Macro Extremes (week ending January 17, 2025)

January 19, 2025 Leave a comment

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)

Chilean and Japanese 2 year government bond yields

German and Japanese 5 year government bond yields

Austrian, Canadian, German, Danish, Spanish, French, Greek, Italian, Japanese, Dutch and Portuguese 10 year government bond yields

Australian 10 year minus Australian 2 year bond yield spread

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

Bloomberg Commodity Index

Brent Crude Oil *

WTI Crude Oil *

Heating Oil *

Cattle

Natural Gas *

Gasoil *

Gasoline 

S&P GSCI Index

CRB Index

Corn *

CAD/GBP

Italy’s MIB Index

Chile’s IGPA Index

And the U.K.’s FTSE 100

Overbought (RSI > 70)

Brazilian 10 year government bond yield *

DXY Index *

Arabica Coffee *

Gold as priced in AUD, CAD, GBP and EUR

Austria’s ATX Index

Hungary’s BUX Index

Germany’s DAX 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)

Urea U.S. Gulf 

Extremes below the Mean (at least 2.5 standard deviations)

Belgian and Finnish 10 year government bond yields * 

Rotterdam Coal

Raw Sugar

Egypt 30 Index

KLSE

FTSE 250

And Thailand’s SET Index

Oversold (RSI < 30)

Chinese 10 year government bond yields * 

U.S. 3 month government bill yield *

Australian Coking Coal

Richards Bay Coal

Newcastle Coal *

North European Hot Rolled Coil Steel *

U.S. Midwest Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

CAD/USD

EUR/USD

GBP/USD

RMB/USD *

DKK/USD *

INR/USD *

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

None 

Notes & Ideas:

Government bond yields fell.

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. 

The U.S. 5 year bond minus the U.S. 3 month bill yield spread fell from overbought territory.

And the noise surrounding the heights in the British 30 year bond yield, resulted in it declining for the week.

Equities had a terrific week.

All the notable gainers appear in the ‘advancers’ list below.

Only a few Asian indices saw weakness. 

Copenhagen’s OMX25 was the rare decliner in western markets due to Novo Nordisk accounting for 12% of the index weighting.

The past week saw an overbought extreme for Britain’s FTSE 100 juxtaposed against the FTSE 250 registering an oversold extreme.

The Czech Republic’s PX Index has risen for 7 consecutive weeks and for 16 of the past 18 weeks.

Israel’s Tel Aviv 35 Index had climbed for 8 straight weeks and for 13 of the past 14.

The Regional Banks (KRE) Index broke it for 6 consecutive weeks of decline.

The DAX is at an all-time high.

The BUX, SMI, AEX, FTSE 100, Nasdaq Transports, IBEX and Norways OBX have risen for 4 weeks in a row.

The Nikkei 225 has fallen for the past 3 weeks.

While Chinese and Hong Kong equities recovered last weeks declines.

Commodity prices were mostly higher.

The 3 major commodity indices are overbought.

Aluminium is at its highest weekly close since April 2024.

Gasoline has climbed for 4 consecutive weeks.

Corn has risen for 6 of the past 7 weeks.

While Orange Juice is in a 4 week losing streak.

The few losers for the week included Platinum, Sugar, Lumber, Australian Coking Coal and the Baltic Dry Index.

Coal prices remain in oversold territory.

Gold as priced in CAD has risen for 7 consecutive weeks, while AUD Gold broke its 6 week winning streak.

Sugar has fallen for 13 of the past 15 weeks.

U.S.Midwest Hot Rolled Coil Steel has spent 34 weeks being oversold,

while Lithium Hydroxide has now lingered in weekly oversold territory for 85 consecutive weeks.

Currencies continue to provide much action.

Compared to last week’s list, many currencies have departed the oversold region.

Although, notably, there are still a few which are oversold compared to the USD.

The DXY (USD) Index remains in overbought territory,

The AUD was stronger except vs the JPY and ZAR 

and the Aussie broke its 6 week losing streak again the USD.

The Euro was mixed 

And the Yen was firmer.

The weakness in the Loonie continued as it touched a 22 year low versus the USD.

Oddly, the Canadian Dollar registered an overbought extreme against the British Pound.

While the Swiss broke its 5 weeks losing streak against the USD, its lowest weekly close since March 2023.

