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fx:macro Summary Changes 2022_10_08

Created 2 years agoDiff never expires

35 removals

132 lines

43 additions

137 lines

"***** MACRO *****

>>BULL<<

▶︎ ETF flows into equities (but: out of corporate credit)

▶︎ Emerging markets are performing (Brazil, India)

▶︎ AAII Bull-Bear spread is at an extreme low again, sentiment on Twitter is gloom-and-doom

▶︎ Fear & Greed is in extreme fear territory

>>BEAR<<

▶︎ We've had a Japanese FX intervention, a near-collapse of the UK pension fund industry, the Chinese are preparing a Yuan intervention... all in just two weeks. It feels we're on the verge of a major breakdown in the system.

▶︎ Price action in ES looks pretty bad

▶︎ Aside from that: we've seen Nordstream pipelines being attacked and the largest land-grab in Europe post-WW2

▶︎ The message from the Fed is clear: prepare for more and longer pain, and so far none of them is openly concerned about equities, credit spreads, foreign markets and so on

▶︎ The message from the Fed is clear: prepare for more and longer pain, and so far none of them is concerned about equities, credit spreads and so on

▶︎ People are talking about and/or hoping for a Fed pivot but there's just none

▶︎ Credit spreads are at/near/above recent highs

▶︎ Volatility seems too complacent compared to what's been going on the last two weeks

▶︎ Sector performance is a bearish mess

▶︎ Equity breadth is dismal

▶︎ FX Carry flows remain negative, currency strength confirms that

▶︎ Five out of eight G8 2s10s yield curves have inverted so far

▶︎ The global economy continues to weaken (e.g. PMIs)

▶︎ Stock markets in Asia are particularly weak, there's no sign of Chinese growth picking up

▶︎ Commodities and energy paint a dire picture of global demand

>>SUMMARY<<

Switching to bearish on a medium timeframe: major crashes are preceded by dysfunction in obscure parts of the market that no one has on their radar. This time it was the UK pension funds that almost went belly-up. Yes, sentiment is extreme but everything else points south. It's not going to be a call with necessarily great timing but the cracks are showing. Could we see a short-term bounce? Yes, but I'm going to load up on tail hedges... a lot of them.

It remains a tough market: if we see a bounce from the low, it's going to be based entirely on sentiment, something like a few 90% up days and a lot of hope. There's no help from breadth, market internals, positioning, the Fed, better fundamentals, a calming bond market, volatility or anything that could make it sustainable. Plus: the cracks in the system remain.

***** USD *****

>>BULL<<

▶︎ 12 different Fed speakers this week, not one dovish, not a single one concerned about the stock market while the near-breakdown of the UK gilt market and pension funds was just a side-note

▶︎ Another week with unanimously hawkish Fedspeak

▶︎ The market is clearly believing the Fed (FedWatch, STIRS)

▶︎ Rising real yields and falling breakevens are the best environment for dollar strength

▶︎ US not participating in FX intervention to prop up the yen

▶︎ CESI is rising and outperforming globally, PMIs surprising to the upside, labour market remains strong... for now it's a soft landing

▶︎ Slowing global growth (PMIs getting worse globally)

▶︎ Very bearish sentiment

▶︎ Bullish seasonality

>>BEAR<<

▶︎ Growth is clearly weakening

▶︎ FX interventions in JPY and possibly CNY could push back on USD strength a bit, at least temporarily

▶︎ Huge drop in Inflation Surprise indicators, 5y5y not rising further, breakevens falling, forward-looking inflation indicators lower as well

▶︎ Positioning in the PAIN index has become even more extreme and in COT data is becoming stretched

▶︎ It feels like everybody is already long... but then: dollar is the new TINA

>>SUMMARY<<

True three weeks ago, true today: It's hard to imagine the USD bull run coming to a hard stop with the Dollar Smile, hawkish Fed rhetoric, rising STIR and real yields in combination with lower breakevens, and the overall macro backdrop.

True four weeks ago, true today: It's hard to imagine the USD bull run coming to a hard stop with the Dollar Smile, hawkish Fed rhetoric, rising STIR and real yields in combination with lower breakevens, and the overall macro backdrop.

