Macro Extremes (week ending April 4, 2025)

April 6, 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.

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)

IEF, IEI & SHY ETF’s

Sugar #16

EUR/GBP

EUR/USD

NZD/AUD

PHP/USD

Overbought (RSI > 70) 

Australian government 10 year bond yield minus the Aust. 2 year bond yield spread 

BofA High Yield Index

Tin

Urea (U.S. Gulf)

Gold in CAD and USD

Pakistan’s KSE Index *

And Chile’s IGPA Indices *

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

BofA BB High Yield Option Adjusted Spread

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

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

Gold in AUD and ZAR *

Extremes below the Mean (at least 2.5 standard deviations)

Australian 2, 3, 5 & 10 year bond yields

German and Italian 2 year bond yields 

New Zealand & Polish 10 year bond yields

U.S. 10 year break-even inflation rate

TBX

U.S. 3, 5, 7 and 10 year bond yields 

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

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

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

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

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

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

Aluminium 

Brent and WTI Crude Oil

Cotton

U.S. (DXY) Dollar Index

Iron Ore

Gasoline

S&P GSCI

USD/CHF

USD/DKK

USD/SEK

Amsterdam’s AEX

KBW Bank Index

Dow Jones Industrials

Taiwan’s TAEIX Index *

KRE Regional Banks Index

Nikkei 225

Toronto’s TSX

Vietnam

ASX Materials

And ASX Small Caps

Oversold (RSI < 30)

U.S. 3 month government bill yield *

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

Australian Coking Coal *

Richards Bay Coal *

North European Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

Newcastle Coal *

Orange Juice *

Uranium *

AUD/INR

AUD/USD

CAD/CHF

Indonesia’s IDX 

Nasdaq Transports

And Thailand’s SET Index *

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

Indian 10 year government bond yield *

U.S. 2 year bond yield 

AUD/CAD

AUD/EUR

AUD/CHF

AUD/SGD

AUD/JPY

AUD/GBP

Dow Jones Transports

S&P Small Cap 600

Russell 2000

FTSE 250

S&P MidCap 400

Nasdaq Biotech Index

Copenhagen

Stockholm

Nasdaq Composite 

Philadelphia Semiconductor (SOX) Index

S&P 500 

Nasdaq Transports

And the IBB and XBI Biotech ETF’s

Notes & Ideas:

Government bond yields fell.

Any yields which were overbought last week are no longer so.

In this week’s overbought category you’ll find term spreads and high yield bond indices appearing.

The oversold category is full of shorter duration yields, cross country yield spreads and real interest rate spreads.

Austrian and Spanish 10’s are in a 4 week losing streak, 

As are Aussie 2, 3 and 5 year yields along with German 2’d and 5’s.

U.S. 2 year bond yield mean reverted.

The U.S. 30 year minus U.S. 10 year yield spread has risen for 8 consecutive weeks.

This includes the whole Japanese curve which tanked this week. Leveraged shorter’s most likely became bankrupt. The widow maker is back.

Equities were decisively weaker, again.

This week features a very longest of equity indices trading at oversold extremes.

There were also many indices which mean reverted.

For the 2nd week in a row, Chinese stocks weathered the storm.

The DAX, Hang Seng, Stockholm and Helsinki have fallen for 4 weeks straight.

Copenhagen is in a 5 week losing streak.

The Nasdaq Biotech have fallen for 6 weeks.

DJ Transports, the FTSE 250 and the SOX have also declined for 7 consecutive weeks.

The Nasdaq Composite has retreated for 6 of the past 7 weeks.

The S&P 500 has sunken for 6 of the past 7 weeks.

The S&P Small Cap 600, S&P MidCap 400 and the Russell 2000 have fallen 9 of the past 10 weeks.

The KRE Regionals Banks Index is back to the same price seen in July 2024.

Commodities were weaker.

The indices were mainly affected by the slump in oil prices.

Thus we see Crude and Gasoline at oversold extremes.

Some winners included Urea, Tin, Cocoa and Steel prices.

A couple of them made into overbought territory.

Coking Coal prices are working their way from being oversold for some time.

Orange Juice mean reverted.

Tin has risen 19% over the past 5 weeks.

Copper prices tanked.

Australian Coking Coal broke its 4 week losing streak.

Gold as priced in AUD have risen for 5 consecutive weeks.

while Lithium Hydroxide has been oversold territory for 96 consecutive weeks.

Currencies were woken from slumber and very active. 

The simplest observation was risk was ‘off’.

That means the Aussie and Loonie were dumped and the Yen and Swiss were bought.

The world does this when its worried and risk averse.