The larger advancers over the past week comprised of;

Richards Bay Coal 2%, Aluminium 5.4%, Rotterdam Coal 3.3%, Cocoa 5.7%, WTI Crude Oil 2.9%, Heating Oil 3.5%, JKM LNG in ¥ 1.8%, Newcastle Coal 4.1%, Nickel 2.3%, Gasoline 1.9%, Dutch TTF Gas 4.2%, CRB Index 1.7%, Gasoil 3.1%, Corn 2.9%, Oats 10.4%, Rice 2.4%, Shanghai Composite 2.3%, CSI 300 2.1%, All Developed World ex uSA 1.8%, AEX 2.7%, ATX 3.5%, KBW Banks 8.2%, BUX 3.8%, CAC 3.8%, China A50 2.3%, DAX 3.4%, DJ Industrials 3.7%, Dow Jones Transports 3.2%, MIB 3.4%, HSCEI 3.1%, Hang Seng 2.7%, IBEX 1.7%, BOVESPA 2.9%, IDX 1.8%, S&P SmallCap 600 4.3%, Russell 2000 4%, Nasdaq Composite 2.5%, KRE Regional Banks 8.2%, KSE 1.8%, FTSE 250 4.4%, S&P MidCap 400 4.5%, Nasdaq 100 2.9%, Helsinki 2.1%, Stockholm 3.7%, PX 2%, SA40 1.8%, SOX 5.4%, Chile 2.1%, S&P 500 2.9%, TA35 3.1%, FTSE 100 3.1%, WIG 1.8% and the ASX Materials Index rose 2.6%.  

The group of largest decliners from the week included;

Australian Coking Coal (2.2%), Baltic Dry Index (5.8%), Lean Hogs (1.7%), JKM LNG (2.2%), Lumber (2.1%), Platinum (3.1%), Cane Sugar (5.2%), Raw Sugar (2.1%), Gold in ZAR (1.5%), KLSE (2.2%), Nikkei 225 (1.9%), Copenhagen (2.1%), SET (2%) and Philippines PSE fell 2.2%.

January 19, 2025

By Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending January 10, 2025)

January 12, 2025 Leave a comment

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

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending January 2025)

January 5, 2025 Leave a comment

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 5 year 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 *

Austrian 10 year government bond yield

Japan Korean Marker (JPM) LNG *

Natural Gas *

CAD/AUD

GBP/AUD *

Overbought (RSI > 70)

Japanese 2 year government bond yield *

Brazil 10 year government bond yield *

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

DXY 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)

None

Extremes below the Mean (at least 2.5 standard deviations)

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

Rice

AUD/IDR

AUD/GBP *

AUD/CAD

EUR/USD

NZD/USD

RMB

ZAR/USD *

Egypt 30 Index

Oversold (RSI < 30)

U.S. 3 month government bill yield *

North European Hot Rolled Coil Steel *

U.S. Midwest Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

Newcastle Coal *

BRL/USD *

CAD/USD *

DKK/USD

KRW/USD *

SGD/USD

Brazil’s BOVESPA Index

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

Chinese 10 year government bond yields *

INR/USD *

Notes & Ideas:

Government bond yields were mixed again.

The Euro 10 year yield has risen for 5 weeks straight.

Belgian, Finnish, Spanish, French Italian, Portuguese and Belgian yields have fallen for 4 consecutive weeks

All British yields and Brazilian 10’s broke their respective 4 and 6 week rising streaks.

And Chinese 10’s resumed their decline falling to a new low of 1.6%.

Equities mostly rose.

Strength tended to favour the small/mid caps over the large caps.

The Czech Republic’s PX Index has risen for 12 of the past 13 weeks.

Israel’s Tel Aviv 35 Index had climbed for 6 straight weeks.

Brazil’s BOVESPA has fallen for 4 straight weeks and enters the oversold region.

The Regional Banks (KRE) Index is in 6 week losing streaks.

While Chinese and Hong Kong equities were notable decliners.

Commodity prices were mixed.

Oil, Gases, Coking Coal, Shipping Rates, Cocoa, Uranium were the notable gainers.

Aluminium, Steel, Wheat, Lumber, Rubber and Nickel prices were amongst the weeks losers.

Arabica coffee isn’t overbought this week.

Australian Coking Coal not oversold, nor is Uranium.

Gold as priced in AUD and CAD has risen for 5 consecutive weeks.

Corn broke its 4 week rising streak.

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 13 weeks.

Dutch TTF Gas has climbed 19% over the past 3 weeks.

Palladium and Uranium broke their respective 5 and 6 weeks of declines. 

U.S.Midwest Hot Rolled Coil Steel has spent 32 weeks being oversold,

while Lithium Hydroxide has now lingered in weekly oversold territory for 83 consecutive weeks.

Currencies were active, again.

The big news was the DXY (USD) Index entering overbought territory,

And the resulting extremes appearing in this weeks list.

The Aussie, Loonie and Yen were firmer.

Swiss was weak as was the Euro and Pound Sterling.

The Chilean Peso is in a 5 week losing streak versus the USD.

And the AUD bounced from being oversold against the Thai Baht.

EUR/JPY and JPY/USD broke their 4 straight weeks of gains.