***** EUR *****

>>BULL<<

▶︎ ECB is increasingly hawkish: 15 different talking heads this week, hardly any dovish commentary

▶︎ Rather hawkish ECB Minutes with lots of worries about inflation and an explicit mention that growth concerns should not prevent rate hikes

▶︎ Hardly any dovish commentary from ECB talking heads

▶︎ Econ data still surprising to the upside with CESI rising

▶︎ BTP-Bund and other spreads are a lot calmer than expected, the fragmentation story isn't being played right now...

▶︎ BTP-Bund is at highs but the fragmentation story isn't being played right now...

▶︎ Despite the Ukraine war and the energy situation: the EUR is still not the weakest horse in the stable

▶︎ We've had it all: gas flows cut, Nordstream blown up, annexation of Ukraine territory by Russia... and EUR is still up

>>BEAR<<

▶︎ PMIs are increasingly desolate

▶︎ Negative German trade balance in decades... this does not bode well for the EUR and for the global economy; it's been a few months but it remains important

>>SUMMARY<<

It's weak vs. USD and CHF and sideways to up vs. the other G8s. Trading it accordingly.

Unchanged from last week: It's weak vs. USD and CHF and sideways to up vs. the other G8s. Trading it accordingly.

***** GBP *****

>>BULL<<

▶︎ Drop in Inflation Surprise Index (CSII) is a small but positive sign

▶︎ The ""mini""-budget should be positive in theory: tax cuts, more debt, more inflation down the road, higher rates

▶︎ Calls for an inter-meeting emergency rate hike... remains an unlikely possibility, but it's a wildcard

▶︎ Yields are strong... market not following, though, for obvious reasons

▶︎ Everybody is already short (PAIN)

>>BEAR<<

▶︎ UK CDS trading at new highs, the government's attempt to restore credibility isn't being seen as serious

▶︎ Yield curve is steepening for all the wrong reasons

▶︎ Government and the BOE effectively working against each other with gilt sales and a spending/tax cut deluge

▶︎ UK CDS trading at highs, the government's attempt to restore credibility isn't being seen as serious

▶︎ Government and the BOE effectively working against each other... unclear what will happen when the temporary backstop in gilts ends and the stock is being sold

▶︎ There's no consensus among MPC members with a 1/5/3 vote split for 25/50/75 bps

▶︎ Inflation surprise index at highs

▶︎ PMIs have weakened

▶︎ CESI seems to be rolling over

▶︎ Sentiment is bullish GBP

▶︎ Risk reversals are pointing further south

▶︎ Bearish seasonality

▶︎ Flows out of GBP

>>SUMMARY<<

I don't see much upside. Positioning is crowded but the fundamentals are just way too bad to consider more than a very short-term long.

Unchanged from last week: I don't see much upside. Positioning is crowded but the fundamentals are just way too bad to consider more than a very short-term long.

***** AUD *****

>>BULL<<

▶︎ Strong PMIs with upside surprises last week (little reaction from AUD, though)

▶︎ One of the few PMI outperformers

▶︎ Sentiment is bearish especially vs. NZD, but: sentiment in AUDUSD is extremely bullish

>>BEAR<<

▶︎ Inherent weakness, AUD and NZD are the weakest currencies over 1 month and 1 week

▶︎ The RBA has turned dovish with a below-expectations hike (but continues to expect further rate hikes ahead)

▶︎ The RBA is getting more cautious

▶︎ Inherent weakness

▶︎ Econ data and inflation are surprising to the downside

▶︎ PMIs in Asia deteriorating further, China is a drag on AUD

▶︎ Carry trade flows are negative

▶︎ Seasonality is bearish

>>SUMMARY<<

Not trading it from the long side anymore, maybe vs. NZD.

Switching to bearish: can't ignore the dovish turn by the RBA and fits the overall macro backdrop better than ""neutral"".