The Australian Dollar fell 4% (or more) against every currency pair.

Perversely, the Loonie has risen for 5 straight weeks against the USD.

Both ‘risk’ currencies (AUD & CAD) rose against the Yen.

And the GBP/JPY broke its 5 week rising streak.

The larger advancers over the past week comprised of;

Australian Coking Coal 2%, Cocoa 5.8%, U.S. Hot Rolled Coiled Steel 4.7%, Tin 7.5%, Sugar #16 7.4%, Urea U.S. Gulf 6.1%, Urea Middle East 4.1%, Gold in AUD 2.5% and Gold in ZAR rose 2.1%.

The group of largest decliners from the week included;

Richards Bay Coal (3.4%), Aluminium (10.2.%), Bloomberg Commodity Index (5.8%), Baltic Dry Index (7.1%), Brent Crude (9.2%), WTI Crude Oil (10.6%), Cotton (5.3%), Copper (14.2%), Heating Oil (6.6%), Arabica Coffee (3.8%), Lumber (13%), Cattle (3.3%), JKM LNG in Yen (6.7%), Lithium Carbonate (6.7%), Lithium Hydroxide (5.7%), Newcastle Coal (8%), Natural Gas (5.6%), Nickel (10.2%), Orange Juice (4.4%), Palladium (7.8%), Platinum (8.2%), Gasoline (8.4%), Robusta Coffee (4.2%), S&P GSCI (6.8%), CRB Index (6%), Dutch TTF Gas (10.8%), Gasoil (8%), Silver in AUD (9.8%), Silver in USD (13.3%), Gold in CAD (2.2%), Gold in CHF (3.8%), Gold in EUR (2.7%), Gold in USD (1.5%), Oats (2.1%), Rice (3.3%), Soybeans (4.5%), All World Developed ex-USA (6.6%), AEX (7.3%), ATX (9.9%), KBW Bank Index (13.8%), BUX (9.2%), CAC (8.1%), ChinaA50 (5.1%), DAX (8.1%), DJ Industrials (7.8%), DJ Transports (9.8%), MIB (10.6%), HSCEI (2.2%), Hang Seng (2.5%), IBEX (6.7%), Bovespa (3.5%), IDX (7.3%), S&P SmallCap 600 (9%),  Russell 2000 (9.6%), Nasdaq Composite (10%), KRE Regional Banks (12.7%), KOSPI (3.6%), FTSE 250 (7.6%), S&P MidCap 400 (9.1%), Mexico (3.2%), Nasdaq Biotech (9.8%), Nasdaq 100 (9.8%), Nikkei 225 (9%), NIFTY (2.6%), Oslo (7.8%), Copenhagen (10.9%), Helsinki (7.4%), Stockholm (10.1%), PX (7.9%), SA40 (8.9%), SENSEX (2.7%), SET (4.3%), SMI (9.3%), SOX (16%), IGPA (2.4%), S&P 500 (9.1%), IPSA (2.5%), STI (3.7%), Nasdaq Transports (9.8%), TSX (6.3%), FTSE 100 (7%), Vietnam (8.1%), WIG (9%), ASX Financials (2.8%), ASX 200 (3.9%), ASX Materials (7.1%), ASX Industrials (3.4%), ASX Smal Caps (6.4%), BIST (2.9%) and the XBI Biotech ETF fell 12.7%.

April 6, 2025

By Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending March 28, 2025)

March 30, 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.

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)

Czech & Swedish 10 year government bond yields *

Copper/Gold Ratio *

Silver in AUD and USD

AUD/IDR

NZD/AUD *

Singapore’s Strait Times Index

Overbought (RSI > 70) 

Japanese 2, 5 & 10 year government bond yields *

Gold in AUD, CAD, CHF, GBP, USD and ZAR *

Austria’s ATX *

Hungary’s BUX Index *

Italy’s MIB Index *

Spain’s IBEX

Pakistan’s KSE 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)

10 year Turkish government bond yield

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

Copper *

Extremes below the Mean (at least 2.5 standard deviations)

Taiwan’s TAEIX Index

Philadelphia’s SOX Index

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 *

Uranium *

Nasdaq Transports

And Thailand’s SET Index *

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

Indian 10 year government bond yield *

Notes & Ideas:

Government bond yields were subdues and mixed.

The Australian 10 year minus Australian 2 year bond yield spread has risen for straight weeks.

And Norwegian 10’s are not far away from an all-time high.

Equities were mostly weaker.

Yet it seemed more bearish than it was.

For example the CSI 300, the Dow Jones Transports and the FTSE 100 only closed 0.1% lower from last week’s close.