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

And the NZD/USD has fallen for 12 of the past 14 weeks as it registers its lowest close since May 2009.

The larger advancers over the past week comprised of;

Australian Coking Coal 4.6%, Baltic Dry Index 7.5%, Brent Crude 4.1%, Cocoa 11%, WTI Crude 4.7%, Heating Oil 4.4%, Cattle 1.8%, JKM LNG in Yen 2.5%, Lithium Hydroxide 2.5%, Gasoline 4.2%, Sugar 1.5%, S&P GSCI 1.9%, CRB Index 1.8%, Dutch TTF Gas 3.4%, Gasoil 3.3%, Uranium 6.5%, Gold in EUR 1.9%, Gold in GBP 2%, Pakistan 5.6%, Oslo 2.6%, Poland’s WIG 2% and Jakarta Composite rose 1.8%.

The group of largest decliners from the week included;

Aluminium (3.3%), Cotton (1.8%), North European Hot Rolled Coil Steel (3.1%), Lean Hogs (4%), Copper/Gold Ratio (2%), U.S. Midwest Hot Rolled Coil Steel (3%), Lumber (3.7%), Lithium Carbonate (6%), Newcastle Coal (1.8%), Nickel (1.5%), Rubber (2.7%), Wheat (3.2%), Shanghai Composite (5.6%), CSI 300 (5.2%), China A50 (3.9%), HSCEI (2%), Hang Seng (1.6%) and Taiwan’s TAEIX fell 1.6%.

January 5, 2025

By Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending December 27, 2024)

December 29, 2024 Leave a comment

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

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending December 20, 2024)

December 22, 2024 Leave a comment

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)

U.S. 5 year bond yield minus the U.S. 5 year breakeven inflation rate

U.S. 10 year bond yield minus the Australia’s 10 year bond yield *

U.S. 10 year bond yield divided by Australia’s 10 year bond yield *

Natural Gas

CHF/AUD

GBP/AUD *

Overbought (RSI > 70)

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

Arabica coffee *

RMB/USD *

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

Orange Juice

Extremes below the Mean (at least 2.5 standard deviations)

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

Rice

AUD/CHF

AUD/GBP

AUD/IDR

AUD/INR

AUD/SGD

AUD/USD

IDR/USD

Bovespa

Nasdaq Biotech Index

Swiss SMI

FTSE 100

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 *

Newcastle Coal *

AUD/THB *

KRW/USD

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

Chinese 10 year government bond yields *

BRL/USD

CAD/USD

INR/USD *

Copenhagen’s OMX 25 Index

Notes & Ideas:

Government bond yields rose again, leaving those recently oversold as a memory.

Only a few fell such as those in Belgium and Finland.

Brazilian 10’s have risen for 7 weeks.

Chinese yields have declined for 6 consecutive weeks.

Korean 10’s are not oversold anymore.

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

The U.S. 5 year ‘real interest rate’ is overbought. The 10 year version is close to being so too.

And as pre-empted in last week’s edition, the U.S. 5 year minus U.S. 3 month bill spread is overbought this week.

Equities were weaker, adding to last week’s general weaker bias.

U.S. small and mid caps got hit the hardest.

The Nasdaq Composite and 100 broke their 4 week rising streak. Both also performed a bearish outside reversal week. 

Chile’s stock market broke its 5 straight weeks of advance.

Pakistan’s KSE snapped its 8 week winning streak.

The KBW Banking Index has fallen 8% in the past 3 weeks since its recent overbought extreme.

The Regional Banks (KRE) Index and Oslo’s OBX Index are in 4 week losing streaks.

Helsinki’s OMX Index has fallen for 10 of the past 12 weeks.

The Dow Jones Transports has sunk 10% over the past 3 weeks.

Indonesia’s IDX is nearly oversold.

And Czechia’s PX Index is among the rare advancers for the week.

Commodity prices were mostly weaker.

Only Cocoa, Orange Juice, Gases and Lumber were amongst the notable gainers.

The latter broke its 5 week losing streak.

The extensive list of decliners appear below.

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

The Baltic Dry Index and Uranium have fallen for 5 consecutive weeks.

Inversely, Lean Hogs and Cocoa have risen for 5 and 6 straight weeks, respectively. 

Soybeans are nearly oversold.

U.S.Midwest Hot Rolled Coil Steel has spent 30 weeks being oversold,

while Lithium Hydroxide has now lingered in weekly oversold territory for 81 consecutive weeks.

Currencies were active, again.

The Aussie was weaker and it features in this weeks list of extremes.

It has fallen for 4 consecutive weeks versus the USD.

The Loonie was also weaker. It’s now oversold versus the USD.

The Swiss was firmer as was the Euro.

The British Pound also saw strength against all except the USD.

