Macro Extremes (week ending October 24, 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) 

Aluminium *

CAD/JPY

CHF/AUD

GBP/JPY

USD/JPY

AEX

FTSE 250

Nifty

Sensex

Overbought (RSI > 70)  

Platinum *

Silver in AUD and USD *

CHF/JPY *

EUR/JPY

Shanghai Composite

CSI 300

Egypt’s EGX Index *

IBB biotech ETF *

Spain’s IBEX *

Taiwan’s TAIEX *

Nasdaq Composite

Pakistan’s KSE Index *

Nasdaq Biotech Index *

Nasdaq 100

Japan’s Nikkei 225 *

Czechia’s PX Index *

South Africa’s SA40 *

Philadelphia Semiconductor Index (SOX) *

Canada’s TSX *

FTSE 100

S&P Biotech ETF *

And the ASX Small Cap Index * 

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

Aluminium (LME)

Platinum

Gold in AUD, CAD, CHF, EUR, GBP, USD & ZAR *

South Korea’s KOSPI *

Finland’s OMXH

Extremes below the Mean (at least 2.5 standard deviations) 

Austrian, Australian, Danish, Spanish, Greek, Italian, Dutch & Portuguese 10 year government bond yields

British 2, 3, 5 & 10 year bond yields

U.S. 30 year bond yields

AUD/CHF *

EUR/CHF *

JPY/CAD

JPY/USD *

Oversold (RSI < 30) 

U.S. 3 month bill yield *

Indonesian 10 year bond yield

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

Richards Bay Coal *

Urea (Middle East)

Rice *

JPY/EUR

NZD/AUD *

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

Indonesia 10 year government bond yield

Sugar

Notes & Ideas: 

Government bond yields fell except for EU, U.S. and Japanese versions.

European 10’s rose and broke a 4 week losing streak.

The U.S. 5 year inflation breakeven rate remains near being oversold even it moved from 2.3% to 2.4% during the week.

Portuguese and U.S, 10 year yields have fallen for 4 weeks as have U.S. 20’s.

U.S. 30’s have fallen for 5 weeks.

Austrian 10’s rose and broke 5 weeks of decline

And U.S. Corporate BB rated and 5-7 year investment grade paper is very close to being oversold.

Equities had a good week.

We saw Chinese, British, Nasdaq Composite and the 100 return to overbought territory.

The BUX, KOSPI, Nifty, Sensex and Finland’s OMXH are in a 4 week winning streak.
The biotech indices have risen for 6 weeks.

Egypt’s EGX has advanced for 7 weeks.

TAIEX has climbed for 9 weeks.

Inversely, the U.S. KRE Regional Banks Index and Türkiye’s BIST rose and broke 4 weeks of decline.

While the Nikkei 225 has risen for 8 of the past 9 weeks.

Commodities were active, again.

Aluminium, Cocoa, Copper, Oils, Gases and Distillates were amongst the notable gainers. 

Lumber, Palm Oil, Cattle, Palladium, Sugar, Rice, Silver and Gold dominated the losers category. 

Silver and Gold (across various currencies) fell and snapped a 9 week winning streak.

Cattle and Palladium fell enough to leave overbought territory.

Crude Oil bounces and easily erased the 5% decline of the previous fortnight.

Sugar registers an oversold quinella.

Oats rose and snapped its 4 weeks of decline.

Lean Hogs have fallen for 4 weeks.

Rice has swooned for 8 weeks.

And Middle Eastern Urea prices rose and broke its 8 week losing streak.

Currencies were busy.

We saw many pairs swapping places in the extreme list and many currencies reversing last week’s travel.

The Aussie and Loonie rose.

The Swissie as weaker.

Euro firmed.

The Yen fell.

And the Thai Baht rose against the USD to break 5 weeks of decline.

