Thread by @MacroTechnicals

MT GLOBAL MARKETS Momentum Weekly Recap wk36 as of 06Aug19 - thread 1/n

• RiskON continued

• we witness a "perpetual mini cycle hope on trade war solution + FED cut saves the day trading sentiment"

so this :
• stocks up,vola down
• bonds down,spreads tighter
• JPY weak

2/n just for the continuation: YTD across the board update wk36

3/n 10Y govvies heatmap

• given the current renewed RiskOn sentiment, and the previously hottest of the hot asset class BONDS, some profit taking

4/n global yield landscape

• actually really a mixed bag, some new yield lows, but also widening, majority of curves saw steepening

• CB of Russia cut rates again

• Fitch downgraded HK

5/n update on Momentum/Trend/Exhaustion scores

6/n recap last week's macro:

• Global PMIs actually stabilised
• US weaker, but tbh, more like catching down and US yields telegraphed the move long time ago
• NMI came better, lifting the mkt sentiment too (besides another "trade talk resumes soon"
• CESI better as well

7/n everyone and his barber now knows there has been a rising number of countries with inverted yield curves... meaning concerns for further growth slowdown... or translated = the anticipation of another round of global stimuli (cuts and/or QE)... [ instead of fiscal stimuli ]

8/n ...one way to look at it is the weak and below magic "50" ISM , and everyone is probably expecting M2 to be increased by 7-8% (inverted scale here)...

9/n ...so higher M2, and FED with another rate cut... which has been priced in for ages... BUT, with mixed data and some speeches, probabilities reversed and even unchanged is back in (tiny) odds , who knew ?

10/n ...as a reminder, 2s5s inversions are not always signals for a bear market / crash, but it signals rate cuts as growth slows. Sure, we are in a very stretched cycle, but credit + stock market are pretty calm so far

11/n the major credit default swap indices, US and Europe, Investment grade or High Yield, as well as Financials Senior and Subordinated in fact had another stellar week

12/n hard core stock perma bears can't ignore that fact with credits really tighter and no obvious stress signals.

my "tongue-in-cheek" SPX vs CDX model on YoY basis still shows a proper gap. [ despite the possible cycle roll over seen on my pinned tweet btw ]

13/n ...now, there is no question, bonds, and yieldcurve play telegraphed the weakening ISM [ mostly due to trade war as one can read in the comment box]...

but then, historically the YoY momentum ISM new orders and US10Y yields is now testing -2z

14/n which keeps me scratching my soon-bold-getting-head ... are we or aren't we close to a massive Re-steepening cycle ? These swap curves re-steepened, then re-flattened, I mean, WTF

15/n ...because , remember (if you follow my nonsense tweets for many many months), H1 2019 meant and was a lower vola period, and H2 2019 supposed to be a rollercoaster of sentiment (it did, but now back to 15 = bummer).

16/n you see... VIX - as anticipated earlier - did indeed spike... mostly due to Trump's tweets, but also some weaker than expected data.

It seems, VIX and SPX sentiment is 95% driven by trade war tweets and action/retaliation, rather than a global abyss thesis.

17/n ...clearly seen here... many thought SPX was building just another consolidation due to high uncertainty accompanied with elevated VIX , followed to be broken to the downside... yet: a tweet here, resumed talk there, and it breaks to the upside with all stops taken out

18/n ...and with that RiskOn sentiment last week, stock market breadth SPX NDX, OEX and the broad NYA went positive as well.

19/n NYAD, advance / decline ratio actually never went bad and now made new highs. it is what it is, isn't it

20/n so, with weaker ISM, good NMI, weaker UoM, stable UE rate, tighter credit spreads, stable yieldcurve...where does my other "tongue-in-cheek" MacroRiskIndicator stand ? slightly higher, still overbought, still stretched cycle. Is this it ? no idea, perhaps "this time is STFU"

21/n one other thing: European inflation expectations still didn't make new lows. Ok, it got totally crushed, ECB WILL cut rates, restart QE...and perhaps PMIs indeed stablise on very weak levels. Hard to say, but some bonds in Europe are just ridiculously rich.

22/n ...Austrian 100Y bond may be a good example... remember I tweeted this earlier ... here is an update ... whoever bought that convexity / duration monster at 0.6% had a few drinks since...

(chart doesn't necessarily mean mkt will follow, but just highlight common sense)

23/near end

this popped up and I am not sure what people should be prepared for ... alien invasion ?

24/ end . that's all I have to say about that.

have a good week x

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