Japan’s Yen softened. 

ZAR/USD broke its streak of 4 consecutive weeks of gains. 

And the NZD/USD has fallen for 10 of the past 12 weeks.

The larger advancers over the past week comprised of;

Cocoa 5.8%, JKM LNG 4.4%, Lumber 5.4%, Natural Gas 14.3%, Orange Juice 3.1% and Dutch TTF Gas rose 7.1%.

The group of largest decliners from the week included;

Aluminium (1.6%), Baltic Dry Index (5.8%), Brent Crude (1.9%), WTI Crude (2%), Cotton (1.8%), Copper (2.3%), Heating Oil (1.6%), Cattle (1.9%), Tin (3.6%), Newcastle Coal (2.6%), Nickel (2%), Palladium (4.4%), Gasoline (2.9%), Robusta Coffee (3.8%), Sugar (2.7%), Gasoil (2%), Uranium (4.8%), Silver in AUD (1.7%), Silver in USD (3.4%), Oats (4.8%), Rice (6.3%), Wheat (3.5%), All World Developed ex USA (3.6%), AEX (2%), KBW Banks (3.4%), BUX (l.8%), CAC (1.8%), DAX (2.6%), DJ Industrials (2.5%), DJ Transports (4.9%), MIB (3.2%), IBEX (2.4%), BOVESPA (2%), IDX (6.1%), S&P SmallCap 600 (5.7%),Russell 2000 (4.8%), TAEIX (2.2%), Nasdaq Composite (1.8%), KRE Regional Banks (6.1%), KSE (4.2%), KOSPI (3.6%), FTSE 250 (2.1%), S&P MidCap 400 (4.9%), Mexico (3.9%), Nasdaq Biotech (2.6%), Nasdaq 100 (2.6%), Nikkei 225 (2%), NIFTY (4.8%), Oslo (3.1%), Copenhagen (5.1%), Helsinki (2.4%), Stockholm (3.2%), PSE (3.2%), SA40 (3.3%), SENSEX (5%), SET (4.7%), SMI (2.7%), SOX (3.6%), S&P 500 (2%), STI (2.4%), Nasdaq Transports (4.5%), TSX (2.7%), FTSE (2.6%), WIG (2.6%), BIST (4%), ASX Financials (3.4%), ASX 200 (2.8%), ASX Materials (4.8%) and the ASX Small Caps fell 3%.

December 22, 2024

By Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending December 13, 2024)

December 15, 2024 Leave a comment

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)

Finnish 10 year government bond yields *

U.S. 10 year bond yield minus the Australia’s 10 year bond yield

U.S. 10 year bond yield divided by Australia’s 10 year bond yield *

GBP/AUD *

Overbought (RSI > 70)

Brazilian 10 year government bond yield *

Hungary’s BUX Index *

Germany’s DAX Index

Czech Republic’s PX Index *

Singapore’s STI Index

Israel’s TA35 *

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

Cocoa *

Arabica Coffee *

Pakistan’s KSE Index *

Extremes below the Mean (at least 2.5 standard deviations)

Austrian, Danish, Spanish, Italian and Portuguese government bond yields *

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

Newcastle Coal *

AUD/SGD *

AUD/ZAR

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 *

CAC/USD

Chinese Renminbi 

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

Chinese & South Korean 10 year government bond yields *

AUD/THB

AUD/GBP

INR/USD *

Notes & Ideas:

Government bond yields rose for a change.

Only a few fell such as those in Japan and South Korea.

Belgium 10’s snapped their 5 week run of rising yields.

Brazilian 10’s have risen for 6 weeks.

Chinese yields have declined for 5 consecutive weeks.

Danish, Spanish, French Italian, Dutch, Norwegian and Portuguese 10’s bore their 5 week declining streak.

U.S. break-even inflation rates rose.

And the U.S. 5 year minus U.S. 3 month bill spread is nearing an overbought reading.

Equities were mixed, with a lower bias.

The Nasdaq Composite and 100 have climbed for 4 consecutive weeks.

Chile’s stock market has risen for 5 straight weeks.

While the KSE has risen for 8 straight weeks.

Toronto’s TSX and the U.S. KBW Bank Index departed overbought territory.

Australia’s Industrials Index snaps its 5 week advance.

And the DAX makes an overbought extreme.

Commodity prices were mixed.

Gold, Oil, Petroleum and most Gases rose.

JKM LNG and Dutch TTF Gas prices fell.

Sugar, Lumber and Coffee tool a breather.

The Baltic Dry Index is in a 4 week losing streak, declining 50% over that time. It is now at its lowest point since mid-July 2023.

Cocoa makes a return to the overbought tables, rising for the past 5 weeks.

Inversely, Lumber has slumped for 5 consecutive weeks. 