***** NZD *****

>>BULL<<

▶︎ RBNZ hiked as expected but discussed going for a 75 bps instead of the realized 50

▶︎ The RBNZ looks more hawkish now compared to the RBA

▶︎ CESI is bottoming, economic data improving considerably

▶︎ Inflation surprises picking up

▶︎ Risk reversals are diverging to the upside

>>BEAR<<

▶︎ Intrinsically weak: last week's PMI has been the best among the G8 but NZD was the weakest currency since then

▶︎ Intrinsically weak

▶︎ Bullish sentiment on NZD vs. bearish sentiment on AUD

▶︎ Bullish sentiment

▶︎ Divergence between increasing Aussie trade balance and stagnant/falling Kiwi trade balance

>>SUMMARY<<

Some fundamentals are improving but nothing seems to be able to stop it heading lower. I don't see why the underperformance vs. AUD should change now: my guess is that the trade balance divergence is just too strong to overcome positive econ data.

The divergence between in-line/hawkish RBNZ and dovish RBA plus improving fundamentals makes the longer-term AUDNZD long less clear. Watching how it plays out over the coming weeks.

***** CAD *****

>>BULL<<

▶︎ Strong US dollar has been dragging it along

▶︎ Very bullish COT data (absolute level and 1-week change) and change in PAIN

▶︎ Hawkish commentary from Macklem

▶︎ Small improvement in PMIs

▶︎ Strong shift in retail sentiment with >10% increase in shorts

▶︎ Possible bullish price action in CL could support CAD (OPEC cuts, SPR releases ending)

▶︎ Housing market remains strong

▶︎ Sentiment is very bearish

>>BEAR<<

▶︎ CSII lower

▶︎ Weakening economy, CESI making new lows

▶︎ Volatility and weakness in crude oil are a drag

▶︎ Yields have softened, inverted 2s10s

>>SUMMARY<<

It has been outperforming because it's close to the US, so I expect that to continue. Its own fundamentals have weakened considerably. Possible to see a short-term outperformance because of COT movements.

It has been outperforming because it's close to the US, so I expect that to continue. Its own fundamentals have weakened considerably.

***** CHF *****

>>BULL<<

▶︎ The SNB was obscure as ever in its guidance, but the overall tone was hawkish

▶︎ CSII remains high

▶︎ Hawkish commentary from Jordan and Maechler

▶︎ Between-meeting action on rates by the SNB is a wildcard

▶︎ Most bearish sentiment among the G8

▶︎ Bearish sentiment

>>BEAR<<

▶︎ Kneejerk reaction lower in CHF after a 75 bps hike when 100 bps were priced in... it's easy to see a lot of similar disappointments on the horizon

▶︎ CESI has taken quite a nosedive

▶︎ Inflation not surprising to the upside anymore

▶︎ Yields are underperforming

>>SUMMARY<<

Hard to see it underperforming: hawkish central bank with uncertainty on the upside (interventions, between-meeting hikes) and bearish sentiment. It's a crowded trade, though.

***** JPY *****

>>BULL<<

▶︎ FX interventions are now definitely on the table but they are a one-man-show without international support

▶︎ And they are going to create a lot of uncertainty

▶︎ Risk reversals see a lot of upside for the yen, even more so than last week

▶︎ Risk reversals see a lot of upside for the yen

>>BEAR<<

▶︎ The BOJ was dovish as ever, effectively working against its MoF

▶︎ Hardly any verbal pushback from the BOJ or FinMin although we're almost back at the intervention level in USDJPY

▶︎ Yield differentials are widening vs. everyone else, and US yields seem unstoppable for now

▶︎ Sentiment for JPY is bullish

>>SUMMARY<<

The interventions aren't going to turn the tide immediately especially since it's not a coordinated effort, the BOJ is effectively working against it and US yields are still rising. It remains a short but only from good levels and not close to recent lows."

