had climbed for 7 straight weeks and for 12 of the past 13.

Some U.S. indices had bearish outside reversal weeks.

Brazil’s BOVESPA breaks its 4 week losing streak and bounces out of oversold.

The Regional Banks (KRE) Index has fallen for 6 consecutive weeks.

While Chinese and Hong Kong equities were notable decliners, again.

The HSCEI Index has fallen 16% since it registered an overbought quinella at the beginning of October 2024.

Commodity prices were mixed.

The broader commodity indices rose due to the weighting of their constituents.

The Bloomberg Commodity Index is overbought while the CRB is near.

Oils, Gases, Precious Metals, Grains and Base Metals were the notable gainers.

Coal, LNG, Cocoa and Orange Juice were amongst the weeks losers.

Arabica coffee returns to being overbought, while Rice bounced from oversold territory.

Coal prices are in oversold territory.

Gold as priced in AUD and CAD has risen for 6 consecutive weeks.

Following last week’s quip, Nickel bounced.

Sugar has fallen for 12 of the past 14 weeks.

Dutch TTF Gas fell 9%, giving up half of the 18% gain seeing the previous 3 weeks. 

U.S.Midwest Hot Rolled Coil Steel has spent 33 weeks being oversold,

while Lithium Hydroxide has now lingered in weekly oversold territory for 84 consecutive weeks.

Currencies were active, again and again.

The DXY (USD) Index remains in overbought territory,

The AUD was weak and it returns to being oversold versus the USD and against the THB.

It has fallen 6 weeks straight against the former.

The Loonie rose and did the Yen.

The Pound Sterling was weaker.

The Swiss Franc has fallen for 5 weeks against the USD.

The Loonie remains oversold versus the USD as does China’s Renminbi.

And the NZD/USD has fallen for 13 of the past 15 weeks.

The larger advancers over the past week comprised of;

Aluminium 3.7%, Bloomberg Commodity Index 4.1%, Brent Crude 3.6%, WTI Crude Oil 3.5%, Lean Hogs 2.2%, Copper 5.7%, Heating Oil 6.5%, Lumber 2.1%, Cattle 2.4%, Tin 4.5%, Natural Gas 18.9%, Nickel 3.7%, Palladium 5%, Platinum 5%, S&P GSCI 3.1%, CRB Index 3.4%, Urea U.S. Gulf 4%, Gasoil 4.2%, Silver in AUD 3.9%, Silver in USD 2.7%, Gold in AUD 3.1%, Gold in CAD 1.7%, Gold in CHF 2.8%, Gold in EUR 2.6%, Gold in GBP 3.7%, Gold in USD 2%, Gold in ZAR 4.1%, Corn 4.4%, Oats 1.9%, Rice 3.8%, Soybean 3.4%, BUX 2.5%, CAC 2%, DAX 1.6%, Chile 1.6% and Italy’s MIB rose 2.8%.

The group of largest decliners from the week included;

Australian Coking Coal (4.1%), Richards Bay Coal (7.1%), Rotterdam Coal (6.6%), Baltic Dry Index (2.2%), Cocoa (5.9%), JKM LNG in Yen (5.1%), Lithium Hydroxide (7.2%), Newcastle Coal (7.3%), Orange Juice (3.1%), Sugar (2.2%), Sugar (2.7%), Dutch TTF Gas (9.3%), Uranium (1.7%), KBW Banks (2.3%), China A50 (2.8%), DJ Industrials (1.8%), Egypt 30 (2.1%), HSCEI (3.7%), Hang Seng (3.5%), Jakarta (2%), S&P Small Caps 600 (2.7%), Russell 2000 (3.4%), Nasdaq Composite (2.3%), KLSE (1.7%), KRE Regional Banks (3.7%), KSE (3.7%), FTSE 250 (4.2%), S&P MidCap 400 (1.7%), Nasdaq Biotech (1.7%), Nasdaq 100 (2.2%), Nikkei 225 (1.8%), NIFTY (2.4%), SENSEX (2.3%), SOX (2.4%), Vietnam (1.9%) and the S&P 500 fell 1.9%.

