Macro Extremes (week ending April 11, 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)

British 30 year government bond yield

Turkish 10 year government bond yield

U.S. 3 month bill yield

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

SHY

AUD/ZAR

CAD/USD

JPY/USD

SEK/USD

USD/ZAR

Overbought (RSI > 70) 

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

BofA BB High Yield Option Adjusted Spread

Urea (U.S. Gulf)

Gold in AUD, CAD, GBP and USD

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

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

Australian government 10 year bond yield minus the Aust. 5 year bond yield spread 

BofA High Yield Index Effective Yield

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

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

Gold in ZAR *

CHF/AUD

CHF/USD

EUR/GBP

EUR/USD

USD/IDR

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 *

British 2’s, 3’s & 5’s

Polish 10 year bond yields

Copper/Gold Ratio

Aluminium *

Brent and WTI Crude Oil *

Cotton *

JKM LNG in Yen

Nickel

Platinum

Gasoline

Shanghai Rebar

S&P GSCI

TSI China Iron Ore price

Gasoil

AUD/CAD

AUD/JPY

AUD/SGD

AUD/THB

CAD/CHF

GBP/JPY

Shanghai Composite

CSI 300

All World Developed – ex USA

Amsterdam’s AEX

KBW Bank Index

CAC

Indonesia’s IDX

KRE Regional Banks Index

KOSPI

Nikkei 225

Oslo

Helsinki

SENSEX

SMI

S&P 500 

Strait Times

TSX

FTSE 100

ASX 200

ASX Materials

And ASX Small Caps

Oversold (RSI < 30)

Richards Bay Coal *

Lithium Carbonate *

Lithium Hydroxide *

Newcastle Coal *

Uranium *

Dow Jones 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. (DXY) Dollar Index

North European Hot Rolled Coil Steel

Rubber

AUD/EUR

CAD/CHF

USD/DKK

Nasdaq Transports

Biotech ETF’s

S&P Small Cap 600

Russell 2000

Malaysia’s KLSE

FTSE 250

Copenhagen

Stockholm

Notes & Ideas:

Government bond yields mostly rose.

Intra-week we saw many extremes visited, not many closed near.

Thus, various yield spreads left the list.

European 10’s have fallen for 4 straight weeks while Euro 2’s have done so for 5 weeks.

U.S. 3 month bill yields moved out of oversold territory for the first time in 9 months.

Austrian and Spanish 10’s broke their 4 week losing streak, 

And the U.S. 30 year minus U.S. 10 year yield spread broke it 8 consecutive weeks of gains.

Equities broadly rebounded.

It was a tricky week to report on extremes based on figures at the close of the week, for many extremes were seen intra-week before reversing.

The S&P 500 and the Nasdaq Composite rose and departed oversold land.

Chinese and Hong Kong stocks wore the losses this week as did some Western European indices.

The TAIEX and Singapore’s Strait Times Index both fell 8%, which is quite a comparison to the Nasdaq Composite’s 7% gain.

The DAX, Hang Seng, Stockholm and Helsinki have fallen for 5 weeks straight.

Copenhagen is in a 6 week losing streak.

The IBB Biotech ETF have fallen for 7 weeks.

DJ Transports, the FTSE 250 and the SOX broke their 7 consecutive weeks of decline.

The KRE Regionals Banks Index is nearly oversold.

Commodities were mixed.

Coal, Aluminium, Copper, Nickel, Orange Juice, Precious Metals and Grains rose.

Shipping Rates, Oil, Gases, Distillates, Tin and Sugar were amongst the largest losers.

Australian Coking Coal moved out of oversold territory as did Orange Juice.

The former has risen 5% over the past fortnight.

The Baltic Dry Index has fallen or 4 straight weeks while Aluminium broke its 4 week losing streak.

Coffee looks like turning lower.

Gold as priced in ZAR has risen for 5 weeks. 

Gold in AUD is in a 6 week winning streak.

Tin tanked 13%, nearly erasing the past 5 weeks of gains.

while Lithium Hydroxide has been oversold territory for 97 consecutive weeks.

Currencies were very active, again.

The star of the show was the U.S. Dollar falling 3%.

Similar to equities, the end of week entrants in this list are only a fraction of the extremes seen intra-week.

The Aussie however rose towards the end of the week yet remains in the doldrums.

The Loonie was mixed and it has risen for 6 straight weeks against the USD.

The CHF/CAD is 16% below its 200 WMA.

The Swiss is strong.

The Kiwi is the highest against the AUD since March 2024.

