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MT GLOBAL MARKETS Weekly recap wk10 08Mar19 - thread 1/n

• RiskOFF week
• CreditSpreads wider
• YieldCurve Flattening
• 10Y Govt bond rally
• dovish RBA, ECB, BoC
• Stocks down
• VIX up
• JPY up
2/n Global Markets ROC overview
3/n Global Markets YTD

... as expected, annualised YTD pace not sustainable, this week cooling down if not worse.
4/n Global Markets Y / Y

... SPX after a humongous rollercoaster... is FLAT YoY.
5/n update Global Markets Trends & Exhaustions
6/n update FX matrix heatmap matrix

...JPY outperformed nearly all = RiskOFF week
7/n update Global 10Y govt yields heatmap

• new 52wk lows as bonds rally hard on back of global central banks new dovish bias: US, CA, DE, FR, ES, PT, SE, AU, NZ...
8/n update Global 2Y 10Y Curves

• global renewed dovish CB's leading to front end lower yields, long end bond rally hard, curve flattening. While a lot of M.PMI either in contraction or multi year lows... How is this bullish for stocks ?
9/n update US swap curves {late cycle view ]
10/n update US Creditsspreads 1of3
11/n update US Credits 2of3
12/n update US Credits 3of3
13/n update Europe ITRAXX

Credit Default Swap Indices Corps IG vs HY and Financials Senior vs Subs
14/n update US CDX vs SPX model

• oversold credits and stocks strong rebound after FED put. now what ?
15/n update VIX term structure

• lift-off and flattening throughout the week [ but didn't close at highs on Friday ]
16/n new VIX regime obliged
17/n VSTOXX also new regime with higher lows
18/n VVIX basically one-way-street this month
19/n SPX seasonality vs "sudden unexplained" gravity
20/n DJT Dow Transportation seasonality same... GRAVITY...
21/n SPX gravity led by Dow Transport and Russell
22/n DOW late follow the classic RiskOnOff ratios

• $IYT / $DIA
• $XLI / $XLU
• $XLY / $XLP
23/n $EMB rolled over (at the moment)

• EM basket divergence
• RSI neg divergence
24/n update on Global Bonds Rally
25/n US Macro 1 = permits

• -1.5% Y/Y zero momentum
• former anomaly gap to previously oversold $ITB (or $XHB ) nearly closed
26/n US Macro 2 = Employment data

• 20k was a big miss at the white board #NFPGuesses wager game
• excuse mainly weakness as hard winter disrupted construction
• probably an outlier, wouldn't be the first one. ISM & NMI employment subindices are still strong.
27/n update US MRI big picture

• own MacroRiskIndicator "tongue-in-cheek" model
• updated with new ISM (weaker), NMI (better), Unemployment rate (better), CreditSpreads (worse), Vola (worse).
• super-stretched cycle still elevated, possibly peaked, rolled over
28/n update US Dashboard

• Global Macro weakening
• Global Central Banks re-dovish
• US Macro mixed
• First Yield Curve inversions
• continued YC flattening
• RiskOFF momentum last week
29/n update RiskOnOff Ratio or spread monitor
30/n Central banks action last week

• RBA unchg 1.5% (turned dovish)
• BoC unchg 1.75% (turned dovish)
• ECB unchg 0% (turned dovish)
• NBP Poland unchg 1.5%
• Bank Negara Malaysia unchg
• TCMB Turkey unchg (24% and inverted curve)

enjoy the rest of the weekend.

@threadreaderapp , please unroll , Danke
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