Germany’s DAX Index and Czechia’s PX Index fell from overbought territory.

Dow Jones Transports, the S&P SmallCaps 600 Index, the Nasdaq Composite, Indonesia’s IDX 30 and the S&P 500 are not oversold this week.

Cairo has risen for 4 straight weeks while Chile’s IGPA and IPSA have risen for the past 5 weeks.

Copenhagen is in a 4 week losing streak.

The Nasdaq Biotech backed and filled a gap and has fallen for 5 weeks.

DJ Transports, the FTSE 250 and the SOX have fallen for 6 consecutive weeks.

The KSE broke a 6 week winning streak.

The KLSE broke its 5 consecutive weeks of decline.

And the ASX Financials have climbed 4.8% over the past fortnight.

Commodities were busy.

Crude, Distillates, Precious Metals, Tin & Nickel rose.

Aluminium, LNG, Coffee, Sugar, Corn, Wheat & Oats were the notable decliners.

The Copper/Gold Ratio remains overbought.

Cattle drops out from being overbought.

Australian Coking Coal is in a 4 week losing streak.

North European Hot Rolled Coil Steel is nearing the exits from oversold territory.

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

Cocoa has fallen for 7 of the past 9 weeks although it did break its 5 week losing streak.

while Lithium Hydroxide has been oversold territory for 95 consecutive weeks.

Currencies were mostly uneventful, again.

Often a simmering in FX volatility leads to the same in equities.

The Aussie was quiet and it halted it 4 consecutive week slide against the Euro.

The Canadian Dollar rose slightly, again. 

The Loonie has risen for straight weeks against the USD.

Both ‘risk’ currencies (AUD & CAD) rose against the Yen.

And the GBP/JPY has risen for 5 straight weeks.

The larger advancers over the past week comprised of;

Cocoa 3.6%, WTI Crude 1.6%, Cotton 2.5%, Newcastle Coal 2.5%, Natural Gas 1.9%, Nickel 1.9%, Palladium 2.4%, Gasoline 2.1%, Tin 5.7%, Silver in AUD 3.1%, Silver in USD 3.3%, Gold as priced in AUD, CAD, CHF and GBP rose 1.8%, Gold in USD 2%, Gold in ZAR 3.2%, BUX 1.6%, IDX 4%, BIST 6.8% and the ASX Financials rose 2.6%.

The group of largest decliners from the week included;

Aluminium (3.9%), Baltic Dry Index (2.5%), U.S. Midwest Hot Rolled Coil Steel (3.6%), JKM LNG (2.2%), Arabica Coffee (2.9%), JKM LNG in Yen (3.4%), Orange Juice (14.1%), Robusta Coffee (3.2%), Sugar (3.9%), Sugar #16 (2.6%), Dutch TTF Gas (4.5%), Corn (2.4%), Oats (8%), Wheat (5.4%), ATX (2%), KBW Bank Index (1.9%), CAC (1.6%), DAX (1.9%), Russell 2000 (1.7%), TAIEX (2.7%), Nasdaq Composite (2.6%), KRE Regional Banks (1.5%), KOSPI (3.2%), Nadsaq Biotechs (2.6%), Nasdaq 100 (2.4%), Nikkei 225 (1.5%), Copenhagen (2.7%), Helsinki (3.3%), Stockholm (3.3%), PSE (1.9%), SMI (1.8%), SOX (6%), S&P 500 (1.5%), TA35 (1.6%), Nasdaq Transports (1.6%) and the iShare Biotech ETF fell 2.5%.

March 30, 2025

By Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending March 21, 2025)

March 23, 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.

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)

Swiss and Czech 10 year government bond yields *

Copper/Gold Ratio *

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

Cattle

EUR/USD

NZD/AUD

Overbought (RSI > 70) 

Japanese 2, 5 & 10 year government bond yields *

Gold in AUD, CAD, CHF, GBP, USD and ZAR *

Austria’s ATX *

Hungary’s BUX Index *

Germany’s DAX Index *

Italy’s MIB Index *

Spain’s IBEX

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)

10 year Turkish government bind yield

Copper *

Extremes below the Mean (at least 2.5 standard deviations)

CAD/EUR

SEK/USD

Dow Jones Transports *

S&P SmallCaps 600 Index *

Nasdaq Composite *

Malaysia’s KLSE 

Nasdaq 100 *

And the S&P 500 

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 *

Uranium *

Indonesia’s IDX 30

And Thailand’s SET Index

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

Indian 10 year government bond yield

Notes & Ideas:

Government bond yields fell.

The few yields that rose were British, Indonesian and Japanese.

