Macro Extremes (week ending December 27, 2024)

A weekly Macro, Cross Asset review of prices trading at extremes which may generate future investment ideas and opportunities.

The following assets (on a weekly timeframe) either registered an Overbought or Oversold reading and/or have traded more than 2.5 standard deviations above or below its rolling mean.

* denotes multiple week inclusion

Extremes above the Mean (at least 2.5 standard deviations)

Australian 10 year bond yield minus Australian 2 year bond yield 

Australian 10 year bond yield minus Australian 5 year bond yield 

Chilean 2 and 10 year government bond yields

Swedish 10 year government bond yield

Japan Korean Marker (JPM) LNG

Natural Gas

Overbought (RSI > 70)

Japanese 2 year government bond yield

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

Arabica coffee *

Pakistan’s KSE Index *

Czech Republic’s PX Index *

Israel’s TA35 *

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

Brazil 10 year government bond yield

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

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

Extremes below the Mean (at least 2.5 standard deviations)

Rice

AUD/GBP

AUD/SGD

ZAR/USD

Oversold (RSI < 30)

U.S. 3 month government bill yield *

Australian Coking Coal *

North European Hot Rolled Coil Steel *

U.S. Midwest Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

Newcastle Coal *

RMB/USD *

CAD/USD

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

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

Chinese 10 year government bond yields *

Uranium

AUD/THB *

BRL/USD *

INR/USD *

KRW/USD *

Notes & Ideas:

Government bond yields were mixed overall, with a bias for higher rates. 

Euro 5’s and 10’s yields have risen for 4 weeks straight.

Yields across the British curve have also climbed for 4 weeks, as have Swedish 10’s.

The South Korean 10 year yield has bounced since its oversold reading 3 weeks ago.

Brazilian 10’s have risen for 6 weeks.

Chinese yields broke their 6 consecutive weeks of declines.

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

While this week sees the return of the Aussie yield curve return to overbought territory.

Equities were stronger, reversing the previous 2 weeks of weakness.

The overreactive decline following last weeks Fed announcement seems comical now. 

The Czech Republic’s PX Index has risen for 11 of the past 12 weeks.

Israel’s Tel Aviv 35 Index had climbed for 5 straight weeks.

The Russell 2000 rose and Oslo’s OBX Index broke their 4 week losing streak.

The Regional Banks (KRE) Index is in 5 week losing streaks.

And Indonesia’s IDX is nearly oversold.

Commodity prices were mixed.

Gases, Corn and Wheat were the notable gainers.

Cocoa, Oat and Coal prices were amongst the weeks losers.

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

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

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

Sugar has fallen for 11 of the past 12 weeks.

Dutch TTF Gas has climbed 15% over the past 2 weeks.

The Baltic Dry Index broke its 5 week losing streak,

Palladium has declined for 5 weeks, 

while Uranium extends its loses to 6 consecutive weeks.

Lean Hogs and Cocoa broke their respective 5 and 6 straight weeks of gains.

U.S.Midwest Hot Rolled Coil Steel has spent 31 weeks being oversold,

while Lithium Hydroxide has now lingered in weekly oversold territory for 82 consecutive weeks.

Currencies were active, again.

The Aussie was weaker again.

The Thai Baht is at its highest against the AUD since June 2020.

The AUD has fallen for 10 of the past 13 weeks against the USD and the CAD.

The Euro was firmer.

EUR/JPY has risen for 4 straight weeks.

And so, the Yen was weaker and it has fallen for 4 weeks against the USD.

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

And the NZD/USD has fallen for 11 of the past 13 weeks.

The larger advancers over the past week comprised of;

Aluminium 1.7%, Rotterdam Coal 3.2%, WTI Crude Oil 1.6%, JKM LNG 4.6%, JKM LNG in Yen 11.6%, Dutch TTF Gas 8.1%, Corn 1.7%, Wheat 2.5%, All World Developed ex USA 1.6%, China A50 2%, HSCEI 2.3%, Hang Seng 1.9%, TAIEX 3.4%, KLSE 2.3%, Nikkei 225 4.1%, Oslo 1.8%, Copenhagen 3.3%, Helsinki 1.7%, PSE 1.9%, SET 2.7%, SMI 1.8%, SOX 3.2%, ASX Financials 3.4%, ASX 200 2.4%, ASX Industrials 2.1%, ASX Small Caps and Turkiye’s BIST rose 3.1%.

