Macro Extremes (week ending February 14, 2025)

A weekly Macro, Cross Asset review of prices trading at extremes which may generate future investment ideas and opportunities.

The following assets (on a weekly timeframe) either registered an?Overbought?or Oversold reading and/or have traded?more than 2.5 standard deviations?above?or below its rolling mean.

n.b. pricing of (commodity) futures contracts is only considering the immediate front month.

*?denotes multiple week inclusion

Extremes above the Mean (at least 2.5 standard deviations)

Bloomberg Commodity Index

Lean Hogs

Copper

JKM LNG in ￥

Dutch TTF Gas *

Silver in AUD

AEX

CAC

SA40

SMI

And the U.K.’s FTSE 100 *

Overbought (RSI > 70)

Chilean and Japanese 2 year government bond yields *?

Japanese 5 and 10 year government bond yields *

Urea (U.S. Gulf?price) *

Hungary’s BUX Index *

Czech Republic’s PX Index *

Chile’s IPSA and IGPA Index *

Singapore’s Strait Times Index *

Israel’s TA35 *

Poland’s WIG Index *

And the ASX Industrials Index

The Overbought Quinella (Both Overbought and Traded at > 2.5 standard deviations above the weekly mean)

Arabica Coffee *

Gold as priced in AUD, CAD, EUR, CHF, GBP, USD and ZAR

Austria’s ATX *

Germany’s DAX Index *

Italy’s MIB

HSCEI Index

And Spain’s IBEX Index *

Extremes below the Mean (at least 2.5 standard deviations)

CHF/JPY *

EUR/JPY *

GBP/JPY *

CAD/JPY *

NZD/AUD

And Indonesia’s IDX Composite

Oversold (RSI < 30)

Chinese 10 year government bond yields *?

U.S. 3 month government bill yield *

Australian Coking Coal *

Richards Bay Coal

North European Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

Newcastle Coal *

Uranium

The Oversold Quinella (Both Oversold and Traded at < 2.5 standard deviations below the weekly mean)

Orange Juice?*

Notes & Ideas:

Government bond yields rose.

The yields which bucked this weekly trend were Belgian, Brazilian, Indonesian, Russian and American.

U.S. 7’s & 10’s have fallen for 5 weeks.

Chile’s 2 year bond yields are in a 6 week rising streak.

As are the Japanese 10’s.

Aussie 10’s, Norwegian 10’s and the yields across the British curve rose and broke their 4 week losing streaks.

The spread of the U.S. 10 year minus U.S. inflation rate has fallen for 5 straight weeks.

The U.S. 5 year break-even inflation rate is nearing an overbought reading. The last time we saw that was March 2022.

Equities saw the most action again, rising, again.

The All Developed World ex USA Index and the Helsinki 25 are in 5 week winning streaks.

The CAC, DAX and IGPA have risen for 6 straight weeks.

Austria’s, Hungary’s, Polands and Spain’s main equity index have risen for 8 weeks straight.

Switzerland’s SMI has climbed for 7 of the past 8 weeks.

Indonesia’s Jakarta Composite registered an oversold reading this week.

The Hang Seng is a whisker away from a quinella overbought listing.

India’s NIFTY and SENSEX are working their way towards a reversion to the mean.

And the DAX is at an all-time high.

Commodity prices were mixed with a lower bias.

Sugar, Tin, Coffee, Natural Gas and Wheat had a good week.

Coal, Orange Juice, Uranium fell and are in oversold territory.?

The Bloomberg Commodity Index returns to overbought land.

Arabica Coffee has risen for 6 straight weeks.

Orange Juice tanks further, extends its losing streak to 8 week, registers an extreme oversold reading and heads towards mean revision.?

Lean Hogs have risen for 4 consecutive weeks as has USD Silver.

Wheat is in a 6 week winning streak.

Gold in CAD hasn’t registered a weekly decline for the past 11 of them.

Gold in USD is in a 7 week winning streak.?

Although Gold in EUR and CHF broke their respective 6 and 7 week consecutive weeks of advance.

Brent Crude has fallen for 4 straight weeks.?

Corn has risen for 9 of the past 11 weeks and is approaching overbought levels.

while Lithium Hydroxide has now lingered in weekly oversold territory for 89 consecutive weeks.

Currencies were quieter this past week.

The AUD mostly rose, again.

The Yen took a break from being stronger.

The Brazilian Real has risen for 7 straight weeks versus the USD.

The Loonie was mostly lower.

The Euro was firmer.

The Chilean Peso has risen for 6 straight weeks against the USD>

And the USD was weaker against everyone except the Yen.

The larger advancers over the past week comprised of;

Bloomberg Commodity Index 1.6%, Cocoa 2.1%, Cotton 2.4%, Copper 1.7%, HRC 1.7%, JKM LNG 1.5%, Arabica Coffee 2.7%, Lumber 3%, Natural Gas 14.6%, Palladium 2.7%, Robusta Coffee 3.1%, Sugar 5.5%, Sugar #16 1.9%, Tin 5.3%, CRB Index 1.5%, Gasoil 1.9%, Corn 1.8%, Rice 2.1%, Wheat 2.8%, AD02 2.4%, AEX 2.4%, ATX 5.3%, CAC 2.6%, China A50 2.9%, DAX 3.3%, DJ Transports 2.8%, MIB 2.5%, HSCEI 7%, Hang Seng 7%, IBEX 2.1%, BOVESPA 2.9%, Nasdaq Composite 2.6%, KSE 1.6%, KOSPI 2.7%, Mexico 2.4%, Nasdaq 100 2.9%, Helsinki 2.6%, Stockholm 2.9%, PX 3%, SA40 1.7%, SMI 2%, SOX 3%, S&P 500 1.5%, WIG 3% and the ASX Industrials rose 2.9%.

The group of largest decliners from the week included;

Richard Bay Coal (3%), Rotterdam Coal (3.5%), Baltic Dry Index (2.8%), Newcastle Coal (5.1%), Nickel (1.9%), Orange Juice (19.8%), Dutch TTF Gas (9%), Uranium (4.3%), Oats (3.6%), NIFTY (2.7%), PSE (1.5%), IDX (1.5%) and India’s SENSEX fell 2.5%.

February 16, 2025

By Rob Zdravevski

[email protected]