Saved diffs

Original text

Open file

"***** MACRO *****
     >>BULL<<
▶︎ ETF flows into equities (but: out of corporate credit)
▶︎ Emerging markets are performing (Brazil, India)
▶︎ AAII Bull-Bear spread is at an extreme low again, sentiment on Twitter is gloom-and-doom
▶︎ Fear & Greed is in extreme fear territory
     >>BEAR<<
▶︎ We've had a Japanese FX intervention, a near-collapse of the UK pension fund industry, the Chinese are preparing a Yuan intervention... all in just two weeks. It feels we're on the verge of a major breakdown in the system.
▶︎ Aside from that: we've seen Nordstream pipelines being attacked and the largest land-grab in Europe post-WW2
▶︎ The message from the Fed is clear: prepare for more and longer pain, and so far none of them is concerned about equities, credit spreads and so on 
▶︎ Credit spreads are at/near/above recent highs
▶︎ Volatility seems too complacent compared to what's been going on the last two weeks
▶︎ Sector performance is a bearish mess
▶︎ Equity breadth is dismal
▶︎ Five out of eight G8 2s10s yield curves have inverted so far
▶︎ The global economy continues to weaken (e.g. PMIs)
▶︎ Stock markets in Asia are particularly weak, there's no sign of Chinese growth picking up
▶︎ Commodities and energy paint a dire picture of global demand
     >>SUMMARY<<
Switching to bearish on a medium timeframe: major crashes are preceded by dysfunction in obscure parts of the market that no one has on their radar. This time it was the UK pension funds that almost went belly-up. Yes, sentiment is extreme but everything else points south. It's not going to be a call with necessarily great timing but the cracks are showing. Could we see a short-term bounce? Yes, but I'm going to load up on tail hedges... a lot of them.

***** USD *****
     >>BULL<<
▶︎ 12 different Fed speakers this week, not one dovish, not a single one concerned about the stock market while the near-breakdown of the UK gilt market and pension funds was just a side-note
▶︎ The market is clearly believing the Fed (FedWatch, STIRS)
▶︎ Rising real yields and falling breakevens are the best environment for dollar strength
▶︎ US not participating in FX intervention to prop up the yen
▶︎ CESI is rising and outperforming globally, PMIs surprising to the upside, labour market remains strong... for now it's a soft landing
▶︎ Slowing global growth (PMIs getting worse globally)
▶︎ Very bearish sentiment
▶︎ Bullish seasonality
     >>BEAR<<
▶︎ Growth is clearly weakening
▶︎ FX interventions in JPY and possibly CNY could push back on USD strength a bit, at least temporarily
▶︎ Huge drop in Inflation Surprise indicators, 5y5y not rising further, breakevens falling, forward-looking inflation indicators lower as well 
▶︎ Positioning in the PAIN index has become even more extreme and in COT data is becoming stretched
     >>SUMMARY<<
True three weeks ago, true today: It's hard to imagine the USD bull run coming to a hard stop with the Dollar Smile, hawkish Fed rhetoric, rising STIR and real yields in combination with lower breakevens, and the overall macro backdrop.

***** EUR *****
     >>BULL<<
▶︎ ECB is increasingly hawkish: 15 different talking heads this week, hardly any dovish commentary
▶︎ Econ data still surprising to the upside with CESI rising
▶︎ BTP-Bund and other spreads are a lot calmer than expected, the fragmentation story isn't being played right now...
▶︎ Despite the Ukraine war and the energy situation: the EUR is still not the weakest horse in the stable
▶︎ We've had it all: gas flows cut, Nordstream blown up, annexation of Ukraine territory by Russia... and EUR is still up
     >>BEAR<<
▶︎ PMIs are increasingly desolate
▶︎ Negative German trade balance in decades... this does not bode well for the EUR and for the global economy; it's been a few months but it remains important
     >>SUMMARY<<
It's weak vs. USD and CHF and sideways to up vs. the other G8s. Trading it accordingly.