Many of last weeks extreme entrants have left, including the high bond yields.

The U.S. 10 year minus German 10 year spread moved out of oversold territory.

And Norwegian 10’s are not far away from an all-time high.

Equities were stronger.

A host of last week’s oversold names no longer appear,

While many of the overbought names are repeat entrants and seem embedded.

Weakness was seen in Chinese, Hong Kong, Swedish and Indonesian markets.

The main Vietnamese index along with some Hong Kong indices left the overbought extremes.

The former broke its 8 week advance.

Thailand’s SET broke its 7 consecutive weeks of losses.

Brazil’s BOVESPA has risen 12% since appearing as oversold in a late December 2024 edition of this weekly publication.

Interestingly, it has climbed 7.6% in the past 3 weeks compared to the 5% decline seen in the Nasdaq and S&P 500 over that same time.

The Nasdaq Biotech Index is in a 4 week losing streak.

The Nasdaq Transports and the FTSE 250 have fallen for 5 straight weeks.

Germany’s DAX Index is overbought for 8 weeks.

The S&P SmallCap 600, MidCap 400 and Russell 2000, Amsterdam’s AEX, Philly’s SOX, Nasdaq Transports, the Nasdaq Composite, the ASX Industrials and the ASX 200 all broke their declining streaks ranging between 5 and 7 weeks.

India’s Nifty and Sensex had a good week.

And Chile’s IGPA and IPSA indices have climbed for 4 consecutive weeks.

Commodities while active, were slightly subdued when compared to the rate of change seem in past weeks.

Oil and distillates rose as did Coffee, Sugar and Cattle.

Tin and Silver fell from being overbought.

Aluminium, Cotton, Coal, Platinum and Natural Gas were amongst the largest decliners.

The Copper/Gold Ratio remains overbought.

Natural Gas prices have fallen 10% over the past fortnight.

Cocoa has fallen for 7 of the past 8 weeks and is in a 5 week losing streak.

Heating Oil and the Baltic Dry Index broke its 4 weeks of declines.

Gasoline and Rubber ended their 5 week losing streaks.

U.S. Hot Rolled Coil Steel broke it 7 consecutive weeks of gains.

Orange Juice snapped its 12 weeks of consecutive losses.

Australian Coking Coal is at its lowest weekly close since November 2021.

while Lithium Hydroxide has now lingered in weekly oversold territory for 94 consecutive weeks.

Currencies were mostly quiet and uneventful.

Many of the currencies in last weeks list have departed. 

The Aussie fell and has fallen for 4 consecutive weeks against the Euro.

The Loonie rose and did the U.S. Dollar.

The Euro mainly fell.

The British Pound was firmer. 

The GBP/JPY has risen for 4 straight weeks.

The larger advancers over the past week comprised of;

Brent Crude 2.3%, WTI Crude 2%, Heating Oil 3.5%, Arabica Coffee 3.8%, Cattle 2%, JKM LNG in Yen 6.2%, Orange Juice 6.5% ,Gasoline 2.2%, Robusta Coffee 2.2%, Sugar 2.8%, Sugar #16 3.3%, Gasoil 3.6%, Uranium 1.6%, Gold in AUD 2.2%, Gold in EUR 1.9%, Oats 3.5%, KBW Bank Index 2.8%, BUX 2.4%, IBEX 2.7%, BOVESPA 2.6%, KSE 2.5%, KOSPI 3%, Nikkei 225 1.7%, NIFTY 4.3%, Oslo 2%, SA40 1.8%, SENSEX 4.2%, Strait Times 2.4%, TSX 1.7%, ASX Financials 2.2%, ASX 200 1.8%, ASX Industrials 2.4% and the ASX Small Caps rose 2.4%.

The group of largest decliners from the week included;

Aluminium (2.7%), Cotton (3.1%), Newcastle Coal (4.7%), Natural Gas (3%), Platinum (3.4%), Tin (2.5%), Silver in USD (2.3%), Rice (1.7%), Shanghai (1.6%), CSI 300 (2.3%), China A50 (3.2%), HSCEI (1.5%), IDX 30 (4.4%) and Stockholm fell 2%.

March 23, 2025

By Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending March 14, 2025)

March 16, 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.

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

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending March 7, 2025)

March 9, 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.