Arabica coffee broke its 5 week winning streak.

U.S.Midwest Hot Rolled Coil Steel has spent 29 weeks being oversold,

while Lithium Hydroxide has now lingered in weekly oversold territory for 80 consecutive weeks.

Currencies were active.

While the Aussie was mixed, it rose 1.9% against the Yen.

The AUD is no oversold against the SGD, ZAR and Thai Baht.

The Loonie was weaker, again. It’s now oversold versus the USD.

BRL/USD is no longer oversold.

And the Yen fell.

The larger advancers over the past week comprised of;

Brent Crude Oil 4.5%, WTI Crude Oil 6.1%, Heating Oil 6.3%, Cattle 3.1%, Natural Gas 6.6%, Orange Juice 1.8%, Gasoline 4.9%, S&P GSCI 2.8%, CRB Index 2.7%, Urea U.S. Gulf 2.5%, Gasoil 7.6%, Gold in CHF 2.2%, Gold in GBP 1.5%, Oats 2.6%, ATX 1.8%, KSE 4.8%, KOSPI 2.7%, PX 2.1%, Chile’s IPSA 1.8% and the SOX rose 1.8%.

The group of largest decliners from the week included;

Baltic Dry Index (19.4%), U.S. Hot Rolled Coil Steel (2%), JKM LNG (3.5%), Coffee (3.3%), Lumber (5%), LNG JKM in Yen (7.6%), Sugar (5%), Dutch TTF Gas (11.3%), CSI 300 (1%), All World Developed ex USA (1.5%), KBW Index (2.9%), DJ Industrials (1.7%), IBEX (2.7%), Russell  2000 (2.5%), KRE Regional Bank Index (2.7%), S&P MidCap 400 (1.5%), Nasdaq Biotech Index (4%), Helsinki (1.8%), Stockholm (2.2%), PSE (1.7%), SET (1.4%), S&P 500 (0.6%), Nasdaq Transports (2.6%), TSX (1.6%), WIG (1.5%), ASX Financials (2%), ASX 200 (1.5%), ASX Industrials (2%) and the ASX Small Caps fell 2.3%.

December 15, 2024

By Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending December 6, 2024)

December 8, 2024 Leave a comment

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)

Finnish10 year government bond yields 

U.S. 10 year bond yield divided by Australia’s 10 year bond yield

AUD/GBP

AUD/SGD

Overbought (RSI > 70)

Japanese 2 year government bond yield

Brazilian 10 year government bond yield *

Cocoa * 

USD/INR *

KBW Bank Index *

Hungary’s BUX Index *

Czechia’s PX Index *

Singapore’s STI Index

Israel’s TA35 *

Toronto’s TSX *

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

Arabica Coffee *

Pakistan’s KSE Index *

Hungary’s BUX Index *

Extremes below the Mean (at least 2.5 standard deviations)

Austrian, Swiss, Danish, Spanish, Greek, Dutch and Italian government bond yields *(

Newcastle Coal

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)

Chinese & South Korean 10 year government bond yields

BRL/USD *

Notes & Ideas:

Government bond saw much action as most yields fell, again.

Only a few rose.

There are may streaks developing in bond yields.

Belgium 10’s have risen for 5 straight weeks.

Brazilian 10’s have done so for 4 weeks.

Chinese and Norwegian yields have declined for 4 consecutive weeks.

Danish, Spanish, French Italian, Dutch and Portuguese 10’s have fallen for 5 weeks in a row.

EU and British yields broke their 4 weeks of declines.

Japanese 2’s snapped their 5 week fall. 

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 August 2022.

Equities were mostly firmer, again.

Some ‘lesser’ U.S. indices fell and are longer overbought.

In fact, many of last week’s overbought entrants have departed.

While the KSE has risen for 7 straight weeks.

Helsinki’s OMX 25 and the CAC broke their 6 week losing streaks.

Indonesia’s main index had an outside bullish outside several week.

Australia’s Industrials Index has advanced for the past 5 weeks.

And the DAX is a whisker from an overbought extreme.

Commodity prices were mixed.

Coffee, Cocoa, Silver and Grain rose.

Oil, Gas, Coal, Lumber, Lithium, Cotton, Palladium, Platinum and most Gold fell.

Only Gold as priced in AUD and CAD rose.

Arabica coffee is in a 5 week winning streak.

While Oats and Sugar broke their 4 and 9 week losing streaks.

The Baltic Dry Index has fallen 40% over the past 3 weeks.

U.S.Midwest Hot Rolled Coil Steel has spent 28 weeks being oversold,

while Lithium Hydroxide has now lingered in weekly oversold territory for 79 consecutive weeks.

Currencies were subdued.

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

The Aussie and Loonie were weaker, again.