The larger advancers over the past week comprised of; 

Aluminium 3.4%, Bloomberg Commodity Index 1.5%, Brent Crude Oil 7.6%, Cocoa 7.2%, WTI Crude Oil 7.6%, Copper 3.1%, Heating Oil 10.2%, Arabica Coffee 1.4%, LNG in Yen 2.3%, Natural Gas 9.8%, Nickel 1.5%, Orange Juice 3.6%, Gasoline 4.9%, Tin 2.7%, S&P GSCI 3.6%, CRB Index 3.3%, Gasoil 12.5%, Oats 4.8%, Soybean 2.3%, Wheat 1.7%, Shanghai 2.9%, CSI 300 3.2%, All World Developed ex USA 1.4%, AEX 2.4%, ATX 1.9%, KBW Banks 3.6%, Cjina A50 3.6%, IDX 4.5%, DAX 1.7%, DJ Industrials 2.3%, FCATC 5.8%, MIB 1.7%, HSCEI 3.9%, Hang Seng 3.6%, IBEX 1.7%, BOVESPA 1.9%, S&P SmallCap 600 3%, Russell 2000 2.5%, Nasdaq Composite 2.3%, KRE Regional Banks 3.6%, KOSPI 5.1%, FTSE 250 3.4%, S&P MidCap 400 2.3%, Nasdaq 100 2.2%, Nikkei 225 3.8%, Helsinki 5.5%, Stockholm 3.2%, SET 3.1%, SOX 2,9%, S&P 500 1.9%, STI 2.2%, WIG 3.4%, BIST 7.2% and the FTSE 100 rose 3.1%.

The group of largest decliners from the week included; 

Baltic Dry Index 3.8%), Palm Oil (2%), Lumber (7%), Cattle (3.3%), Palladium (2.7%), Sugar 3.4%, Silver in AUD (6.5%), Silver in USD (6.3%), Gold in AUD (3.6%), Gold in CAD (3.4%), Gold in CHF (3%), Gold in EUR (3.1%), Gold in GBP (2.5%), Gold in USD (3.3%), Gold in ZAR (5.8%), Rice (3.8%), PSE (1.7%), RUS10 (6.3%), VN Index (2.8%) and the ASX Materials Index fell 2%.

October 26, 2025 

By Rob Zdravevski 

rob@karriasset.com.au 

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

Macro Extremes (week ending September 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 the 2 year bond yield

Australian 10 year bond yield minus the 5 year bond yield

Brazilian 10 year government bond yield

Sugar *

Silver in USD

Gold in CHF

AUD/CAD *

ZAR/USD *

AUD/INR

AUD/USD

CAD/USD

All World Developed Equities Index (ex USA)

China A50

DAX

IBEX *

South Africa 40 Index

Nasdaq Transportation Index *

And Australia’s ASX Small Caps

Overbought (RSI > 70)

SHY

U.S. 10 year minus U.S. 2 year government yield *

U.S. 10 year minus U.S. 5 year government yield *

Robusta Coffee *

Gold as priced in AUD, CAD & GBP *

MYR/USD *

THB/AUD

Budapest

Karachi

NIFTY *

SENSEX *

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

Arabica Coffee

Gold in EUR & USD

CNH/USD

HSCEI

Hang Seng

And the Philippines PSE Index

Extremes below the Mean (at least 2.5 standard deviations)

CAD/AUD

EUR/GBP

USD/ZAR

Oversold (RSI < 30)

U.S. and German 2 year government bond yield *

Australian Coking Coal *

U.S. Midwest Hot Rolled Coil Steel *

North European Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

USD/IDR *

USD/SGD *

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

U.S. 3 month bill yield

USD/CNH

Notes & Ideas:

Global government bond yields fell.

Shorter dated American and German (Euro) yields are oversold.

Japanese yields slumped more than others.

Those who bucked the declines were Chinese 10’s and Gilts across the curve.

U.S. bond yields squeezed out a small rise.

Following its central bank policy to hike rates, Brazilian 10’s ventured into overbought territory.

It’s worthy to note that the Copper/Gold ratio rallied.

The U.S. 5 year minus 5 year breakeven inflation rate is nearing an oversold extreme.

And various Australian and U.S. bond yield spreads are in this weeks list.

Equities rose again, again.

Many indices have put together a 3 week rising streak.