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, French, Greek, Italian, Dutch, Portuguese and Swedish 10 year government bond yields 

German 5 year government bond yields 

IEI

Copper/Gold Ratio

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

Lumber

CHF/AUD

CHF/CAD

JPY/AUD *

JPY/CAD *

PHP/USD

SEK/USD

Vietnam’s equity index

Overbought (RSI > 70) 

Japanese 2 & 5 year government bond yields *

Arabica Coffee

Gold in AUD, CAD and ZAR *

Hungary’s BUX Index *

Germany’s DAX Index *

Italy’s MIB Index

Spain’s IBEX Index *

Pakistan’s KSE Index

Czech Republic’s PX Index *

Switzerland’s SMI Index *

Chile’s IPSA and IGPA Indices *

And Singapore’s Strait Times

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

Japanese 10 year government bond yield

Austria’s ATX *

HSCEI Index *

Hang Seng Index *

Extremes below the Mean (at least 2.5 standard deviations)

TBX *

U.S. 2 year and 5 year government bond yields

Australian 3 year and 5 year government bond yields 

Canadian and Finnish 10 year government bond yields

U.S. 5 year government bond yield minus U.S. inflation rate

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

U.S. 10 year government bond yield minus U.S. 10 year inflation rate

Cotton

Lean Hogs

JKM LNG priced in Yen

AUD/EUR

AUD/GBP

AUD/JPY

CAD/CHF

S&P SmallCaps 600 Index

Russell 2000

Nasdaq Composite

S&P MidCap 400

Nasdaq 100

Philadelphia SOX Index *

S&P 500 

And the Nasdaq Transportation Index

Oversold (RSI < 30)

U.S. 3 month government bill yield *

Australian Coking Coal *

North European Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

Newcastle Coal *

Orange Juice *

Uranium *

And Thailand’s SET Index *

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

Jakarta Composite Index

Notes & Ideas:

Government bond yields rose.

except for Belgian and Brazil’s bond yields.

Brazilian 10’s aren’t overbought anymore

U.S. 7’s & 10’s broke their 7 week falling streak.

The U.S. 10 year and 5 year real interest rate remains in extreme territory.

Swiss yields rose further following last weeks bullish reversal.

Equities were mixed.

Asian markets were stronger as was Germany and Central Europe.

A bunch of European and Asian indices appear in the overbought category.

U.S. indices were amongst the weakest and dragged many others lower.

This week sees a range of American indices at oversold extremes.

The notable winners and losers for the week are listed at the end of this note.

Italy’s MIB broke its 5 week winning streak.

Germany’s DAX Index is overbought for 6 weeks. 

Thailand’s SET has fallen for 6 consecutive weeks.

Vietnam’s main index has risen for 7 weeks.

Spain’s IBEX broke its 10 straight weeks of advance.

The S&P SmallCap 600, MidCap 400 and Russell 2000 have declined for 6 consecutive weeks.

The Hang Seng and the HSCEI were registering overbought quinella prices.

And Switzerland’s SMI has climbed for the past 4 weeks and 10 of the past 11 weeks.

Commodity prices were better than the past couple weeks.

Crude Oil and related products, Cocoa, Urea and Lithium were amongst the losers. i

Coffee, Cattle, Coal, Natural Gas, Nickel, Palladium and Silver were the notable advancers for the week.

The Baltic Dry Index has soared 63% over the past 3 weeks.

Cocoa has fallen for 5 of the past 6 weeks.

Gasoline and Rubber are in 4 week losing streaks.

Urea and Richards Bay Coal isn’t overbought anymore

Orange Juice declines further, extends its losing streak to 11 weeks

U.S. Hot Rolled Coil Steel has climbed for 6 weeks.

Platinum broke its 4 week losing streak.

Cattle rallied 5% and broke its 5 week losing streak.

Brent Crude and WTI Crude have fallen for 7 straight weeks. 

Tin prices have soared 16% over the past 5 weeks.

while Lithium Hydroxide has now lingered in weekly oversold territory for 92 consecutive weeks.

Currencies saw much action.

The DXY (USD) Index fell 3.4%.

The Aussie was weaker with a host of pairs at extremes.

The Aussie has fallen for 4 weeks against the British Pound.

The Canadian Dollar was weaker.

The Loonie and the Swiss appear in this weeks list,

As does the Yen.

Risk has been off and we’ve been buying Yen and Swissie.

The larger advancers over the past week comprised of;

Richards Bay Coal 1.7%, Aluminium 3.9%, Rotterdam Coal 4.3%, Bloomberg Commodity Index 2%, Baltic Dry Index 13.9%, Lean Hogs 4.4%, Copper 3.6%, Coffee 3%, Cattle 4%, Tin 4.1%, Newcastle Coal 6%, Natural Gas 14.7%, Nickel 6.7%, Palladium 4.8%, Platinum 3.1%, Silver in AUD 2.8%, Silver in USD 4.4%, Gold in USD 1.8%, Shanghai Composite 1.6%, All Developed World ex USA 2.5%, PSE 3.7%, PX 2.9%, SA40 3.4%, Vietnam 1.6%, WIG 1.8%, BIST 8.8% and Jakarta Composite rose 5.8%.