The group of largest decliners from the week included;

Australia Coking Coal (2%), Cocoa (15.3%), Lean Hogs (2.1%), Newcastle Coal (1.9%), Orange Juice (2.7%), Uranium (3%), Oats (9.5%), Rice (1.5%), Egypt (1.9%) and Brazil’s BOVESPA fell 1.5%.

December 29, 2024

By Rob Zdravevski

rob@karriasset.com.au

Macro Extremes (week ending December 6, 2024)

A weekly Macro, Cross Asset review of prices trading at extremes which may generate future investment ideas and opportunities.

The following assets (on a weekly timeframe) either registered an Overbought or Oversold reading and/or have traded more than 2.5 standard deviations above or below its rolling mean.

* denotes multiple week inclusion

Extremes above the Mean (at least 2.5 standard deviations)

Finnish10 year government bond yields 

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

AUD/GBP

AUD/SGD

Overbought (RSI > 70)

Japanese 2 year government bond yield

Brazilian 10 year government bond yield *

Cocoa * 

USD/INR *

KBW Bank Index *

Hungary’s BUX Index *

Czechia’s PX Index *

Singapore’s STI Index

Israel’s TA35 *

Toronto’s TSX *

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

Arabica Coffee *

Pakistan’s KSE Index *

Hungary’s BUX Index *

Extremes below the Mean (at least 2.5 standard deviations)

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

Newcastle Coal

Oversold (RSI < 30)

U.S. 3 month government bill yield *

Australian Coking Coal *

U.S. Midwest Hot Rolled Coil Steel *

North European Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

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

Chinese & South Korean 10 year government bond yields

BRL/USD *

Notes & Ideas:

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

Only a few rose.

There are may streaks developing in bond yields.

Belgium 10’s have risen for 5 straight weeks.

Brazilian 10’s have done so for 4 weeks.

Chinese and Norwegian yields have declined for 4 consecutive weeks.

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

EU and British yields broke their 4 weeks of declines.

Japanese 2’s snapped their 5 week fall. 

U.S. break-even inflation rates have declined to their lowest in 5 weeks.

Spanish 10 year yields are at their lowest since November 2022

While Danish 10’s yields are at their lowest since August 2022.

Equities were mostly firmer, again.

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

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

While the KSE has risen for 7 straight weeks.

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

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

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

And the DAX is a whisker from an overbought extreme.

Commodity prices were mixed.

Coffee, Cocoa, Silver and Grain rose.

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

Only Gold as priced in AUD and CAD rose.

Arabica coffee is in a 5 week winning streak.

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

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

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

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

Currencies were subdued.

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

The Aussie and Loonie were weaker, again.

The Euro rose 1.8% against the AUD.

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

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

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

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

And the British Pound was firmer.

The larger advancers over the past week comprised of;

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

The group of largest decliners from the week included;

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

December 8, 2024

By Rob Zdravevski

rob@karriasset.com.au

Macro Extremes (week ending November 29, 2024)

A weekly Macro, Cross Asset review of prices trading at extremes which may generate future investment ideas and opportunities.

The following assets (on a weekly timeframe) either registered an Overbought or Oversold reading and/or have traded more than 2.5 standard deviations above or below its rolling mean.

* denotes multiple week inclusion

Extremes above the Mean (at least 2.5 standard deviations)

Cocoa *

CAD/EUR *

Dow Jones Transport Index

S&P Small Cap 600

Russell 2000

S&P Mid Cap 400

Overbought (RSI > 70)

USD/INR

KBW Bank Index *

Dow Jones Industrials 

Pakistan’s KSE Index *

Czechia’s PX Index *

Israel’s TA35 *

Nasdaq Transports Index *

Toronto’s TSX *

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

Brazilian 10 year government bond yields

Arabica Coffee *

Hungary’s BUX Index *

KRE Regional Banks Index *

Extremes below the Mean (at least 2.5 standard deviations)

Austrian, Swiss, Danish, Spanish, Greek and Italian government bond yields

BRL/USD

CAC Index

Oversold (RSI < 30)

U.S. 3 month government bill yield *

Australian Coking Coal *

U.S. Midwest Hot Rolled Coil Steel *

North European Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

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

South Korean 10 year government bond yields

Notes & Ideas:

Government bond saw much action as most yields fell.

