Macro Extremes (week ending September 30, 2022)
October 2, 2022 Leave a comment
The following assets (on a weekly timeframe) registered an Overbought or Oversold reading and/or have traded more than 2.5 standard deviations above or below its rolling mean.
Extremes “above” the Mean (at least 2.5 standard deviations)
Australian 2 year government bond yield
Swiss 10 year government bond yield
U.S. 10 year minus Australian 10 year bond yield spread
Overbought (RSI > 70)
U.S. 2 year government bond yield
The Overbought Quinella – Both Overbought and Traded at > 2.5 standard deviations above the weekly mean)
U.S. Dollar Index (DXY)
U.S. 5, 10, 20 and 30 year government bond yields
German 2, 5 & 10 year government bond yields
British 5 year government bond yields
Spanish, French, British, Greek, Italian, Korean, Portuguese and Swedish 10 year government bond yields
TBT & TBX
Extremes “below” the Mean (at least 2.5 standard deviations)
U.S. 10 year minus U.S. 5 year bond yield
Cocoa
AUD/USD
CAD/USD
SEK/USD
AUD/INR
AUD/SGD
Oslo, Copenhagen and Helsinki equity bourses
Spain’s IBEX
The FTSE 100 and the Swiss SMI equity indices
Oversold (RSI < 30)
Tin
Hot Rolled Coil Steel (HRC)
JPY/USD
KRW/USD
HSCEI
Taiwan’s TAIEX, South Korea’s KOSPI and the HSCEI equity indices
The Oversold Quinella – Both Overbought and Traded at > 2.5 standard deviations above the weekly mean)
CAD/USD
NZD/USD
SGD/USD
NZD/AUD
IEF, IEI & TLT
Notes & Ideas:
The big news for the week was the whipsawing action seen in the foreign exchange markets.
The British Pound bounced and made up nearly all of the weakness seen early in the week.
I write this note about the perspective and figures behind the move.
In that note, I highlighted that this week the AUD lost 3.1%, 4.7% and 1.9% versus the EUR, GBP and USD respectively. Along with the AUD/JPY, these currency crosses all appeared in the past week editions showing the AUD trading at ‘extremes’ to each of them.
Yet, we don’t hear the word crisis’ used when the Aussie tanks 5% against Sterling??
For additional comparison, this past week the FTSE 100 equities index fell 1.8% whilst the ASX 200 declined an almost equal 1.5%.
The Aussie stockmarket wasn’t labelled as being in crisis.
Perhaps, we can say, not all crises are same?
In equities, on a closing weekly basis, we mostly saw consolidating and benign moves especially amongst the Small and Mid Cap indices.
However, intra-week also saw plenty of movement.
And we are now seeing some in Oversold territory again.
The larger losers for the week appear in the list below along with a host of idea generators.
We saw the S&P 500 mean revert to its 200 week moving average (WMA) for the first time since March 2020 and last week’s visitors to the 200 WMA stay around it, including the Nasdaq 100, CAC, Russell 2000 and U.S. small and mid caps.
The DAX, SOX and Dow Jones Industrials are nearing that mark, as are a few others
We also saw subdued moves in many other markets. The U.S. Dollar Index only fell 0.8% and the CRB Index snoozed at (0.07%).
All the larger moves (+/- 2%) for the week appear in the list below, which has featured the smallest amount of securities in some weeks.
The larger advancers over the past week comprised of;
Australian Coking Coal 3.2%, Cocoa 4.8%, Gasoil 3.1%, Copper 2.1%, Heating Oil 4.1%, JKM KNG 3.1%, Orange Juice 4%, Palladium 54%, Dutch TTF Gas 1.8%, Silver in AUD 2.9%, Gold in AUD 3%, Wheat 4.7%, Nasdaq Biotech 2.1%.
The group of decliners included;
Rotterdam Coal(3.5%), Baltic Dry Index (3.1%), China Coal (4.9%), Lean Hogs (3.7%), HRC (3.2%), Lumber (2.9%), Tin (2.3%), Nickel (6.5%), Sugar (3.3%), Cotton (7.8%), Florida Urea (6.1%), Brent Crude (1.6%), Middle East Urea (11.3%), Soybeans (4.3%), Shanghai Composite (2.1%), KBW Banks (3.1%), DJ Industrials (2.9%), MIB (2%), HSCEI (33%), HSI (4%), IBEX (2.9%), Nasdaq (3%), Nikkei (4.5%), SOX (4.2%), S&P 500 (2.9%), Strait Times (3%), TAIEX (4.9%), FTSE 100 (1.8%), Nasdaq Composite (2.7%) and Australia’s ASX 200 declined 1.5% for the week.
October 2, 2022
By Rob Zdravevski
rob zdravevski's blog 