And we are seeing more indices entering overbought territory.

The FTSE All World Index (Developed ex USA) makes a return to the list.

Chinese and Hong Kong indices soared during the week sending them into overbought extremes.

Bangkok, Copenhagen and the ASX Financials took a break from being overbought. The latter fell 4.4% for the week.

Spain’s IBEX and Germany’s DAX are mathematically stretched.

The former has risen 7 of its past 8 weeks, amounting to an advance of 16%.

The PSE has also climbed 16% over the past 14 weeks.

Australia’s Materials Index has soared 15% over the past 3 weeks. 

Singapore’s Strait Times breaks its 6 week winning streak.

And Toronto’s TSX is nearing an overbought quinella.

Commodities mostly rose.

The Bloomberg Commodity Index has risen 6.8% over the past 3 weeks.

Palladium isn’t overbought this week while Gold across various currencies remains so.

Aluminium, Iron Ore, Copper, Coffee, Dutch TTF Gas and grains had a terrific week.

Only a few commodity contracts saw declines being Crude Oil, Palladium, Rice and OJ.

Most commodities are trading at their ‘mid-points’.

Soybeans have risen for 6 consecutive weeks.

U.S. Henry Hub Natural Gas has risen 44% in its current 4 week winning streak.

U.S.Midwest Hot Rolled Coil Steel has spent 18 weeks being oversold.

And Lithium Hydroxide has now spent 63 consecutive weeks in weekly oversold territory.

Currencies once again saw most action and they feature prominently in this week’s list.

The Aussie rose again, stringing together a 3 week streak.

The Canadian Loonie was generally weaker, again. Confusing perhaps, as the decline in the CAD juxtaposed the risk-on feeling for the week.

The Euro was weaker while the Yen saw strength.

The Swiss has fallen 3 consecutive weeks agains the AUD, confirming the ‘risk-on’ mood.

The DXY is in a 4 week losing streak which helps explain USD appearing as oversold in this weeks edition.

Furthermore, the USD/SGD has fallen for 9 of the past 10 weeks.

And the British Pound registered an overbought reading against the USD.

The larger advancers over the past week comprised of;

Australian Coking Coal 1.7%, Aluminium 7.1%, Rotterdam Coal 2%, Bloomberg Commodity Index 2.1%, Baltic Dry Index 6.7%, Cocoa 8.1%, Iron Ore 11.4%, Copper 5.9%, JKM LNG 1.8%, Arabica Coffee 7.3%, Lumber 4.6%, Tin 2.1%, Newcastle Coal 4.7%, Natural Gas 11%, Nickel 2.8%, Platinum 3.1%, Shanghai Rebar 3.3%, Robusta Coffee 8.4%, Dutch TTF 9.6%, Uranium 3.2%, Corn 4%, Oats 4.8%, Soybeans 5.3%, Wheat 2%, Shanghai Composite 12.8%, CSI 300 15.7%, All World Index ex-USA 3.4%, AEX 2.2%, Budapest 1.9%, CAC 3.9%, China A50 18.9%, DAX 4%, DJ Transports 2.7%, MIB 2.9%, HSCEI 14.4%, Hang Seng 13%, IBEX 1.8%, MOEX 2.7%, TAIEX 3%, KOSPI 2.2%, FTSE 250 2%, Nikkei 225 5.6%, Helsinki 4.2%, Stockholm 2.3%, PSE 2.8%, South Africa 4.9%, SMI 2.5%, SOX 4.3%, Chile 3%, Tel Aviv 4.9%, WIG 3.9%, ASX Materials 9.4% and the ASX Small Caps rose 2.8%.

The group of largest decliners from the week included;

WTI Crude Oil (4%), Orange Juice (4.2%), Palladium (5.1%), Gasoline (4%), Brent Crude Oil (3.7%), Rice (3.1%), KRE Regional Banks Index (3.1%), Nasdaq Biotechs (2.7%), Copenhagen (1.3%), Strait Times (1.4%) and the ASX Financials slumped 4.4%.