The Euro rose 1.8% against the AUD.

The EUR/JPY broke its 4 straight weeks of declines.

The Yen was mixed while the Swiss saw strength, again.

Is this huddling into the CHF pre-cursor for ‘risk-off’ in equities?

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

And the British Pound was firmer.

The larger advancers over the past week comprised of;

Cocoa 4.5%, Arabica Coffee 3.8%, Tin 3.4%, Sugar 3.5%, Silver in AUD 3.3%, Gold in AUD 1.5%, Corn 1.6%, Wheat 1.7%, Shanghai Composite 2.3%, BUX 1.6%, CAC 2.7%, DAX 3.9%, Egypt 2%, MIB 4%, HSCEI 2.7%, Hang Seng 2.3%, IBEX 3.7%, IDX 2%, TAIEX 4.2%, Nasdaq Composite 3.3%, KSE 7.6%, Mexico 3.1%, Nasdaq 100 3.3%, Nikkei 2.3%, Nifty 2.3%, Helsinki 2.3%, Stockholm 4%, PSI 1.7%, PX 1.9%, SA40 3%, Sensex 2.4%, SET 1.7%, SOX 2.7%, S&P 500 1%, TA35 2.7%, BIST 4.4% and Poland’s WIG rose 4.4%.

The group of largest decliners from the week included;

Rotterdam Coal (4.1%), Baltic Dry Index (13.8%), Brent (2.1%), Cotton (2.5%), Heating Oil (2.7%), Lumber (3.5%), Lithium Carbonate (4.3%), Lithium Hydroxide (1.9%), Newcastle Coal (4.7%), Natural Gas (8.5%), Palladium (3%), Platinum (2.1%), Dutch TTF Gas (2.8%), Gasoil (4.3%), KBW Bank Index (1.8%), DJ Transports (4.2%), S&P Small Cap 600 (1.6%), KRE Regional Bank (1.7%) and Nasdaq Transport Index (3%).

December 8, 2024

By Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending November 29, 2024)

November 30, 2024 Leave a comment

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

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending November 22, 2024)

November 24, 2024 Leave a comment

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

JKM LNG in Yen

Natural Gas

Dutch TTF Gas *

CAD/EUR *

Overbought (RSI > 70)

Gold as priced in AUD, CHF, EUR & GBP

KBW Bank Index *

Israel’s TA35 *

Nasdaq Transports Index

Toronto’s TSX *

Australian Financials Index *

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

Japanese 2 & 5 year bond yields 

Arabica Coffee

DXY Index

Hungary’s BUX Index *

KRE Regional Banks Index *

Pakistan’s KSE *

Czechia’s PX Index *

Extremes below the Mean (at least 2.5 standard deviations)

SEK/USD *

Nasdaq Biotechnology Index

NIFTY

Denmark’s Copenhagen OMX 25 *

Poland’s WIG Index

Vietnam

Oversold (RSI < 30)

Copper/Gold Ratio

U.S. 3 month government bill yield *

U.S. 5 year bond yield minus U.S. 3 month 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)

EUR/USD

RMB/USD *

DKK/USD *

Notes & Ideas:

Most government bond yields fell.

The few yields that rose were the Canadian, Danish, Finnish, Japanese, Russian, Swedish and U.S. 2’s.

Chilean & U.S. 2’s have risen for 5 consecutive weeks.

The U.S. 2’s are their highest weekly close in 4 months,

Japanese 2’s are in a 4 week rising streak. They have risen for 7 of the past 8 weeks.

U.S. 10 year minus Euro 10 year bond yield spread has climbed for 9 of the past 10 weeks.

and the U.S. 5 year inflation break-even rate has nearly completed an upward mean reversion.

Equities were mostly firmer.

Notably, financials appear in the overbought category.

Brazil’s BOVESPA had a bullish outside reversal.

Tel Aviv 35 Index fell and broke its 5 week winning streak.

The PSI & SMI rose and broke their 4 week losing streaks.

Chinese, Hong Kong, French and Italian indices were weaker.

Helsinki and the CAC are in 5 week losing streaks.

The former has fallen for 7 of the past 8 weeks.

HSCEI has sunk for 6 of the past 7 weeks.

And the S&P MidCap 400 long trade may be coming to an end.

Nearly all Commodity prices were stronger. 

All the precious metals bounced along with Oil and Gas prices.

Cocoa, Orange Juice, Coffee & Hogs also gained.

WTI Crude had a bullish reversal outside week.

Natural Gas spiked to overbought

Uranium, Lumber and Soybeans were among the small list of losers.

The Baltic Dry Index fell 12% to halve the previous fortnight gains.

Copper is nearing its lowest close since March 2024.

Silver broke its 4 week losing streak.

Sugar is in a 7 week losing streak.