Only Brazilian and Finnish yields rose.

The former appears as an overbought extreme and the latter is in a 4 week rising streak.

Chilean & U.S. 2’s broke their 5 consecutive weeks of advance.

EU yields have declined for 4 weeks, across the curve.

British 2, 3 and 5 bond yields have declined for 4 consecutive weeks.

Japanese 2’s have risen for 5 straight weeks and for 8 of the past 9.

U.S. break-even inflation rates have declined to their lowest in 5 weeks.

Spanish 10 year yields are at their lowest since November 2022

While Danish 10’s yields are at their lowest since September 2022.

Equities were mostly firmer.

Some of the emerging market indices were weaker.

Helsinki and the CAC are in 6 week losing streaks.

While the KSE has risen for 6 straight weeks.

A bunch of U.S. indices appear in this weeks overbought extreme list.

The TAIEX posted a bearish outside reversal week.

Australia’s Industrials Index has advanced for the past 4 weeks

And the Nasdaq Biotech Index has recovered half of the 10% drop seen 3 weeks prior.

Commodity prices were mostly weaker, reversing last weeks strength.

Precious Metals, Oil, Gas and Wheat prices fell, giving up last week’s gains.

Arabica coffee is in a 4 week winning streak.

Oats, Shanghai Rebar and Sugar are in their respective 4, 7 and 9 week losing streaks. 

JKM LNG in Yen and other gas prices aren’t overbought anymore nor is the Copper/Gold Ratio.

The Baltic Dry Index has fallen 26% over the past fortnight.

U.S.Midwest Hot Rolled Coil Steel has spent 27 weeks being oversold,

while Lithium Hydroxide has now lingered in weekly oversold territory for 78 consecutive weeks.

Currencies were active again, again.

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

The DXY Index broke its 8 week rising streak.

The Aussie was mostly weaker. It fell 3% against the Yen.

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

The Loonie was weaker.

The world huddled into the Swiss Franc. It broke a 6 week losing streak against the USD and the CHF/AUD posted a bullish outside reversal week. 

The Yen rose.

The Swedish Krona and Chinese Yuan both rose and broke their 6 week losing streak vs. the USD.

The GBP also rose against the USD, bringing its 8 consecutive weeks of declines, to an end.

While the EUR/JPY has fallen for 4 straight weeks, the EUR/USD isn’t oversold anymore.

The larger advancers over the past week comprised of;

Cotton 1.6%, Hot Rolled Coil Steel 4.3%, Arabica Coffee 5.3%, Natural Gas 5%, Robusta Coffee 8.5%, Iron Ore 2.7%, Rubber 1.8%, Shanghai 1.8%, All Developed World ex-USA 1.6%, DAX 1.6%, Dow Jones Industrials 1.6%, KSE 3.6%, Nasdaq Biotech 2.5%, S&P 500 1.2%, Nasdaq Transports 1.8%, Vietnam 1.8% and the ASX Small Caps rose 1.9%.

The group of largest decliners from the week included;

Baltic Dry Index (11.9%), Brent (4%), Cocoa (3.7%), WTI Crude Oil (4.6%), DXY Index (1.6%), Heating Oil (4%), JKM LNG in Yen (5.9%), Tin (1.9%), Newcastle Coal (3.6%), Palladium (2.9%), Platinum (2.2%), Gasoline (5.8%), Cane Sugar (3.7%), S&PGSCI (2.1%), Gasoil (3%), Silver in AUD (2.7%), Silver in USD (2.3%), Gold in AUD (2.8%), Gold in CAD (2.3%), Gold in CHF (3.9%), Gold in EUR (3.9%), Gold in GBP (4%), Gold in USD (2.4%), Oats (3.4%), Wheat (3%), BUX (2%), Bovespa (2.7%), TAIEX (2.8%), PSI (2.5%) and the KOSPI fell 1.8%.

November 30, 2024

By Rob Zdravevski

rob@karriasset.com.au