The group of largest decliners from the week included;

Australian Coking Coal (1.9%), Brent Crude (3.7%), Cocoa (9.1%), WTI Crude Oil (3.9%), Heating Oil (4.3%), JKM LNG in Yen (14.3%), Lithium Carbonate (4.7%), Lithium Hydroxide (1.7%), Gasoline (5.1%), Dutch TTF Gas (9.8%), Urea U.S. Gulf (3%), Gasoil (2.8%), Uranium (1.6%), Gold in EUR (2.5%), KBW Banking Index (8.8%), DJ Industrials (2.3%), DJ Transports (2.4%), S&P SmallCap 600 (3.6%), Russell 2000 (4.1%), TAIEX (2.1%), Nasdaq Composite (3.5%), KLSE (7.1%), KRE Regional Banks (7.1%), S&P MidCap 400 (3.5%), Nasdaq 100 (3.3%), Copenhagen (2.1%), SOX (2.9%), S&P 500 (3.1%), Nasdaq Transports (3.1%), TSX (2.5%), FTSE 100 (1.5%), ASX Financials (4.6%), ASX 200 (2.7%), ASX Industrials (1.8%) and the ASX Small Caps fell 2.6%.

March 9, 2025

By Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending February 28, 2025)

March 2, 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.

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)

Swiss 10 year government bond yields *

JPY/AUD

JPY/CAD

HSCEI Index *

Hang Seng *

Tin

Overbought (RSI > 70) 

Japanese 2, 5 & 10 year government bond yields *

Brazilian 10 year government bond yield *

Urea (U.S. Gulf price) *

Gold in AUD, CAD and ZAR *

Hungary’s BUX Index *

Germany’s DAX Index

Czech Republic’s PX Index *

Switzerland’s SMI Index

And Chile’s IPSA and IGPA Indices *

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

Austria’s ATX *

Spain’s IBEX Index *

Extremes below the Mean (at least 2.5 standard deviations)

TBX

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

U.S. 5 year government bond yield minus U.S. inflation rate

U.S. 10 year government bond yield minus U.S. 10 year breakeven inflation rate

U.S. 5 year government bond yield minus U.S. 10 year inflation rate

Philadelphia SOX Index

Nikkei 225 Index

Oversold (RSI < 30)

U.S. 3 month government bill yield *

INR/USD

Australian Coking Coal *

Richards Bay Coal *

North European Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

Newcastle Coal *

Uranium *

And Thailand’s SET Index *

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

Orange Juice *

Jakarta Composite Index

Notes & Ideas:

Government bond yields fell….

except for Belgian, Finland and Brazil’s bond yields.

U.S. 7’s & 10’s have fallen for 7 weeks.

As a result, the IEF bond ETF has risen for 7 weeks.

The U.S. 10 year and 5 year real interest rate entered extreme territory this week.

We saw a large fall and reversal in Swiss yields.

While the Japanese 10 year bond yield has climbed for 8 weeks.

Equities were notably weaker.

Italy’s MIB have risen for 5 consecutive weeks.

Vietnam’s main index has risen for 6 weeks.

Spain’s IBEX have extended its advance to 10 weeks straight.

Inversely, the S&P SmallCap 600, MidCap 400 and Russell 2000 have declined for the 5 consecutive weeks.

The Hang Seng and the HSCEI were registering overbought quinella prices early in the week, before they fell and broke their 6 consecutive weeks of advance.

Singapore’s Strait Times, South Africa’s SA40 and Helsinki’s 25 Index snapped their respective 4, 5 and 6 week winning streaks.

While Hungary’s BUX, Poland’s WIG broke their 9 week wining streaks.

The SENSEX and NIFTY are nearing extremes.

And Switzerland’s SMI has climbed for 9 of the past 10 weeks.

Commodity prices had a terrible week, across the board.

Tin, Corn, Wheat, Coffee, Sugar and Palladium were amongst the heaviest decliners. 

Shipping Rates, Lumber, Oasis were the few to rise for the week.

In fact, the Baltic Dry Index has soared 57% over the past 4 weeks, after registering an oversold reading.

Orange Juice tanks further, extends its losing streak to 10 weeks

U.S. Hot Rolled Coil Steel has climbed for 5 weeks.

Sugar broke its 5 week winning streak, erasing the past 3 weeks of gains.

Platinum has fallen for 4 straight weeks.