And the Danish Krone is at a 3 year high vs the USD.

The larger advancers over the past week comprised of;

Australian Coking Coal 2.8%, Aluminium 4.1%, Rotterdam Coal 2.6%, Bloomberg Commodity Index 1.8%, Cotton 4%, Copper 2.8%, Nickel 2.2%, Orange Juice 23.1%, Platinum 3.3%, Silver in AUD 4.8%, Silver in USD 9.2%, Gold in AUD 2.3%, Gold in CAD 3.9%, Gold in GBP 5%, Gold in USD 6.6%, Gold in ZAR 6.8%, Corn 6.5%, Rice 3.2%, Soybean 6.7%, Wheat 5.1%, KBW Bank Index 4.1%, BUX 2.3%, China A50 2.2%, DJ Industrials 4.9%, DJ Transports 1.9%, Russell 2000 1.8%, Nasdaq Composite 7.3%, S&P MidCap 400 2.8%, Nasdaq 100 7.4%, SA40 6.1%, SOX 10.9%, S&P 500 5.7%, Nasdaq Transportations 2.8%, TSX 1.7%, WIG 2.3% and the ASX Small Caps rose 1.8%.

The group of largest decliners from the week included;

Baltic Dry Index (14.4%), Brent Crude (2.2%), DXY Index (3%), JKM LNG (2.9%), Arabica (2.9%), Lumber (3.1%), JKM LNG in Yen (14.8%), Lithium Carbonate (1.8%), Tin (19.8%), Natural Gas (8.1%), Gasoline (2.7%), Sugar (4.5%), Sugar #16 (7.1%), TSI Iron Ore (2.6%), Dutch TTF Gas (8.1%), Gasoil (2.9%), Shanghai Composite (3.1%), CSI 300 (2.9%), AEX (2.6%), CAC (2.3%), Egypt (2.8%), MIB (1.8%), HSCEI (7.4%), Hang Seng (8.5%), IDX (3.9%), TAEIX (8.3%), KLSE (3.3%), SMI (3.5%) and the Strait Times fell 8.2%.

April 13, 2025

By Rob Zdravevski

rob@karriasset.com.au

Macro Extremes (week ending April 4, 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)

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

Macro Extremes (week ending March 28, 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)

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

Macro Extremes (week ending March 7, 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, 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

Macro Extremes (week ending February 28, 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)

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

Macro Extremes (week ending January 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.

* denotes multiple week inclusion

Extremes above the Mean (at least 2.5 standard deviations)

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

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

U.S. 10 year bond yield divided by the Australian 10 year bond yield spread *

Austrian 10 year government bond yield

Japan Korean Marker (JPM) LNG *

Natural Gas *

CAD/AUD

GBP/AUD *

Overbought (RSI > 70)

Japanese 2 year government bond yield *

Brazil 10 year government bond yield *

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

DXY Index

Pakistan’s KSE Index *

Czech Republic’s PX Index *

Israel’s TA35 *

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

None

Extremes below the Mean (at least 2.5 standard deviations)

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

Rice

AUD/IDR

AUD/GBP *

AUD/CAD

EUR/USD

NZD/USD

RMB

ZAR/USD *

Egypt 30 Index

Oversold (RSI < 30)

U.S. 3 month government bill yield *

North European Hot Rolled Coil Steel *

U.S. Midwest Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

Newcastle Coal *

BRL/USD *

CAD/USD *

DKK/USD

KRW/USD *

SGD/USD

Brazil’s BOVESPA Index

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

Chinese 10 year government bond yields *

INR/USD *

Notes & Ideas:

Government bond yields were mixed again.

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

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

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

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

Equities mostly rose.

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

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

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

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

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

While Chinese and Hong Kong equities were notable decliners.

Commodity prices were mixed.

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

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

Arabica coffee isn’t overbought this week.

Australian Coking Coal not oversold, nor is Uranium.

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

Corn broke its 4 week rising streak.

Nickel is now trading 32% below its 200 week moving average and at its lowest close since early June, 2020.

Sugar has fallen for 11 of the past 13 weeks.

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

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

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

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

Currencies were active, again.

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

And the resulting extremes appearing in this weeks list.

The Aussie, Loonie and Yen were firmer.

Swiss was weak as was the Euro and Pound Sterling.

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

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

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

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

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

The larger advancers over the past week comprised of;

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

The group of largest decliners from the week included;

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

January 5, 2025

By Rob Zdravevski

rob@karriasset.com.au