MT GLOBAL MARKETS Weekly recap wk8 22Feb19 - thread 1/n

YEP... yet another RiskON week

• 93% of local stock indices gained (and most of them outperformed SPX
• Metals / Mining continue to surge
• China pumps more liquidity, FED on hold, ECB/BoJ NIRP
• Seasonality helps too

2/n Global Markets overview across all segments... 1wk / 1mth / YTD / YoY

3/n Global Markets YTD ranked

• absolutely breathtaking .. the velocity since the "Powell put"

4/n and here update YTD "annualised" pace

• with the current pace, 2019 will be the best ever market in history.
[ well, don't hold your breath , it will consolidate , retrace ... or else ]

5/n update Trends & Exhaustions

6/n update 10Y global Govt Bond yields

• in general, DM bond rally continues
• EM slightly under pressure
• BoJ doing its best, JGBs at new 52wk low
• Australia's economy under pressure with housing bubble, China slowdown, RBA dovish turn...all led to new 52wk low 10Y yld

7/n update Global 2Y 10Y YC

• no rate actions from CBs
• YC still massively inverted in Turkey, flat in Czech, and near flat in US, Canada, Japan, and new 52wk flattening in Germany, France, Sweden, UK...

8/n update FX matrix

• Copper surge lifts Chilean Peso
• Oil surge lifts Russian Ruble and Canadian Dollar
• British Pound lifted on BREXIT deal hope

9/n update RiskOnOff ratio/spread monitor

• mixed, some still slightly better, some consolidating in ongoing RiskON mode, but mostly still rebound mode in a larger downtrend

10/n update European Credit Spreads 1 of 2

• RiskON tightening mode continues in current larger widening trend

11/n EU Credit Spreads 2 of 2

• same here.. RiskOn tightening continues in the larger RiskOFF widening trend.

12/n update US Credit Spreads 1of3

• strong rebound (tightening) in overall possible new widening trend. For now, overall, RiskOn still intact.

13/n update US credits 2of3

• too early to say, but some of these sectors just consolidate or already return to larger widening theme. Certainly no momentum or pressure yet.

14/n update US Credit 3of3

• RiskOn rebound continues here too... in the larger widening theme.

15/n update Europe ITRAXX

• Corps IG & HY
• Financials Sen & Sub

are still in RiskOn tightening

16/n update US CDX vs SPX correlation

• Credit Default Swap Basket bp Y/Y vs SPX Y/Y continues in rebound RiskOn mode [ while still in widening trend ]

17/n update US Govt Bond Yields

• 2s and 5s are < FF upper target

18/n update US swap yields

• 2Y, 5Y, 10Y < 3M
• 5Y < 2Y
• 5Y just 7bp < FF upper target

19/n update US swap curve vs SPX

• 5s30s steepening and decoupling from 2s5s and 2s10s
• and yes, we are in a late cycle stage, FED on hold for a reason!!! [and possible just another small wave of prolonging ]

20/n update US YieldCurve vs VIX

• the 2018 rate hikes were well "telegraphed" , hence yield curve flattening and accompanied with elevated and even spiking Stock volatility

• FED blinked, on hold now (possibly all 2019), = calming the market. ...

21/n update FED hike probability 2019

• ZERO chance (as of today) for hike#10 ... hence RiskOn candy

22/n update VIX & distribution

• spot pressured to 13.5

• hence, drifting close to C-range [ C = complacency ]. However, probably a new slightly higher plateau now, single digits after XIV implosion off, and 10-12 range likely too. let's see

23/n update VIX term structure

• "Powell Put" and the "Plunge Protection Team" came to the rescue...

• Vola (spot) from 36 to 13.5

•Curve from backwardation to steep contango again.
A M A Z I N G ? not.

24/n update VSTOXX

• Europe is already back < 1z [ and can stay longer there too ] = RiskOn, but in C-territory

25/n SPX vs 1wk-1Mth probability

26/n DOW vs 1wk-1Mth probability

27/n #ZN_F vs 1wk-1Mth probability

28/n USDJPY vs 1wk-1Mth probability

29/n update US DashBoard

• Macro RiskOFF
• Momentum RiskON

30/n update MRI US model

• SPX as we all know bounced
• "tongue-in- cheek" model also bounced, but is still < avg and anyway late cycle elevated "overbought"

31/n update MRI EZ model

• same goes for Europe
• STOXX rebound
• "tongue-in-cheek" model also bounced and back above 1z late cycle elevated level

32/n recap Germany IFO 1of3

• Germany's Business "clock" is confirmed in Downswing Swansong

33/n recap IFO 2of3

• their probability of economic expansion is obviously on the floor...
• DAX rebound on FED pause and global stock correlations and Global Dovish Central Banks hope dope.
• Flash M.PMI Germany came 47.6 (74m low)

34/n recap IFO 3of3

• severe downswing continues
• Exp - Curr assessment at lowest spread since years
• DAX (and many other global markets) were technically oversold, rebound (plus FED pause)

35/n recap Flash M.PMI 1of2

• Eurozone and Japan joined the "contraction club"
• Major Regions now < 50
• USA actually dropped to 17M low, but makes it "MAGA"

36/n flash M.PMI 2of2

• with the flash M.PMI data of major global GDP contributing countries/regions, all hell broke loose in CB boards
• Europe, Japan, China, EM is a mess.
• the US, DE, JP drops implies a -0.5 weaker JPM global PMI (33M low).

37/n recap Philly Fed 1of2

• Index fell off the cliff from last 17.0 and expected 14.0 to ... -4.1

• that survey is more volatile and can be erratic, but it would imply a ISM drop to 50 (which I don't expect here).

38/n recap Philly Fed 2of2

• New Orders collapsed from 21.3 to -2.4
• this too can be erratic, and even though this overlay "suggests" a ISM n.o. to 50-51, at this stage I doubt this tbh. However, a drop is a drop is a drop.

39/n but then we have PBoC too

• [ yeah yeah, I know, "coincidence" and show me the correlation "Nicolas Cage movies vs Pool fatal accidents" ]

;-)

40/end "thats all folks"

enjoy the rest of the weekend. x