Silver in USD broke its 5 straight weeks of advance.

Gold in USD snapped its 8 week winning streak. 

Australian Coking Coal prices rose slightly, snapping its 7 straight weeks of losses.

Cattle is in a 5 week losing streak, while Uranium snapped its 4 weeks of decline.

Brent Crude and WTI Crude have fallen for 6 straight weeks. 

Lean Hogs broke their 4 consecutive weeks of advance,

Wheat slumped and broke its 6 week winning streak.

Tin prices have soared 12% over the past  weeks.

while Lithium Hydroxide has now lingered in weekly oversold territory for 91 consecutive weeks.

Currencies also saw much action.

The Yen and Swiss rose, confirming the ‘risk-off’ type of week.

The Aussie fell and did the Loonie.

In turn, we see the Yen in overbought territory this week against these ‘risk’ currencies.

The British Pound rose

And the U.S. Dollar rose against everyone.

The larger advancers over the past week comprised of;

Baltic Dry Index 25.3%, Lumber 2%, JKM LNG in Yen 2.9%, Urea, U.S. Gulf price 1.7%, Oats 1.5%, ATX 2.5% and IBEX rose 3.1%.

The group of largest decliners from the week included;

Aluminium (3.4%), Bloomberg Commodity Index (3.8%), Cotton (3.1%), Lean Hogs (4.6%), Heating Oil (2.7%), JKM LNG (2.3%), Arabica Coffee 4.2%, Lithium Hydroxide (1.9%), Tin (7.3%), Newcastle Coal (4.1%), Natural Gas (8.5%), Orange Juice (2.7%), Palladium (9.2%), Platinum (5%), Robusta Coffee (6.6%), Sugar (9.7%), Sugar #16 (4.5%), S&P GSCI (2.8%), CRB Index (3%), Dutch TTF Gas (6.5%), Brent Crude (1.6%), Gasoil (3.7%), Urea Middle East (4.2%), Silver in AUD (1.8%), Silver in USD (4%), Gold in USD (2.7%), Gold in GBP (2.2%), Gold in EUR (1.9%), Gold in CHF (2.1%), Corn (7.5%), Rice (1.6%), Soybeans (3%), Wheat (8%), Shanghai Composite (1.7%), AEX (1.7%), China A50 (1.6%), SOX (7.2%), HSECI (2.9%), Hang Seng (2.3%), BOVESPA (3.4%), Jakarta Composite (7.8%), Russell 2000 (1.5%0, TAIEX (2.9%), Nasdaq Composite (3.5%), KOSPI (4.6%), Mexico (2.6%), Nasdaq Biotech (1.6%), Nasdaq 100 (3.4%), Nikkei 225 (4.2%), NIFTY (2.9%), SA40 (3.5%), SENSEX (2.8%), SET (3.4%), TA35 (1.8%), FTSE 100 (1.7%), ASX 200 (1.5%), ASX Materials (5.3%) and the ASX SmallCaps fell 2.5%.

March 2, 2025

By Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending February 7, 2025)

February 9, 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.

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)

Silver in AUD

USD/MXN

Poland’s WIG Index *

And the U.K.’s FTSE 100 *

Overbought (RSI > 70)

Brazil 10 year government bond yields

Japanese 2, 5 and 10 year government bond yields *

Dutch TTF Gas

Gold in AUD

Hungary’s BUX Index *

DAX Index

Israel’s TA35 *

Singapore’s Strait Times Index *

Chile’s IGPA Index *

Czech Republic’s PX Index *

Chile’s IGPA Index *

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

Arabica Coffee *

Urea (U.S. Gulf price) *

Gold as priced in CAD, CHF, EUR & GBP

USD/INR *

Austria’s ATX *

Chile’s IPSA Index *

Spain’s IBEX Index

Extremes below the Mean (at least 2.5 standard deviations)

India’s 10 year government bond yields

Orange Juice 

Rice

CHF/JPY

EUR/JPY

GBP/JPY

CAD/JPY

Thailand’s SET Index

Oversold (RSI < 30)

Chinese 10 year government bond yields * 

U.S. 3 month government bill yield *

Australian Coking Coal *

North European Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

Newcastle Coal *

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

INR/USD

Notes & Ideas:

Government bond yields fell, again.

While this week’s list boasts the same overbought entries as last weeks edition, we are seeing more streaks develop.

Chile’s 2 year bond yields are in a 5 week rising streak.

As are the Japanese 2’s, 5’s and 10’s.

Belgian 10 year bond yields have climbed for 4 weeks. 

Aussie 10’s, Norwegian 10’s and the yields across the British curve are in 4 week losing streaks.

