Thread by @MacroTechnicals

MT GLOBAL MARKETS Momentum Weekly Recap wk31 as of 02Aug19 - PFLUGPOST thread 1/n

• RiskOFF mode
• FOMC disappoints
• Trump with more China tariff
• Global PMI further weaker
• flight to safe haven JPY/CHF/Bonds/Gold
• stocks sold off, creditspreads wider

2/n wk31 Global Markets M/M snapshot July

sea of red vs green grass bonds

3/n Global Markets YTD update as of wk31

4/n Global Markets YoY update as of wk31

5/n Global Markets overview W/W, M/M, YTD, YoY , snapshot wk31

6/n Global Markets Momentum/Trends/Exhaustion - snapshot wk31

7/n Global 10Y Govt Bonds heatmap - snapshot wk31

8/n Global Govt Bonds 2Y, 10Y, Curve, FX - snapshot wk31

9/n Global Markets FX matrix - snapshot wk31

10/n RiskOnOff monitor - snapshot wk31

11/n FOMC cut 25bp,

actually as priced in according to FF Futures, but presser set the disappointment in motion. Global business confidence is weak. Here update with the June "dot-plot". 1st done. more to come.

12/n FF Futures structure - snapshot wk31

13/n FF vs US2Y

first mini-step (of the behind the curve picture), but it was the Powell presser and then Trump's additional 10% on $300bln China to US exports which set the RiskOFF sentiment in motion.

14/n SPX & VIX after FOMC & Trump

15/n so, with that renewed uncertainty , implied vola jumped (from new purple line complacency floor)

16/n and as a reminder (FWIW of course with tongue-in-cheek-chart) : H2 2019 was always on the radar for higher implied vola. maybe it just started, time will tell.

17/n ...although the VIX curve structure looks unusual... elevated vol with backwardation into Dec, then normal contango. so, it's not fully inverted

18/n having said that, the credit market looks pretty relaxed at the moment. CDX IG and HY slightly off the lows, but nothing dramatic.

19/n same in Europe, iTraxx Main & XOver does not reflect panic

20/n neither do iTraxx Financials Senior & Subordinated

21/n however, keeping in mind we are (IMHO) in a late stage of the already stretched cycle (not mid-cycle), I was a bit surprised about the yield curve flattening. In fact 2s5s swapcurve made a new low. I had the impression we passed the bottom and are now on RE-steepening theme

22/n in regards to US stocks (who obviously lead global stocks), breadth took a small warning signal too

23/n and despite a sign of roll-over in the advanced-decline, it has not yet broken key levels

24/n US Macro (besides the ISM/PMI report I did earlier), employment report NFP still shows strength, although ISM manufacturing jobs survey fell.

25/n and the UE rate has not reversed. this is not a leading indicator, but part of the overall cycle indicators.

26/n and there is an update of my MRI (Macro Risk Indicator) as of wk31. IMHO, cycle is stretched, "overbought" in historic standards. But some of the parameters are still good/strong e.g. credit spreads still tight, yieldcurve not getting really re-steep, UE rate super low etc

27/n so, in my US "dashboard" , the macro picture clearly shows stress, and yieldcurve, bonds, FF futures are in the same context. FED has reversed gear, but slow. So do other CBs (last week FED, HKMA (pegged), Brazil cut 50bp, ECB will do).

But Technicals short term RiskOFF

28/n I will spare you with EURUSD, GBPUSD, AUDUSD etc FX charts, there are plenty out there... but here are 2 charts coming up regarding USDTRY.

CBRT (finally) cut the repo rate, but curve and differentials to repo still inverted, which reflects also the macro view (ESI/PMI)...

29/n USDTRY 2nd chart combo

CBRT cut, CDS curve further normalises, CDS levels way off the peak, bond yields lower, ESI & PMI are still bad, but way off recent lows.

For the time being, USDTRY is still going, possibly testing 5-5.20 zone.

But as we all know,one tweet from...

30/n last but not least... he did it! 2nd attempt. unbelievable.

31/end yup, this is it.

wish you all a good and successful week 32

x

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