September 29, 2024

by Rob Zdravevski

rob@karriasset.com.au

Macro Extremes (week ending August 9, 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)

Belgian, Danish and Finnish 10 year government bond yields *

IEF & IEF *

SHY & TLT *

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

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

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

Gold Volatility Index

Dutch TTF Gas

Gold in AUD

CHF/AUD *

CHF/USD *

CNH/USD *

EUR/AUD

EUR/USD

THB/USD *

USD/CAD *

USD/DKK

USD/INR

USD/MXN

Overbought (RSI > 70)

None

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

MYR/USD *

Extremes below the Mean (at least 2.5 standard deviations)

German 2, 5 and 10 year bond yields

Australian 2, 3, 5 & 10 year bond yields

British 2, 3, 5 & 10 year bond yields

5 year Japanese bond yields

10 year Austrian, Swiss, Czech, Spanish, South Korean, Dutch, Norwegian, New Zealand, Polish, Portuguese and Swedish government bond yields.

U.S. 2, 5, 7, 10, 20 and 30 year government bond yields

TBT & TBX *

U.S. 5 year bond yield minus the 5 year break-even inflation rate *

U.S. 5 year bond yield minus the 3 month break-even inflation rate *

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

U.S. 10 year bond yield minus the 10 year break-even inflation rate *

U.S. 10 year bond yield minus the U.S. inflation rate *

Bloomberg Commodity Index

S&P GSCI Index

Brent Crude Oil

AUD/INR

AUD/JPY

AUD/SGD

AUD/THB *

CAD/EUR *

EUR/JPY 

GBP/JPY

USD/CHF

DXY (USD) Index

Chile’s IPSA Index

Tel Aviv 35

Poland’s WIG

ASX Materials 

AEX

Austria’s ATX

CAC

DAX 

MIB *

IBEX

KOSPI

S&P MidCap 400

Copenhagen 

Helsinki

Stockholm

Russell 2000 Index

Oversold (RSI < 30)

Cotton *

North European Hot Rolled Coil Steel *

U.S. Midwest Hot Rolled Coil Steel *

Shanghai Rebar *

Lithium Hydroxide *

Corn *

Soybeans *

BRL/USD *

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

Australian Coking Coal

China Coking Coal

Notes & Ideas:

Government bond yields rose, which broke many declining streaks.

The exception were Finnish, Japanese, Chilean and Brazilian yields.

The misnomer in this weeks edition is that intra-week yields did trade to oversold extremes before reversing higher and many closing above last weeks close.

U.S. inflation breakeven inflation rates also rose.

The Copper/Gold ratio is in a 5 week losing streak.

And we are seeing divergence in Chilean yields. The 2 year yield has risen for 8 straight weeks while the 10 year yield has fallen for 6 consecutive weeks.

Amazingly, most equity indices closed either flat or rose for the week.

There are no equity indices in overbought territory this week, however of the many appearing in the oversold category, did so due to their intra-week swoons.

The major Indian indices are no longer overbought.

Australian indices were amongst the rare losers for the week as were selected Asian markets.

The Nasdaq 100 rose 0.4% for the week which was enough to break its 4 week long streak.

The KOSPI is in a 5 week losing streaks.

And the Nikkei 225 has declined 17% over the past 4 weeks, keeping it in a 4 week losing streak.

Commodities were mixed, although generally posting gains which is change of a few weeks of broader weakness.

Oil, Cocoa, Lumber Thermal (again) Tin, Gasoline and Gases had a good week.

All things steel related are in a trough.

Coking Coal prices are unloved.

Silver, Grains, Copper, Platinum and Lean Hogs were weaker.

I’m very happy to see cheaper bacon prices.

Sugar broke its 5 week losing streak.

Copper and Iron Ore prices have fallen for 5 and 6 straight weeks, respectively.

Copper has declined 15% over the past 6 weeks.

While Crude Oil and Palladium broke their 4 week losing streaks.

Worthy of note, is the forward contract month for Henry Hub Natural Gas bounced out of oversold territory.

And Lithium Hydroxide has now spent 56 consecutive weeks in weekly oversold territory.