The spread of the U.S. 10 year minus U.S. 10 year break-even rate has fallen for 4 straight weeks.

The U.S. 5 year break-even inflation rate is nearing an overbought reading. The last time we saw that was March 2022.

And I wanted to make a note that only a few weeks ago, the U.S. 5 year minus U.S. 3 month yield spread was overbought.

Equities mainly rose, while we saw weakness amongst small caps.

The CAC, the DAX and the Helsinki 25 are in 4 week winning streaks.

Poland’s WIG Index has climbed for 6 consecutive weeks.

Austria’s and Hungary’s main equity index have risen for 7 weeks straight.

Pakistan’s KSE, Switzerland’s SMI and the ASX Industrials Index fell from overbought territory.

The SMI broke its 6 week winning streak.

The SMI climbed 10% over that time.

Chile’s IPSA is in a 5 week rising streak and has risen for 11 of the past 13 weeks.

Philippines PSE broke its 4 week losing streak by rising 5%.

Indonesia’s Jakarta Composite is nearing oversold levels.

And the DAX is at an all-time high.

Commodity prices were mixed with a lower bias.

Arabica Coffee has risen for 5 straight weeks.

Orange Juice tanks further and extends its losing streak to 7 week.

Palladium gave up all of last week’s 6% gain and then some.

The Baltic Dry Index jumped from being oversold. It rose 11%. Prior to this week, it had fallen 59% over the past 2 months.

U.S. Midwest Hot Rolled Coil Steel rose enough to end its 36 week stay in oversold territory.

Copper, Coffee, Tin, Gases, Gold and Wheat gained.

Uranium, Oil, Coal, Orange Juice, Lithium and Cocoa fell.

Copper had a good week leading to a sharp rise in the Copper/Gold Ratio, arguably confirming a ‘risk-on’ environment.

Wheat is in a 5 week winning streak.

Corn has risen for 8 of the past 10 weeks.

Last week Cattle prices were overbought. They are no longer so.

Gold as priced in CAD has risen for 10 consecutive weeks.

Gold in USD has risen for 6 weeks while Gold in CHF is in a 7 week winning streak.

while Lithium Hydroxide has now lingered in weekly oversold territory for 88 consecutive weeks.

Currencies were active.

There is merit comparing the currency entries in last week’s edition and referencing those omitted in the edition.

The AUD mostly rose, reversing recent declines.

The AUD/JPY fell and is nearing oversold levels.

The Yen has been stronger against the USD for 4 weeks. This Yen strength is perhaps signalling an end to ‘risk-off’ sentiment?

The Brazilian Real has risen for 6 straight weeks versus the USD.

The Loonie rose from its recent doldrums and the CAD/USD isn’t oversold this week.

And the Euro was weaker, everywhere, again.

The larger advancers over the past week comprised of;

Bloomberg Commodity Index 1.9%, Baltic Dry Index 10.9%, Lean Hogs 3.7%, Copper 7.2%, Heating Oil 1.4%, U.S. Hot Rolled Coil Steel 2%, JKM LNG 2%, Arabica Coffee 6.9%, Tin 4.6%, Natural Gas 8.7%, Nickel 3.4%, Gasoline 2.2%, Tin 3.3%, Dutch TTF Gas 4.7%, Urea U.S. Gulf 2.9%, Gold in CHF 2.1%, Gold in EUR 2.5%, Gold in GBP 2.1%, Gold in USD 2.2%, Wheat 4.2%, Shanghai Composite 1.6%, CSI 300 2%, MIB 1.6%, HSCEI 5.4%, Hang Seng 4.5%, IBEX 2.6%, ASX Materials 1.7%, WIG 2%, TA35 2.4%, SA40 2.4%, PX 2.4%, PSE 5%, Mexico 3.1% and the KLSE rose 2.2%.

The group of largest decliners from the week included;

Richard Bay Coal (4.2%), Rotterdam Coal (4.8%), Cocoa (8%), Cattle (2.7%), Lithium Carbonate (4.2%), Lithium Hydroxide (3.1%), Newcastle Coal (9.2%), Orange Juice (10.9%), Robusta Coffee (2,8%), Sugar #16 (3.4%), Brent Crude (2.4%), WTI Crude (2.1%), Uranium (2.5%), Indonesia (5.1%), S&P Small Cap Value (1.8%), SET (2.5%), Oslo (2%), KSE (3.4%) and the Nikkei 225 fell 2%.

February 9, 2025

By Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending January 31, 2025)

February 2, 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.

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

Filed under Finance & Investment Tagged with , , , ,

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 , , , ,

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