Thread by @MacroTechnicals

MT GLOBAL MARKETS Weekly recap wk15 14Apr19 - PFLUGPOST thread 1/n

• yep, another RiskOn week, 4th month since FED "put"
• Credit spreads tighter
• stock vola suppressed
• China Trade data/loan growth/M2 lifted market, so did Brexit extension
• [Tiger's 5th/15th/81st]

2/n update YTD Global Assets

• strong performances continue, but we all know these numbers (annualised) won't be sustainable. Great Q1 and good Q2, but consolidation or correction is on the cards in some areas. IV is cheap too

3/n update on the complete overview on wk15

4/n update Global Markets Momentum/Trend/Exhaustion scores

• noticed something ?

5/n update Global 10Y Govt Bond yields - heatmap

• profit taking / retracements continued in most areas
• "Club Med" Spain/Portugal/Greece made new 52wk low
• Turkey big loser, followed by Hungary

6/n update Global Govt 2Y/10Y/curves

• bit of bear steepening week in most major regions

7/n update US swapcurves

• as this stretched cycle just got stretched again, it remains a cycle.
• The market is pricing in a FED cut via FF futures, and YieldCurves flat/inverted reflect the same: 2020 most likely trouble

8/n update on US corp spreads

tightening = RiskOn continues for now

9/n update on European credit spreads gauges

• ditto, spreads tighter = RiskOn continues for now , perma-bears ignore those and only highlight them when they turn wider ...

10/n US NA Credit Spreads vs SPX model update

• made some small adjustments, to see the swings between the trends in this Y/Y relative comparison

11/n update on the RiskOnOff monitor

• still grinding higher, can't ignore them, nor show only bear-biased-charts

12/n update on major impl vola, US VIX and EU VSTOXX

• VIX keeps crushing , no stress in sight and very steep contango now
• VSTOXX (spot) closed at 11.9, very near to ATL 10.7, hence this is complacency level now.

13/n update on US MRI

• "tongue-in-cheek" MacroRiskIndicator slightly improved to 84.4 (+0.1)
• Credit spreads/impl vola improved the index
• UoM flash sentiment (96.9 (e98.1/p98.4) decreased it
• level itself remains in overbought territory in late cycle

14/n update US dashboard

• Macro: UoM flash weakened
• US CESI therefore weakened but is on low pctl, expect rebound soon
• CN CESI improved and led to RiskOn wave
• FF still pricing in small prob of rate cuts
• but mkt in general remained positive

15/n new CFTC COT matrix

• it's not messy, but one has to get used to it
• MXN, RUB, AUD, Corn, VIX standing out

16/n some charts: US rates vs DXY

• previously too hawkish FED led to rising rates and rising US$, however, as market deteriorated and FED turned 180, DXY keeps trading in a range, only because EUR macro is just messed up. This created this widening gap between rates & DXY

17/n chart: US rates vs GOLD

current correlation remains high...

18/n chart: US rates vs EEM

+17% off bottom as refinancing risk and higher commodities swept aside trouble. FED lifts all boats

19/n chart: US rates vs XHB

• FED lifts all boats , homebuilders now +32% off Dec lows

20/n chart: US rates vs SPX

• FED lifts all boats, steep V-shaped rebound in the major index, but remember, this gap stands for one reason: bond guys expect LESS growth rates and disinflationary moves. Currently seasonality, better China data, FOMO also contributed. Not cheap

21/n chart: Germany BUXL

• global bonds witnessed a very hard rally until recently due to weak global growth expectations.
• too-fast-too-furious is currently in retracement mode.
• last week short term bias SFTR, small bear-flag in BUXL,lost 4 handles in this 2nd wave down

22/n chart: THD THB SET

• yes, happy Songkran Day = Happy Thai new Year ;-)

23/n happy Songkran ... today pictures from the Thai temple in Wimbledon. Sunny, cold, but beautiful.

24/n be careful with "correlations"

US masters winner's purse price money, Tiger's 5th green jackets vs SPX

completely nonsense overlay, but fun.

25/end yup, that's all folks.

unroll comes...

26/ @threadreaderapp please unroll , danke ;-)