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MT GLOBAL MARKETS Momentum & Sentiment as of 22Nov19 wk47

1/n

• after 5wk RiskOn with ample liquidity support via FED, seasonality effect and hopeful China deal narratives, stocks starts to run into exhaustion and consolidate.

• VIX ~complacency

• Credit Indices bit wider

2/n update Global markets Momentum / Trends / Exhaustion scores wk47

3/n update global markets YTD as of wk47

4/n CB / Yields / Curves / Ratings

• core mkts saw flattening driven by the long end

• flash PMI all ex UK bit better, EU/JP still in contraction though, US rebound

• HU/ID/ZA CBs left rates unchg, PBoC cut 5bp

• PT/AT upgraded by FITCH to pos outlook,ZA downgrade by S&P

5/n update on ITRAXX / CDX indices

6/n some recent tweets about the surging spread levels in the BAML CCC sector, here the comparison to CDX NA HY (unfunded of course), but I'd like to see CDX IG & HY moving substantially wider too to raise more flags tbh

7/n tongue-in-cheek CDX vs SPX "model" - although with a good YoY correlation - is partly distorted by the huge sell-off last year... nevertheless, SPX did "caught up".

8/n sentiment SPX : while overall breadth indicator are good, market is now <again> entering the near complacency territory, suppressed implied vola (thx FED) and very steep contango curve combination.

"Fear to Greed" = FED helpline

9/n TOMO Repo facilities stablise around $200b total ...

latest :
O/N $81b
Terms $119b

POMO T-Bill buy program will replace this over time.

10/n ...and the market seemed to have settled for the time being. curve starts to normalise but the recent yieldcurve RE-steepening with slightly higher (!) yields COULD be one of these retracements. let's see.

11/n FED watch bit LOLZ, hike probability is not 0% anymore. (although, 2020/2021 different story)

chart courtesy via QuikStrike

12/n US permits jumped to +14% YoY, (lagging) housing starts at +8.5% ...

housing and therefore consumer confidence is important as we know.

FED reversal, mortgage rates plunging <the> key element for homebuilders $ITB or $XHB or Lumber soaring in 2019. #Macro

13/n not too great has been this week's jobless claims.. .4wk avg perhaps bottomed and now keeps moving higher ?

too early to say, but as this is a very stretched long cycle, it's always worth to watch how this unfolds in general.

14/n YAAAAWWWNNNN, yeah, I know, there is a "battle" between "this time it's different" and not.

Obviously NBER recessions are calculated after they happen, and in the US it's a long way to go until it happens. But In the XXL picture, YieldCurve (YAWN), is the one to watch.

15/n another "tongue-in-cheek" chart, MacroRiskIndicator remains elevated and diverged from stocks in the big picture. Technicals / Momentum is a complete different story. There are times one can and should fight the FED and when not. We've had 47 global central bank cuts now

16/n US dashboard wk47

• Global Macro starts to improve
• US Macro is mixed, some positive factors for sure
• Global CBs and leader FED are dovish and help
• US rates supportive, FED acknowledged their previous mistakes
• RiskOnOff ratios/spreads though faded vs outright

17/n $TSLA unregular update for fans and haters ... haven't we all laughed about the Cybertruck presentation.

But hardly anyone noticed the diverging credit spread +30bp widening while stock kept rallying +5% to 361.

"suddenly" -9% drop.

18/n next week

• US CB consumer confidence ( I am looking at the Curr-Exp spread)
• US GDP (lagger)
• Chicago PMI
• Germany IFO (up)
• European ESI data (should go better)
• China NBR PMI
• and HAPPY THANKSGIVING !

19/n and this

don't look at Bitcoin
don't look at Bitcoin
don't look at Bitcoin
don't look at Bitcoin
don't look at Bitcoin
don't look at Bitcoin

damn, I looked at it.

@JBoorman

@JBoorman