Thread by @tdarling1

🐻♉️↗️↘️↔️⚠️🚩🔺🔻🧮
Global macro review 05/01/2022

1/11

🐰🐰 - we’re gonna need it!

Q1 GDP release this week confirmed #stagflation
Growth -1.4%
Inflation +8.0%

But what did April signal in terms of the current quad regime?

Let’s dig into the April 🧮!

2/11

UST yields ↗️ across the ⤴️

10/2s to 19.9 BPS, +20.6 BPS and out of inversion

MOVE 128.4 +20% for the month = 🛗 vol

Chart: UST2Y 2.73% + 42 BPS for the month but acceleration slowing

2a/11

Chart: The UST10Y 2.94% + 57 BPS with room to run

3/11

Bond ETFs provided 0️⃣ shelter from the 🌪

$TLT -9.3% (m), -19.4% YTD
$CWB -8.9% (m), -14.5% YTD
$LQD -7.1% (m), -15.0% YTD
$HYG -4.9% (m), -9.75% YTD
$TIP -3.1% (m) -6.3% YTD

Chart: Apparently, long duration is no hedge for stagflation with $TLT -9.3%

3a/11

Curve steepening as the long end rose faster than the short-end

Chart: $IVOL with a short-term signal strength + 0.71% for the month, including 3.98% yield

4/11

With tightening financial conditions, the $USD ♉️↗️ is in high demand

$USD +4.7% (m) +7.7% YTD
$AUD -5.6% (m) -2.9% YTD
$EUR -4.6% (m) -7.25% YTD
$GBP -4.35% (m) -7.05% YTD

Chart: $USD +4.68%, bumping up against multi-year highs

4a/11

Among 'safe haven' #FX , much has been made of the yen crash -6.87% for the month, but $CHF -5.1% in April

5/11

The $CRB +4.43% (m) put in a new cycle high, not yet signaling that cost input inflation is rolling over.

5a/11

Hydrocarbons ↗️ and remain ♉️

$NATGAS +28.35% (m), +94.1% YTD
$GASO +9.2% (m), +54.95% YTD
$WTIC +4.4% (m), +39.2% YTD
$BRENT +1.0% (m), +37.15% YTD

Chart: $NATGAS +28.39% broke to multi-year highs

5b/11

Grains continued ↗️ and remain ♉️

$CORN +8.65% (m), +37.1% YTD
$WHEAT +5.35% (m), +34.3% YTD
$SOYB +4.1 (m), +25.8% YTD
$SUGAR -2.0 (m), +1.05% YTD

Chart: Corn +8.65% for April

5c/11

Metals ↘️ and starting to show weakness, commensurate with China 🔐🔻

$SILVER -8.1% (m), -1.1% YTD
$COPPER -7.15% (m), -1.1% YTD
$PLAT -5.64% (m), -2.75% YTD
$GOLD -2.15% (m), +4.55% YTD

Chart: Dr. $COPPER -7.2% signaling continued decline in growth

5d/11

Starting to 🧏‍♂️ investors tire of their GOLD allocation. “Why isn’t it going up?"

Chart: $GOLD +4.55% YTD and constrained only by a pesky $USD

Hold long ♉️

6/11

Equity vol ↗️ on the back of choppy earnings and guidance, into FOMC on May 4

$VIX 33.4 +128 BPS
$VXN 38.25 +112 BPS
$RVX 37.22 +102 BPS
$VSTOXX 30.77 +27 BPS
$VXEEM 30.76 +63 NPS

Chart: The $VIX closed the month in the the 💩🪣

7/11

Domestic equity indices 🔨↘️

$COMPQ -13.25% (m), -21.15% YTD
$IWM -9.9% (m), -16.85% YTD
$SPX -8.8% (m), -13.3% YTD

Chart: $COMPQ into crash mode -21.15% YTD 🐻

7a/11

Top equity sectors
$XLP +2.3% (m), +0.7% YTD
$XLE -1.7% (m), +34.4% YTD
$XLB -3.55% (m), -6.15% YTD

Worst sectors
$XLC -14.15% (m), -23.95% YTD
$XLY -11.95% (m), -20.3% YTD
$XLK -11.0% (m), -18.65% YTD

Chart: XLP was the only sector ↗️ on the month

7b/11

Chart: $XLC -24.0% YTD crashing ↘️ 🐻

8/11

International equity indices fared better than the 🇺🇸
$CAC -1.9% (m) -8.65% YTD
$DAX -2.2% (m) -11.25% YTD
$KOSPI -2.25% (m) -9.5% YTD
$NIKK -3.5% (m) -6.75% YTD
$HSI -4.4% (m) -9.9% YTD
$SSEC -6.3% (m) -16.25% YTD

Chart: $CAC -1.9% for April, remains 🐻 Trend

8a/11

Country ETFs, denominated in USD, smoked ↘️

$EWZ -13.3% (m) +16.75% YTD
$EWW -10.1% (m) -2.3% YTD
$VNM -9.7% (m) -19.75% YTD
$EWN -9.3% (m) -23.5% YTD

Chart: Tough month for $EWZ, but hanging onto ♉️ Trend for now

8b/11

Chart: $IDX bucked the Trend +4.4% (m), +11.4% YTD

9/11

No store of value, your favorite risk indicator $BTCUSD -15.2% in April

10/11

Evidence of growth ↘️ abounds with $COPPER and equities 🔻

Inflation 🖼 less certain with $CRB and yields 🔺

BUT💪 $USD, lowering cost of imports

Also, tough comp vs 4.2% CPI in April 2022
#decel?

#Quad3 vs. #Quad4 will hinge on May 11 #CPI
👀 on UST duration assets

11/11

Near-term, event risk with vol 🔺 into FOMC, may provide a short-term bottom as $VIX comes off after Wednesday (+gamma flows, not +vannah flows)

For now, sit tight long vol, 🩳, and cash 💵

Have a super profitable 💰 week!