via @MacroTechnicals:
wk4 1/n • RiskON continued • hope on FED total pause, PBoC, remain dovish ECB/BoJ • 76%/24% indices breadth • FX 81% vs USD, 71% vs JPY • most of EM bonds rallied • creditspreads tighter • VIX lower
2/n 1MTH performance (basically since lows near x-mas) • literally a one way street across asset classes… worst = cash • technical oversold in Dec plus • FED blinked • ECB dovish • PBoC dovish • short cover fuels rally
3/n YTD • strong start after bad 2018 • annualised velocity little chance to sustain
4/n Global Assets ROC overview • Turkey (worst is priced in), Brazil (reform), Russia + Energy leading the pack
5/n Trend & Exhaustions
6/n Global Yields & Curves • mostly bull-flattening last week • US dropped to 15bp, Canada stayed at 9bp, Europe starts to shift now too with more flattening, Czech slightly wider to 17bp, Turkey still massively inverted after CBRT left rates unchg
7/n US Credit spreads • RiskON continued, all sub sectors spreads tighter [possibly just a counter rally in the ongoing trend, so better watch these] [ * inverted scale to mirror stock indices performance ]
8/n RiskOnOff ratios update • majority continued RiskOn moves [ within the current downtrend ]
9/n European Corps & Financials • ITRAXX indices Corp IG & HY as well as Financials Senior & Subordinated moved lower in RiskON mode too…
10/n CDX vs SPX update • just a rebound… not a signal yet
11/n CDX vs SPX model • visualised the Credit spread as a warning signal, SPX rebound after shock sell off, but not out of the woods yet
12/n VIX term structure • RiskOn mode since x-mas , oversold situation and FED blinked led to a collapse in the front end, a sharp move from high uncertainty and backwardation inverted curve to currently near normal and contango. Market needed a break
13/n US DASHBOARD • Global Macro was and is clearly deteriorating (EU,JP flash PMI worse, China <50, but US better) • Technicals (outright & ratios) in downtrend, but in current positive momentum • FF from +50bp hike,to 25bp cut to neutral now • Rebound based on FED pause
14/n recap flash M.PMI last week • Japan 29M low 50.0 • Eurozone 50M low 51.4 • Germany 50M low 49.9 • France comp 47.9 • US improved to 54.9 […but the world especially EM needs a weaker US$ and stable US rates ]
15/n Global big4 Centralbanks BS • no stimuli , no further rebound • “hope is not a strategy”
16/n Global big4 2YR rates • US “too fast too furious” led to a global dilemma • EU/JP in a hole without zero ammunition…
17/n China – the big hope (again , like 2016 ?) • they could pump up the balance sheet • further reduce RR • cut rates • [ and hope this won’t implode in their face one day ]
18/n ECO data last week in case you missed them …
19/n quick word on Cable • BREXIT deal got a massive rejection the other week which led to a relief rally • as a matter of fact, short term yield differentials GB-US pointed all the way up and GBPUSD has caught up… +5% or so
