rob zdravevski's blog

Macro Extremes (week ending January 31, 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)

Cattle *

Corn *

Gold in USD

Spain’s IBEX Index

Sweden’s OMX Stockholm Index *

Switzerland’s SMI Index

Poland’s WIG Index

Australia’s ASX 200 Index

And the U.K.’s FTSE 100 *

Overbought (RSI > 70)

Japanese 2, 5 and 10 year government bond yields *

Arabica Coffee *

Robusta Coffee 

Urea (U.S. Gulf price) *

Gold as priced in AUD, CHF, EUR, GBP and ZAR.

Hungary’s BUX Index *

Pakistan’s KSE Index *

Czech Republic’s PX Index *

Singapore’s Strait Times Index

Israel’s TA35 *

Chile’s IGPA Index *

And Australia’s ASX Industrials Index

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

Germany’s DAX Index *

Austria’s ATX *

Chile’s IPSA Index *

Extremes below the Mean (at least 2.5 standard deviations)

Lumber

Oversold (RSI < 30)

Chinese 10 year government bond yields * 

U.S. 3 month government bill yield *

Australian Coking Coal *

Baltic Dry Index

Newcastle Coal *

North European Hot Rolled Coil Steel *

U.S. Midwest Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

AUD/THB *

CAD/USD

INR/USD *

And Philippine’s PSE Index

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

None 

Notes & Ideas:

Government bond yields fell.

The only bond yields appearing in this week’s list is the overbought Japanese curve and the oversold Chinese 10’s.

Chile’s 2 year bond yields are in a 4 week rising streak,

As are the Japanese 2’s and 10’s.

Equities were mixed with an upward bias. 

The CAC, DAX and ASX 200 are in 4 week winning streaks.

The first 2 have risen 9% in those 4 weeks.

Austria’s, Hungary’s and Switzerland’s main equity index have risen for 6 weeks straight.

The SMI climbed 10% over that time.

Chile’s IPSA is also in a 4 week rising streak and has risen for 10 of the past 12 weeks.

The KOSPI broke its 5 week winning streak.

Philippines PSE has fallen for 4 weeks.

The PSE and the Philadelphia SOX Index tanked over 6%.

The Czech Republic’s PX Index broke its 8 consecutive weeks of advance.

Hong Kong and Chinese markets were closed for most of the week.

And the DAX is at an all-time high.

Commodity prices were mixed with a lower bias.

Arabica Coffee has risen for 4 straight weeks.

Palladium has climbed for 4 of the past 5 weeks.

Orange Juice is in a 6 week losing streak.

Coal, Gases, Wheat, Sugar and Precious Metals gained.

Oil, Cocoa, Aluminium, Oats, Rice and Henry Hub Natural Gas fell.

Corn has risen for 7 of the past 9 weeks and features prominently as an ‘overbought extreme’.

Cattle prices are at their highest since November 2014.

The Baltic Dry Index has fallen 59% over the past 2 months.

Coal prices remain in oversold territory.

Gold as priced in CAD has risen for 9 consecutive weeks, 

Gold in USD has risen for 5 weeks while Gold in CHF is in a 6 week winning streak.

Sugar has fallen for 13 of the past 17 weeks.

U.S. Midwest Hot Rolled Coil Steel broke its 4 week losing streak but has spent 36 weeks being oversold,

while Lithium Hydroxide has now lingered in weekly oversold territory for 87 consecutive weeks.

Currencies saw some action.

The DXY (USD) Index rose 1%

The AUD fell.

The Brazilian Real has risen for 5 straight weeks versus the USD.

The Loonie is at its lowest since March ’20 and Jan ;16.

The Euro was weaker.

While the Yen rallied.

The larger advancers over the past week comprised of;

Richards Bay Coal 2.3%, Rotterdam Coal 2.5%, Leans Hog 2.3%, JKM LNG 2.3%, Coffee 8.7%, Lumber 4.7%, Palladium 6.2%, Platinum 7.4%, Robusta Coffee 3.1%, Sugar 1.7%, Sugar #16 4.2%, Dutch TTF Gas 6.9%, Silver in AUD 4.1%, Silver in USD 2.8%, Gold in AUD 2.7%, Gold in CAD 2.3%, Gold in EUR 2.3%, Gold in GBP 1.8%, Gold in ZAR 2.5%, Wheat 2.9%, AEX 2.3%, IBEX 3.2%, BOVESPA 3%, KRE Regional Banks 1.3%, FTSE 2.1%, NIFTY 2.1%, OBX 1.8%, SA40 2.4%, SENSEX 1.7%, SMI 2.5%, IGPA 2%, FTSE 100 2%, WIG 1.8%, ASX Financials 1.6% and the ASX 200 rose 1.5%.

The group of largest decliners from the week included;

Aluminium (2.6%), Baltic Dry Index (5.5%), Brent Crude Oil (2.5%), Cocoa (5.2%), WTI Crude Oil (2.9%), Cotton (2.6%), Heating Oil (2.1%), Natural Gas (17.2%), Nickel (3.1%), S&P GSCI (1.6%), CRB Index (1.6%), Gasoil (1.5%), Oats (3.5%), Rice (5.7%), DJ Transports (1.8%), Russell 2000 (1%), Nasdaq Composite (1.6%), S&P MidCap 400 (1.1%), PSE (6.9%), SET (2.9%), SOX (6.1%), S&P 500 (1%) and the Tel Aviv 35 fell 2.7%.

February 2, 2025

By Rob Zdravevski

rob@karriasset.com.au