Currencies continue to provide action, again and again.

The Aussie was mostly higher thus breaking its losing streak against most currencies.

The anomaly is its 4 week losing streak versus the Loonie.

The ‘mid-week’ Aussie strength was commensurate with the rising fortunes for equities and an analogy for ‘risk-on’.

In the meantime, the AUD mean reverted against the Yen.

The Loonie saw strength and as a result it broke its 6 week losing streak agains the Euro.

In fact, many streaks were broken this week.

The British Pound fell and extended its losing streak against the USD to 4 weeks.

Brazil’s Real bounced out its stay in oversold land

The GBP/JPY have fallen for 5 straight weeks.

And as pre-empted in last weeks edition, the DXY Index did trade to 2.5 standard deviations below its 20 week average.

The larger advancers over the past week comprised of;

Cocoa 24.2%, WTI Crude Oil 4.5%, Coffee 2.5%, Lumber 4.2%, JKM LNG 3.2%, Tin 2.5%, Newcastle Coal 3.3%, Natural Gas 9%, Palladium 1.6%, Gasoline 3.1%, Robusta Coffee 2.3%, Sugar 2.1%, LME Tin 3.9%, S&P GSCI 1.7%, CRB 2.2%, Dutch TTF Gas 10.2%, Brent Crude 3%, BOVESPA 3.8%, Mexico 1.6% and Philadelphia’s SOX Index rose 2.2%.

The group of largest decliners from the week included;

Australian Coking Coal (5.5%), China Coking Coal (5.4%), Lean Hogs (2.6%), Copper (2.7%), Lithium (2%), Platinum (3.9%), Silver in AUD (4.8%), Silver in USD (3.9%), Corn (2.5%), Oats (2%), Soybeans (2.4%), Egypt (2.1%), KRE Regional Bank Index (1.9%), KOSPI (3.3%), Nikkei 225 (2.5%), Russell 2000 (1.4%), SENSEX (1.6%), Strait Times (3.5%), WIG (2.5%), ASX Financials (2.6%), ASX 200 (2.1%), ASX Materials (2.5%), ASX Small Caps (3.5%) and Turkiye’s BIST fell 5.4%.

August 11, 2024

by Rob Zdravevski

rob@karriasset.com.au

Macro Extremes (week ending June 21, 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)

AUD/EUR

GBP/EUR

ZAR/USD

KOSPI

NIFTY

SENSEX

Overbought (RSI > 70)

Brazilian 10 year government bond yield *

Biodiesel *

Robusta Coffee

GBP/JPY

PHP/USD

RMD/USD

AEX *

KSE *

S&P 500 *

BIST 100

and Taiwan’s TAEIX *

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

USD/BRL

Nasdaq Composite *

Philadelphia Semiconductor Index (SOX) *

Nasdaq 100 *

Extremes below the Mean (at least 2.5 standard deviations)

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

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

Sweden 10 year government bond yield

Lean Hogs

AUD/ZAR

COP/USD

EUR/GBP

IDR/USD

MXN/USD

CAC Index

IBOV

Indonesia’s IDX *

MOEX

Phillipines PSE

Thailand’s SET *

And the ASX Materials Index

Oversold (RSI < 30)

Chilean 2 year government bond yield *

North European Hot Rolled Coil Steel *

U.S. Midwest Hot Rolled Coil Steel *

Lumber *

Lithium Hydroxide *

PHP/USD *

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

BRL/USD

Notes & Ideas:

Government bond yields rose, breaking short-term rising trends;

Except for Swiss, Spanish, British and Portuguese.

U.S. 5 & 10 year breakeven inflation rates bounced off their oversold lows.

And Chilean 2 year yields broke their 8 consecutive weeks of declines, In last week’s note, I commented that their oversold reading may lead the world in a trough in yields.

Equities saw strength, mostly.

Some extended their losing streaks to 5 consecutive weeks, among them being the CSI 300, Shanghai Composite, China A50, SET and Toronto’s TSX.

Chile has fallen for 5 straight weeks.

