MT GLOBAL MARKETS Weekly recap wk14 05Apr19 - PFLUGPOST thread 1/n

• another RiskOn wk
• strong global stock rally
• rotation/profit taking bonds
• credit spreads tighter
• hope on China, FED on pause, economy is great, yet, POTUS asking for rate cut + QE

2/n weekly update Global Markets YTD ranking

3/n update Global Markets Overview after wk14

4/n update Global Markets Momentum / Trends / possible exhaustion

• some DM bonds got warning last week, retraced now

5/n update wk14 FX momentum matrix

6/n update Global Govvies 10Y yields heatmap

• bonds got exhausted, profit taking in US T-Notes, Bunds et al was anticipated.
• some selected RiskOn in HY/EM Govvies tho

7/n update Global Govvies 2Y 10Y Curves

• as profit taking occurred in general in the front and long end, accompanied with re-steepening

• Norway/Poland made new 52wk highs in 2Y yields

8/n update US swap yieldcurve in the late cycle

• 2s5s actually made a new decade-low and broke previous "bottoms"

9/n update on US Yieldcurve (forward shifted) vs implied stock vola VIX

• if this holds true, suppressed vola continues for H1 2019, but given the theory of a new regime (higher lows), it could be closer to a rebound of VIX ...

10/n speaking of VIX

• possible new regime of higher lows is being tested now...

11/n Europe VSTOXX also shows zero expected stress at the moment ...

12/n speaking of VIX

• steep 1-3M contango at the moment

13/n US credit spreads continue to tighten in sympathy with overall RiskOn mood

14/ European Credits mirrors VSTOXX as RiskOn is visible everywhere

15/ ITRAXX Main, CrossOver, Financials Senior & Subs actually bounced off their SMA (hate to say this, LOL) ... but the tightening since Dec/Jan continues for now

16/n SPX vs Credits ...

• FED turn, global CB verbal intervention and dovish tone all changed in Dec while market tanked while Global M.PMI weakened. The overall market trend is in tact, like it or not, credits tho did not make new spread lows. and FF pricing in cuts 2020...

17/n let's take a look more closely some sectors indices vs basket spreads...

e.g. QQQ vs Tech bonds

while the bottom in Dec is in place, the dynamic between risks are not the same...

18/n XLF vs Bank Bonds baskets ... we know what they need in terms of outright yields and curves

19/n XLE vs Oil&Gas bonds basket

• while everything is RiskOn since Dec, and Crude up and away, XLE is actually still lagging on a relative basis

20/n sample XLB vs Basic Material Bonds basket

21/n anyways, update RiskOnOff spread monitor on wk14

22/n update MRI US model

• "cheek-in-tongue" model turned up to 84.3 (overbought in late stretched cycle)
• ISM pos, NMI neg, UoM pos, UE pos, Credits pos contributions

23/n update US dashboard wk14

• Global Macro weak
• US Macro improved
• FED on pause
• US CESI on very low percentiles
• Markets on RiskOn fire
• but FF futures pricing in rate CUTS in the near future (probably for a reason)

24/n update seasonality patterns: SPX

it is stunning and unusual, FED on pause for hikes and QT , under pressure to cut and start QE, China PMI back above 50 and the sky is the limit.

I think this is ripe for a correction again. too fast too furiuos

25/n update seasonality pattern DAX ...

26/n update seasonality patterns CL

pattern is in tact with averages, just it's doubled the usual performance.

27/n update seasonality patterns NG ...

28/n update seasonality patterns PA

well. then there was gravity

29/n Australia special

• manufacturing slumped to 51
• services still at 44+
• construction improved, but still only 45
• RBA dovish, yields being crushed, spreads coming down, but yeah, global stocks correlations and improved China PMI lifts AORD. great divergences

30/n for fun : $TSLA ... stocks vs bonds

31/n that's all folks

enjoy the rest of your Sunday