January 12, 2025

By Rob Zdravevski

rob@karriasset.com.au

Macro Extremes (week ending December 27, 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)

Australian 10 year bond yield minus Australian 2 year bond yield 

Australian 10 year bond yield minus Australian 5 year bond yield 

Chilean 2 and 10 year government bond yields

Swedish 10 year government bond yield

Japan Korean Marker (JPM) LNG

Natural Gas

Overbought (RSI > 70)

Japanese 2 year government bond yield

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

Arabica coffee *

Pakistan’s KSE Index *

Czech Republic’s PX Index *

Israel’s TA35 *

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

Brazil 10 year government bond yield

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

U.S. 10 year bond yield divided by the Australian 10 year bond yield spread *

Extremes below the Mean (at least 2.5 standard deviations)

Rice

AUD/GBP

AUD/SGD

ZAR/USD

Oversold (RSI < 30)

U.S. 3 month government bill yield *

Australian Coking Coal *

North European Hot Rolled Coil Steel *

U.S. Midwest Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

Newcastle Coal *

RMB/USD *

CAD/USD

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

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

Chinese 10 year government bond yields *

Uranium

AUD/THB *

BRL/USD *

INR/USD *

KRW/USD *

Notes & Ideas:

Government bond yields were mixed overall, with a bias for higher rates. 

Euro 5’s and 10’s yields have risen for 4 weeks straight.

Yields across the British curve have also climbed for 4 weeks, as have Swedish 10’s.

The South Korean 10 year yield has bounced since its oversold reading 3 weeks ago.

Brazilian 10’s have risen for 6 weeks.

Chinese yields broke their 6 consecutive weeks of declines.

The U.S. 10 minus Euro 10 spread is nearly overbought.

While this week sees the return of the Aussie yield curve return to overbought territory.

Equities were stronger, reversing the previous 2 weeks of weakness.

The overreactive decline following last weeks Fed announcement seems comical now. 

The Czech Republic’s PX Index has risen for 11 of the past 12 weeks.

Israel’s Tel Aviv 35 Index had climbed for 5 straight weeks.

The Russell 2000 rose and Oslo’s OBX Index broke their 4 week losing streak.

The Regional Banks (KRE) Index is in 5 week losing streaks.

And Indonesia’s IDX is nearly oversold.

Commodity prices were mixed.

Gases, Corn and Wheat were the notable gainers.

Cocoa, Oat and Coal prices were amongst the weeks losers.

Aluminium and JKM LNG (in Yen) broke their 4 week losing streaks.

Gold as priced in AUD and CAD has risen for 4 consecutive weeks, as has Corn.

Nickel is now trading 32% below its 200 week moving average and at its lowest close since early June, 2020.

Sugar has fallen for 11 of the past 12 weeks.

Dutch TTF Gas has climbed 15% over the past 2 weeks.

The Baltic Dry Index broke its 5 week losing streak,

Palladium has declined for 5 weeks, 

while Uranium extends its loses to 6 consecutive weeks.

Lean Hogs and Cocoa broke their respective 5 and 6 straight weeks of gains.

U.S.Midwest Hot Rolled Coil Steel has spent 31 weeks being oversold,

while Lithium Hydroxide has now lingered in weekly oversold territory for 82 consecutive weeks.

Currencies were active, again.

The Aussie was weaker again.

The Thai Baht is at its highest against the AUD since June 2020.

The AUD has fallen for 10 of the past 13 weeks against the USD and the CAD.

The Euro was firmer.

EUR/JPY has risen for 4 straight weeks.

And so, the Yen was weaker and it has fallen for 4 weeks against the USD.

The Loonie remains oversold versus the USD as does China’s Renminbi.

And the NZD/USD has fallen for 11 of the past 13 weeks.

The larger advancers over the past week comprised of;

Aluminium 1.7%, Rotterdam Coal 3.2%, WTI Crude Oil 1.6%, JKM LNG 4.6%, JKM LNG in Yen 11.6%, Dutch TTF Gas 8.1%, Corn 1.7%, Wheat 2.5%, All World Developed ex USA 1.6%, China A50 2%, HSCEI 2.3%, Hang Seng 1.9%, TAIEX 3.4%, KLSE 2.3%, Nikkei 225 4.1%, Oslo 1.8%, Copenhagen 3.3%, Helsinki 1.7%, PSE 1.9%, SET 2.7%, SMI 1.8%, SOX 3.2%, ASX Financials 3.4%, ASX 200 2.4%, ASX Industrials 2.1%, ASX Small Caps and Turkiye’s BIST rose 3.1%.

The group of largest decliners from the week included;

Australia Coking Coal (2%), Cocoa (15.3%), Lean Hogs (2.1%), Newcastle Coal (1.9%), Orange Juice (2.7%), Uranium (3%), Oats (9.5%), Rice (1.5%), Egypt (1.9%) and Brazil’s BOVESPA fell 1.5%.

December 29, 2024

By Rob Zdravevski

rob@karriasset.com.au