Thread by @MacroTechnicals

MT GLOBAL MARKETS Momentum Weekly Recap wk37 as of 13Sep19 - thread 1/n

• this will be a long one ...
• RiskON continued
• ECB bazooka 2.0 & fiscal stimuli finger pointing
• Bonds collapsed
• EU Banks soared
• VIX plunged
• next week Oil spike + FED 25bp cut

2/n update global markets MoM as of wk37

3/n update global markets YTD as of wk37

4/n update global markets overview WoW MoM YTD YoY wk37

5/n update global 10Y govvies heatmap last 3Mths as of wk37

• Trump delay of China tariff carrot
• ECB bazooka 2.0 and hope of fiscal stimuli
• huge profit taking on previous crowded long trade (probably combined with new shorts) = massive bond moves

6/n update yield landscape 2Y 10Y curves FX as of wk37

• last week bear-steepening overview (ex Italy...)
• Portugal upgraded from S&P to pos outlook
• ECB deposit rate cut & QE "infinity"
• Turkey cut 325bp

7/n FX matrix wk37

• GBP gained further on BREXIT deal
• save haven JPY tanked across on RiskON week

8/n update on Momentum / Trend / Exhaust scores wk37

9/n recent Bond "massacre" sample US10Y US30Y and DE10Y DE30Y

crowded place and gravity ... and for non-bond players, these were massive moves in such a short period.

10/n this one-way-disinflationary street for now is on hold. given the general global outlook this is unlikely a total reversal, but a temporary and anticipated correction. (unless there would be a total CB monetary AND fiscal stimuli).

11/n next week FED 25bp rate cut

• previously FF futures priced in even -50bp
• Friday close was actually 80% -25bp and 20% unchanged !

• not all data is super terrible, mostly ISM is due to tariff uncertainty. a 25bp cut will basically reverse the too hawkish last 2 hikes

12/n last week University of Michigan consumer confidence was better than expected... but IMHO this has rolled over... hence watching unemployment rate and JOLTS is now getting interesting , also for election 2020

13/n JOLTS came worse than expected and was revised down (that's lagging July data, nevertheless, because some analysts say "3.7mln open jobs") ... IMHO JOLTS rolled over, UE rate stalling =FED behind the curve and reversing last 2 hikes...

14/n ...while jobless claims are stalling... this could drag for a long time, but given the possible late stage of this very stretched long cycle, all those data go hand in hand... Curve will re-steepen if FED cuts aggressively (for a reason)... let's see

15/n 3rd/4th RiskON week visualised in Credit Spreads US

16/n ditto for European Credit Risk Gauge Main & XO

17/n and clearly European Financials Senior & Subs in RiskON mood... and got a special boost from the ECB

18/n recent massive move in DE10Y, DBK, DBK chart: (until the next "€45trillion derivatives book" tweet comes about (yes, gross exposure vs net exp ? what underlying ? 3M XIBOR? There biz model is kaputt, but ECB tiering and bazooka 2.0 helped

19/n CDX vs SPX "model"

• "tongue-in-cheek" very unsophisticated correlation model still shows this anomaly = RiskON, Credit spreads YoY dont reflect stress, but some misunderstand this chart as in "FV"... it just shows possible RiskON

20/n here the same "model" with SPX overlay ... ha, actually I haven't posted this for ages...

anyway, widening credit spreads clearly signal uncertainty to whatever degree (short term or serious stuff)... and for weeks now, there is a "gap anomaly" or RiskON potential

21/n RiskON visualised in collapsing VIX implied SPX move... (although, this is getting back to interesting levels now)

22/n VIX expected moves aggressively cut down... in 3 weeks from steep backwardation to steep contango.... but here with a new chart view (never used this before here on twatter).

23/n updated US MRI (Macro-Risk-Indicator) another "tongue-in-cheek" model...

• UoM (flash !) better
• Credit spreads better
• VIX better
• doesn't change the fact this is late stage of a very stretched cycle.
• overlay charts don't mean FV, but momentum comparison

24/n updated US dashboard wk37

• Global Macro picture is crap
• US ISM uncertainty
• but with last week data, CESI improved of course
• Ratios/Spreads improved
• next week FED -25bp

25/n what else ? New Zealand M.PMI ...

• PMI 48.4 slightly up
• New Orders 45.6 10Y low
• Employment 4th month < 50

• RBNZ is quite ahead and very preemptive with recent 50bp "shocker", but then, look at the long history... is this really just about lower funding costs ???

26/n btw - listening to “surfing with the alien” while doing this Twatter thread ... 🎶 🎸 🥁 💥

27/n back to mkt... CB Turkey cut larger than expected -325bp across repo , lending and borrow rates and brought them back to Jun2018 levels...

28/n here the short term picture USDTRY in context

29/n ok, now a few charts regarding OIL production disruption in Saudi Arabia...

a) BRENT and curve

30/n BRENT vs WTI

Friday's CL ATM vol close priced in daily move 1StDev 1.23$ = 3StDev 3.68$ = 58.52

31/n according the various news, this is apparently 50% of the daily production lost... 5-5.7mln b / day

I am no expert, not sure how long this disruption will last and who will produce more to help compensate , but here are some correlation samples of Oil vs NOK RUB CAD

32/n and here OIL vs samples producers / services XLE XOP XES

33/n ...but what will be also interesting is the implications of that huge disruption for consumers (countries as well as CPI),

this is a very old slide, forgot the source and needs updated data, but as a rough reference...

34/n another old slide ... what +10% oil price implies for some countries' GDP impact

35/n anyway... I am the last person to ask about Oil... plenty of smart guys around, but key question is how long will the disruption be, and therefore possible inflationary meaning , certainly not great for improving global GDP outlook and M.PMI is already < 50. = COST UP

36/n forget everything... panic is over before it even started LOLZ

37/n ok, let's close this nonsense thread with a bit of fun...

Captain Flip Flop vs FED-TWEETS vs Business confidence and Yieldcurve sentiment signals...

38/n good night and good luck

39/end @threadreaderapp unroll ... danke