Thread by @MacroTechnicals

WEEKLY MOMENTUM Global Markets recap wk5 thread 1/n

• RiskON continued

• Indices breadth 61% up (ETFs in US$ terms even 76%)
• US sector ETFs 93% up
• US$ weaker vs 69% of currencies
• Turkish bonds massive rally
• creditspreads tighter
• VIX vola down

weekly update wk5 2/n

• M/M = YTD rankings
• RiskOn momentum across the board on seasonality, FED pause

weekly update 3/n Global Markets ROC overview

weekly update 4/n Trends & Exhaustions

this clearly shows if a short term momentum UP, while longer term trends are down = results in a flat 0

weekly update 5/n FX Matrix

• BRL best performer
• TRY catching up (see the bonds??)
• GBP bottom of the table (for now)

weekly update 6/n 10Y Yields heatmap

• besides a few exceptions, bond rallies across the globe continued too... actually for various reasons, partly disinflationary outlook (PMIs), but at the same time temporarily RiskOn appetite (EM), and flight to safe haven (Bunds vs BTPs).

weekly update 7/n YieldMatrix

• mostly bull-flattening theme and in a few areas, this is actually concerning, e.g. US, CA,

• Czech joins Turkey with inverted yieldcurve.

weekly update 8/n European Credits part1

RiskON continues in current downtrend...

weekly update 9/n European Credits p2

ditto, RiskOn momentum in downtrend

[ inverted scales to mirror stocks : wider spreads seen going down, spreads tighter seen going up ]

weekly update 10/n US credits p1

• RiskON continues
• now this gets interesting. Some subsectors overshooting the falling (wider spreads) SMA.
• no weakness for the time being to justify RiskOff shorts in SPX

weekly update 11/n US Credits p2

• same message: RiskON continues in shown subsectors

weekly update 12/n US Credits p3

• last of the 3 parts, no weakness at this point, still RiskON in spreads,rebound mode,medium term trend is still down (wider spreads).

if you shorted SPX early because it is "short term overbought" you got stopped out over and over again

weekly update 13/n ITRAXX Indices

• Corporates IG and HY as well as Financials Senior and Subordinated Credit Default Swap Indices still coming down in momentum market relief for now. It is what it is.

weekly update 14/n RiskONOFF Indicators overview

• same picture, most of the ratios or spreads keep going UP in current ongoing bull momentum [ while trend is down ]

• FED pause rally

weekly update 15/n CDX vs SPX p1

rebound is rebound, momentum is momentum. trend is trend.

weekly update 16/n CDX vs SPX p2

massive consolidation , that is whats going on.

Fear.
Selloff.
Panic.
Oversold.
WH + FED blinked.
Rebound.

Global PMIs are still falling. Markets pricing in global liquidity injections.

weekly update 17/n VIX distribution

Impl SPX volatility is nicely coming off as fear is replaced by new liquidity hope.

back below average uncertainty but not complacent.

weekly update 18/n VIX term structure

• what a month in change of uncertainty outlook

• market hoped a slightly more dovish FED and they got a complete 180° turn.

• from extreme backwardation to solid contango curve.

weekly update 19/n VSTOXX distribution

nuts.

weekly update 20/n VIX vs VSTOXX

from NUTS to nuts.

weekly update 21/n US swap curve

• a few inversions and FED pauses. "Data dependent" (cough DOW JONES) and one more hike in 2019 and we'd have flat curve across

weekly update 22/n US dashboard

• Global Macro weaker (hope for global CB intervention)
• US Macro rebound (ISM, permits), FED on pause
• FF pricing in tiny cuts
• Front Swapcurve inverted
• RiskOnOff ratios/spreads and markets momentum still positive

weekly update 23/n US BIZ CYCLE

• MT MRI "tongue-in-cheek" model

• ISM , UoM, UE rate updated (and market levels anyway) brings model to 80.6, still "overbought" and below SMA

• who thinks, this cycle has years of legs still in it ?

weekly update 24/n EU BIZ CYCLE

• MT MRI "tongue-in-cheek" model

• ESI Manufacturing, Services, Consumer confidence updated

• ...looking at overall EU ESI + PMI and how sharply they keep falling, WHILE ECB STOPPED QE, how can this be going up large ?

@threadreaderapp please unroll this thread. thanks.