U.S.Midwest Hot Rolled Coil Steel has spent 26 weeks being oversold,

while Lithium Hydroxide is showing some life, it has now lingered in weekly oversold territory for 77 consecutive weeks.

And Tin is nearing an oversold reading.

Currencies were active again, again.

Several pairs are appearing in thus weeks list.

The DXY Index is at its highest close in 12 months and is in a 8 week rising streak.

AUD rose, breaking some losing streaks.

The Canadian Loonie rose, again.

The Swiss fell, so much that the CHF/USD has slumped for 6 weeks straight and for 7 of the past 8 weeks.

The Colombian Peso is in a 4 week losing streak and has fallen for 7 of the past 8 weeks.

China’s Yuan has fallen for 6 straight weeks versus the USD.

The Euro was weaker.

GBP was most weaker too., The GBP/USD is in a 8 week losing streak.

The MYR/USD broke its 7 week declining streak.

NZD/USD has sunk for 7 of the past 8 weeks.

And the Philippine Peso has made a new ‘lower low’ versus the USD.

The larger advancers over the past week comprised of;

Bloomberg Commodity Index 3%, Brent Crude Oil 5.4%, Cocoa 5.4%, WTI Crude Oil 6.5%, Cotton 2.7%, Lean Hogs 2.7%, Heating Oil 4.7%, JKM LNG 3.8%, Arabica Coffee 6.9%, Cattle 1.6%, LNG JKM in Yen 8.5%, Lithium Hydroxide 2.3%, Natural Gas 10.8%, Nickel 1.9%, Orange Juice 5.3%, Palladium 8.1%, Platinum 3.2%, Gasoline 4.9%, Robust Coffee 4.4%, S&P GSCI 3.8%, CRB Index 3.6%, Gasoil 4%, Silver in AUD 3%, Silver in USD 3.6%, Gold in AUD 5.3%, Gold in CAD 5.2%, Gold in CHF 6.7%, Gold in EUR 7.2%, Gold in GBP 6.7%, Gold in USD 6%, Gold in ZAR 5.5%, Wheat 1.9%, AEX 2%, KBW Bank Index 2%, BUX 2.3%, DJ Industrials 2%, S&P SmallCap 600 3.8%, Russell 2000 4.5%, Nasdaq Composite 1.7%, KRE Regional Bank Index 3%, KSE 3.2%, KOSPI 3.5%, S&P MidCap 400 4.2%, Nasdaq Biotech Index 3%, Nasdaq 100 1.9%, Oslo 1.6%, SA40 1.8%, Sensex 2%, SOX 2.5%, S&P 500 1.7%, Nasdaq Transports 1.8%, TSX 2.2%, FTSE 100 2.5%, ASX Financials 1.8%, ASX 200 1.3% and the ASX Materials Index rose 1.7%.

The group of largest decliners from the week included;

Baltic Dry Index (11.7%), Lumber (2.6%), Aluminium (3.1%), Uranium (6.1%), Oats (1.8%), Soybean (1.5%), Shanghai Composite (1.9%), CSI 300 (2.6%), China A50 (1.8%), Egypt (2.6%) and Italy’s MIB fell 2%. 

November 24, 2024

By Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending November 15, 2024)

November 17, 2024 Leave a comment

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)

Japanese 5 year bond yields

Cocoa

Coffee

Lumber *

Dutch TTF Gas

CAD/EUR

USD/DKK

USD/SEK

Dow Jones Transports *

S&P SmallCap 600 *

Russell 2000 *

S&P MidCap 400 *

Overbought (RSI > 70)

U.S. 5 year minus U.S. 3 month yield spread

U.S. 5 year minus U.S. inflation rate

U.S. 10 year minus U.S. inflation rate 

Pakistan’s KSE *

Czechia’s PX Index *

Toronto’s TSX

Australian Financials Index

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

Japanese 2 year bond yields 

KBW Bank Index *

KRE Regional Banks Index *

Hungary’s BUX Index *

Israel’s TA35 *

Extremes below the Mean (at least 2.5 standard deviations)

Tin

COP/USD

EUR/USD

Austria’s ATX Index

Denmark’s Copenhagen OMX 25 *

FTSE 100

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)

RMB/USD *

Notes & Ideas:

Global government bond yields were mixed.

American, Australian and Asian yields rose, resuming their recent climb, while European yields fell.

Last week’s overbought entrants are no longer so.

US10Y – AU10Y spread isn’t oversold.

Chilean and U.S. 2 year yield has risen for 4 straight weeks, with the latter rising for 6 of the past 7 weeks.

U.S. 10 year minus Euro 10 year bond yield spread has climbed for 8 of the past 9 weeks.