Austria’s ATX rose and broke its 4 week losing run.

Mexico and Helsinki also broke their respective streaks.

The TAIEX has soared 9.5% over the past 3 weeks.

While the ASX Materials Index has “meant reverted” in its 5 week decline.

Commodities were mixed, again, with a bias towards weakness.

The commodities indices won’t expressed it due to the positive skew weighting afforded to the Crude Oil weightings.

Shipping, Palladium, Platinum, Oils and Distillates were stronger.

Thermal and Coking Coal, Cocoa, Steel, Lumber, Grains and Gases were weaker.

Cocoa gave up 8% of its recent 37% advance seen over the previous 4 weeks.

The Copper/Gold Ratio has declined for 5 consecutive weeks as have Nickel prices.

Iron Ore, Soybeans and Wheat prices have fallen for 4 straight weeks.

Wheat has slumped 21% in 4 weeks, Oats have tanked 24% in the last 3 weeks.

Lean Hogs have declined for 8 of the past 9 weeks.

Lumber has fallen for 10 weeks of the past 13 weeks.

Robusta Coffee performed a bullish outside several week. 

And Lithium Hydroxide has now spent 49 consecutive weeks in weekly oversold territory.

Currencies continue to provide action, again and again.

The Aussie was higher, again except against the South African Rand.

The Euro was mixed.

The Yen is nearing an oversold reading against the AUD.

The USD has risen for 5 consecutive weeks against the Colombian Peso

The U.S. Dollar was mostly stronger.

And the CHF/AUD broke its 4 week rising streak.

The larger advancers over the past week comprised of;

Baltic Dry Index 2.5%, WTI Crude 3.4%, Palladium 2.9%, Platinum 3.9%, Gasoline 4.6%, Robusta Coffee 4.5%, Brent Crude 3%, Gasoil 2.8%, KBW Bank Index 1.6%, DAX 0.9%, DJ Industrials 1.5%, DJ Transports 2.1%, MIB 2%, IBOV 1.4%, IDX 3.6%, KRE Regional Banks 1.9%, KSE 2.7%, MCX 1.6%, South Africa 3.3%, TAIEX 3.3%, BIST 2.9% and ASX Small Caps 1.7%.

The group of largest decliners from the week included;

Australian Coking Coal (3.2%), Cocoa (8.2%), China Coking Coal (3.1%), HRC (1.9%), JKM LNG  (2.3%), Lumber (9.1%), JKM LNG in Yen (2.5%), Newcastle Coal (2.5%), Natural Gas (6.1%), Shanghai Rebar (2%), Sugar (2.4%), Dutch TTF Gas (4%), Uranium (2.6%), Gold in ZAR (2.5%), Corn (3.3%), Oats (6.4%), Soybean (2.6%), Wheat (8.4%) and the Phillipines PSE Index fell 3.5%.

June 23, 2024

by Rob Zdravevski

rob@karriasset.com.au

Macro Extremes (week ending June 7, 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)

AUD/ZAR

Dutch TTF Gas *

Overbought (RSI > 70)

Brazilian 10 year government bond yield 

Biodiesel *

Rubber *

AEX

KLSE 

and Taiwan’s TAEIX

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

Robusta Coffee *

USD/MXN

Extremes below the Mean (at least 2.5 standard deviations)

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

Australian 10 year minus Australian 5 year government bond yield spread 

Heating Oil 

Iron Ore CFR China

CAD/EUR

CAD/GBP

BOVESPA 

Mexico

MOEX

And Thailand’s SET equity index

Oversold (RSI < 30)

Chilean 2 year government bond yield *

North European Hot Rolled Coil Steel *

U.S. Midwest Hot Rolled Coil Steel *

Lumber *

Lithium Hydroxide *

PHP/USD *

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

BRL/USD

MXN/USD

Notes & Ideas:

Government bond yields were mostly lower.

As a result, last week’s oversold entries are no longer.

The exception is the Brazilian 10’s are back being overbought.

Chilean 2 year yields have fallen for 7 consecutive weeks. Their oversold reading may lead the world in a trough in yields.

