Thread by @MacroTechnicals

MT GLOBAL MARKETS Momentum Weekly recap wk24 as of 14Jun19 - PFLUGPOST thread 1/n

• back at the desk ;-)
• "relief" semi-RiskOn week after "Mexican Standoff" 'resolved'
• RBA/RBI/BoR latest dovish CBs to cut 25bp
• NZ M.PMI 50.2 77M low
• waiting for FOMC (23% prob cut)

2/n update Global Markets performance YTD as of wk24

3/n update Global Markets Overview ROC wk/mth/YTD/YoY as of wk24

4/n update Momentum Trend Exhaustion Global Markets as of wk24

5/n update Global 10Y Govt Bond heatmap as of wk24

• reflecting Global M.PMI at 78M low, dis-inflationary outlook, more and more central banks returning to dovish stance, front running of ECB QE

• a few 5y5y infl exp charts later ...

6/n update Global Govvies 2Y, 10Y, curve, FX as of wk24

• "recession gauge"

7/n update Global FX Matrix as of wk24

8/n next week FOMC meeting

• the market is pricing in a 23% chance of a 25bp rate cut

• FED probably won't "surprise" the market next week... but...

9/n ...but they only fall further behind the curve "literally" as FF Futures and 2Y show

10/n ...FOMC dot plot update from March is now so far behind the FF futures curve, they can't even see it anymore... of course, the next "dot-plot" update will look much more dovish.

11/n update US swap curves in the current "late business cycle box" ... vs $SPX going forward

• 5s30s re-steepened already back to 45bp
• 2s10s joined re-steepening to 15bp

12/n update RiskOnOff monitor wk24

• XLI XLU spread at support test
• IYT DIA ditto
• EEM SPY ditto
• AUDJPY easiest FX pair to trade

13/n USD FRAs relentless downside pressure continues

14/n update VIX... back to 15, but IMHO just coiling and H2 2019 will be accompanied with elevated vola ...

15/n for now, European Credits ITRAXX Main, XOVER, Financials Sen & Subs are consolidating too...

16/n and for now CDX / SPX Y/Y model is "boring", no anomaly, no gap ... but... >>

17/n ...but...this CDX / SPX "consolidation" also has a divergence, and Credit spreads bottomed (here inverted scale peaked"), as Global Business Confidence peaked too. What are stocks doing there many asking. Unless a huge wave of global QE coming up AGAIN

18/n update US DASHBOARD to get a Global Macro, US Macro, US interest rates, credits, FED, US$ perspective and momentum

19/n US stocks market breadth is holding up for now and reflecting the same uncertainty as Global PMI (50)

...(although NYA adv/decl line is HIGHER)

20/n in the meantime... listening to Luther Vandross 🎶😎

21/n SPX vs VIX ... so close to new ATH, but if (IF) so, it will be accompanied with slightly higher volatility, probably not without a fight between perma bears and perma bulls...

22/n has anyone noticed the diverging RiskOnOff between EMB and EEM ?

23/n update Turkey Risk... market has been pricing 25D RR and 10Y rates for a possible continuation of the very recent Lira strength, yeah, politics and CB remain unpredictable tho. Could be a small bear-flag in USDTRY

24/n AUDJPY has been a one-way street ... classic GlobalSlowDown - commodities - China dependency - Australia housing bubble - RBA rate cut vs safe haven JPY theme.

25/n speaking of Global RiskOff Risk On themes...

AUDJPY and German Bunds are the leading indicators... which somehow makes the USDJPY questionable rich.

26/n US10Y with Economic slowdown , implied FED rate cuts , disinflationary theme has come a long way... especially comparing to Jeffries Commodities Index

... obviously curve fitted, but US10Y seems consolidating and coiling for the next leg down...

27/n ...which is also reflected in this chart : TLT vs US30Y ... exhausted after a massive predictable rally, now consolidating and coiling for the next leg.

28/n ... US rates ...why consolidating for a new leg down ? 5Y5Y fwd swap inflation expectations making new multi year low.

...again, bit of curve fitting, but while US rates momentum seems ahead , as long as this outlook doesn't reverse (how can it with that ISM/PMI ?)...

29/n ...Germany is in the same tune (like nearly all Bond markets anyway as it is a GlobalSlowDown), but I.JUST.CAN'T.BUY.NEGATIVE.YIELDS ... lol

30/n ...ECB's Draghi's biggest NIGHTMARE : inflation outlook in Europe. WHAT A MOMENTUM NOW...

...everyone is frontrunning the next QE

31/n ...and while Bond yield differentials between Europe and US pointing higher, the Inflation expectation outlook differential points to a lower EURUSD.

...too obvious and too easy then. mkt doesn't work like this.

32/n ...but this is also extremely interesting development ... Inflation expectations differential between Europe and UK ... = EURGBP

"MIND THE GAP PLEASE"

33/n ... all the previous inflation expectations charts are the same as Global M.PMI outright or momentum... if business confidence is so drastically slowing down, there is a reason for it. No XXL growth, no XXL reflation theme... dis-inflationary theme since a while now.

34/n YEAH. that's all folks. for now.

enjoy the rest of the weekend. xx

35/end @threadreaderapp please unroll ! ta