The U.S. 2’s are their highest weekly close in 4 months,

And the yield for the U.S. 10’s and 30’s are at their highest since late May 2024.

Equities fell.

Financials were the exception.

Chinese, Semiconductor and MidCap indices were amongst the largest losers.

The former are still likely to ‘back and fill’ recent gaps.

Indonesia’s IDX, Philippines PSI, Denmark’s OMX25 and Switzerland’s SMI have fallen for 4 straight weeks. 

The latter has sunk 6% over the past 4 weeks.

The Dutch AEX is in a 5 week losing streak.

Helsinki has fallen for 6 of the past 7 weeks.

Inversely, the Tel Aviv35 Index and Czechia’s PX have respectively risen for 5 and 6 weeks. 

The KOSPI is near an oversold extreme,

And the Nasdaq Biotech Index dramatically mean reverted (tanking 10%) influenced by the potential policies and positions taken or held by the incoming Health secretariat appointment of Robert F Kennedy Jr.

Commodity prices were mostly weaker, according to the broader indices.

Under the covers, Cocoa, Coffee, Gas, Uranium and Baltic Dry Index rose strongly.

On the downside, Oil, Cotton, Platinum, Gold, Silver, Wheat, Palladium, Copper and Tin were amongst the notable decliners.

The Baltic Dry Index has soared 28% in 2 weeks.

Copper is nearing its lowest close since March 2024.

Palladium has slumped 23% in 3 weeks.

Gold in USD and Platinum have fallen 7% and 9% respectively over the same time.

The DXY hasn’t declined for 7 weeks.

Gold isn’t overbought anymore nor are Lean Hogs.

Rice bounced out from oversold and broke its 7 week losing streak.

JKM LNG could new a new long prospect 

And Sugar is in a 6 week losing streak.

U.S.Midwest Hot Rolled Coil Steel has spent 25 weeks being oversold,

And Lithium Hydroxide has now lingered in weekly oversold territory for 70 consecutive weeks.

Currencies were active again.

Several pairs are appearing in thus weeks list.

The DXY Index is at its highest close in 12 month and is in a 7 week rising streak.

AUD was weaker against all except for the GBP.

AUD/USD has sunk for 6 of the past 7 weeks.

The Loonie rose everywhere except versus the USD.

The CAD/USD is also closing in on an extreme reading.

And both the GBP/USD and MYR/USD are in 7 week declining streaks.

The larger advancers over the past week comprised of;

Rotterdam Coal 2.6%, Baltic Dry Index 19.4%, Cocoa 22.2%, DXY 1.8%, Arabic Coffee 12.8%, Lumber 1.9%, JKM LNG in Yen 5.5%, Lithium Carbonate 1.5%, Natural Gas 5.8%, Orange Juice 3.5%, Robusta Coffee 9.1%, Dutch TTF Gas 9.8%, Uranium 8%, Rice 4.7%, KBW Bank Index 2.3%, Budapest 2%, Oslo 2%, Tel Aviv 1.7%, BIST 2.2% and the ASX Financials rose 2.1%. 

 

The group of largest decliners from the week included;

Australian Coking Coal (1.5%), Bloomberg Commodity Index (2.1%), Brent Crude Oil (4.2%), WTI Crude Oil (4.8%), Cotton (5.8%), Copper (5.6%), Heating Oil (2.9%), Lithium Hydroxide (7.1%), Tin (9.2%), Nickel (5.5%), Palladium (4.9%), Platinum (3.4%), Gasoline (3.1%), S&P GSCI (2.1%), Silver in AUD (1.6%), Silver in AUD (3.4%), Gold in AUD (2.7%), Gold in CAD (3.3%), Gold in CHF (3.1%), Gold in EUR (2.9%), Gold in USD (4.5%), Corn (1.6%), Soybeans (3.1%), Wheat (6.2%), Shanghai (3.5%), CSI 300 (3.3%), All World Developed ex USA (2.6%), DJ Industrials (1.3%), CAC (1%), HSCEI (6.5%), Hang Seng (6.3%), Jakarta (1.8%), S&P SmallCap 600 (3%), Russell 2000 (4%), TAEIX (3.4%), Nasdaq Composite (3.2%), KLSE (1.8%), KOSPI (5.6%), S&P MidCap 400 (2.7%), Mexico (2.7%), Nasdaq Biotech (10.2%), Nasdaq 100 (3.2%), Nikkei 225 (2.2%), Nifty (2.6%), Copenhagen (2.2%), Stockholm (1.9%), PSI (4.3%), Sensex (2.4%), SMI (1.5%), SOX (8.6%), S&P 500 (2.1%), Nasdaq Transports (2%), Vietnam (2.7%), WIG (3.6%), ASX Materials (5.6%) and the ASX Small Caps fell 1.5%. 

November 17, 2024

By Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

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