We saw a large decline in Japanese yields across the curve.

U.S. 10 year yield minus German 10 year yield spread is in a 8 week declining streak.

And the Copper/Gold ratio has fallen for the past 3 weeks.

Equities were mixed.

While may indices spent the week between +/- 0.5% – 0.8% from last weeks close. 

Budapest and Amsterdam are at all-time highs.

Several more indices dropped out of overbought territory, while a few traded to some overbought extremes.

S&P SmallCap 600, the Russell 2000, Tel Aviv 25 and Oslo performed a bearish outside reversal week.

And Switzerland’s SMI is nearing a overbought quinella. 

Commodities were mostly weaker, again.

Cocoa & Coffee all saw strength again.

Robusta Coffee and Cocoa have risen 23% and 31%, respectively over the past 3 weeks. 

Coal, Aluminium, Steel, Nickel and Copper were amongst the weakest performers for the week.

Copper has fallen 12% in the past 3 weeks.

Gasoline has fallen 5 of the past 6 weeks, as has Brent Crude Oil.

And Gold as priced in Swiss Francs has fallen 6% over the past 3 weeks.

Grains were weaker too.

Rubber & Biodiesel broke their 5 week winning streaks. 

U.S. Midwest Hot Rolled Coil Steel fell, following last week’s outside bearish week.

Orange Juice has fallen 11%, nearly halving the 27% advance seen in the prior 5 weeks.

And Lithium Hydroxide has now spent 47 consecutive weeks in weekly oversold territory.

Currencies continue to provide action. 

The Aussie was weaker and didn’t make a new high against the Yen.

AUD/INR, AUD/THB and the AUD/USD had outside bearish reversal weeks.

In keeping with general weakness amongst commodities, the Loonie was also weaker.

The GBP/AUD had a bullish outside reversal week.

The Yen rose and as a result the GBP/JPY broke its 4 week winning streak.

The USD was stronger.

PHP/USD is in a 5 week losing streak.

And the Mexican Peso fell 8% (against the USD) following its election result.

The larger advancers over the past week comprised of;

Cocoa 6.5%, Natural Gas 12.8%, Robusta Coffee 3.8%, Sugar 3.8%, Urea U.S. Gulf 2.6%, Urea Middle East 5.1%, Rice 2.8%, AEX 2.2%, Budapest 2.9%, HSCEI 1.8%, Hang Seng 1.6%, IDX 2%, Nasdaq 100 2.4%, KOSPI 3.3%, Nasdaq Biotech 2.3%, Nasdaq 100 2.5%, NIFTY 3.4%, Copenhagen 1.7%, SENSEX 3.7%, SMI 2.1%, SOX 3.2%, S&P 500 1.3%, TAEIX 3.2%, Vietnam 2.1%, ASX 200 2.1% and the ASX Industrials rose 1.9%.  

The group of largest decliners from the week included;

Aluminium (3.2%), Rotterdam Coal (8.8%), WTI Crude Oil (1.9%), Cotton (3%), Lean Hogs (1.9%), Copper (2.6%), HRC (4.3%), LNG in Yen (5.5%), Lithium (3.3%), Tin (3.1%), Newcastle Coal (7.6%), Nickel (8.8%), Orange Juice (3.1%), Platinum (6.8%), SPGSCI (1.6%), Iron Ore CFR China (8.5%), Dutch TTF Gas (3.3%), Brent Crude Oil (2.2%), Uranium (2.7%), Silver in AUD (3%), Silver USD (4%), Gold in CHF (2.1%), Oats (10.2%), Soybean (2.1%), Wheat (7.5%), KBW Banking Index (1.9%), Egypt (1.8%), S&P SmallCap 600 (2.5%), Russell 2000 (2.2%), KRE Regional Banks (3.4%), KSE (2.8%), S&P MidCap 400 (2.1%), Mexico (4%), BIST (2.5%) and Tel Aviv 25 fell 1.7%.

June 9, 2024

by Rob Zdravevski

rob@karriasset.com.au