***** GBP *****
     >>BULL<<
▶︎ The ""mini""-budget should be positive in theory: tax cuts, more debt, more inflation down the road, higher rates
▶︎ Calls for an inter-meeting emergency rate hike... remains an unlikely possibility, but it's a wildcard
▶︎ Yields are strong... market not following, though, for obvious reasons
▶︎ Everybody is already short (PAIN)
     >>BEAR<<
▶︎ UK CDS trading at new highs, the government's attempt to restore credibility isn't being seen as serious
▶︎ Government and the BOE effectively working against each other with gilt sales and a spending/tax cut deluge
▶︎ There's no consensus among MPC members with a 1/5/3 vote split for 25/50/75 bps
▶︎ Inflation surprise index at highs
▶︎ CESI seems to be rolling over
▶︎ Sentiment is bullish GBP
▶︎ Risk reversals are pointing further south
▶︎ Bearish seasonality
     >>SUMMARY<<
I don't see much upside. Positioning is crowded but the fundamentals are just way too bad to consider more than a very short-term long.

***** AUD *****
     >>BULL<<
▶︎ Strong PMIs with upside surprises last week (little reaction from AUD, though)
▶︎ Sentiment is bearish especially vs. NZD, but: sentiment in AUDUSD is extremely bullish
     >>BEAR<<
▶︎ Inherent weakness, AUD and NZD are the weakest currencies over 1 month and 1 week
▶︎ The RBA is getting more cautious
▶︎ Econ data and inflation are surprising to the downside
▶︎ PMIs in Asia deteriorating further, China is a drag on AUD
▶︎ Seasonality is bearish
     >>SUMMARY<<
Not trading it from the long side anymore, maybe vs. NZD.

***** NZD *****
     >>BULL<<
▶︎ CESI is bottoming, economic data improving considerably
▶︎ Inflation surprises picking up
▶︎ Risk reversals are diverging to the upside

     >>BEAR<<
▶︎ Intrinsically weak: last week's PMI has been the best among the G8 but NZD was the weakest currency since then
▶︎ Bullish sentiment on NZD vs. bearish sentiment on AUD
▶︎ Divergence between increasing Aussie trade balance and stagnant/falling Kiwi trade balance
     >>SUMMARY<<
Some fundamentals are improving but nothing seems to be able to stop it heading lower. I don't see why the underperformance vs. AUD should change now: my guess is that the trade balance divergence is just too strong to overcome positive econ data.

***** CAD *****
     >>BULL<<
▶︎ Strong US dollar has been dragging it along
▶︎ Very bullish COT data (absolute level and 1-week change) and change in PAIN
▶︎ Housing market remains strong
▶︎ Sentiment is very bearish
     >>BEAR<<
▶︎ CSII lower
▶︎ Weakening economy, CESI making new lows
▶︎ Volatility and weakness in crude oil are a drag
▶︎ Yields have softened, inverted 2s10s
     >>SUMMARY<<
It has been outperforming because it's close to the US, so I expect that to continue. Its own fundamentals have weakened considerably. Possible to see a short-term outperformance because of COT movements.

***** CHF *****
     >>BULL<<
▶︎ The SNB was obscure as ever in its guidance, but the overall tone was hawkish
▶︎ Between-meeting action on rates by the SNB is a wildcard
▶︎ Most bearish sentiment among the G8
     >>BEAR<<
▶︎ Kneejerk reaction lower in CHF after a 75 bps hike when 100 bps were priced in... it's easy to see a lot of similar  disappointments on the horizon
▶︎ Inflation not surprising to the upside anymore
▶︎ Yields are underperforming
     >>SUMMARY<<
Hard to see it underperforming: hawkish central bank with uncertainty on the upside (interventions, between-meeting hikes) and bearish sentiment. It's a crowded trade, though.

***** JPY *****
     >>BULL<<
▶︎ FX interventions are now definitely on the table but they are a one-man-show without international support
▶︎ And they are going to create a lot of uncertainty
▶︎ Risk reversals see a lot of upside for the yen, even more so than last week
     >>BEAR<<
▶︎ The BOJ was dovish as ever, effectively working against its MoF
▶︎ Yield differentials are widening vs. everyone else, and US yields seem unstoppable for now
     >>SUMMARY<<
The interventions aren't going to turn the tide immediately especially since it's not a coordinated effort, the BOJ is effectively working against it and US yields are still rising. It remains a short but only from good levels and not close to recent lows."

Changed text

Open file

"***** MACRO *****
     >>BULL<<
▶︎ Emerging markets are performing (Brazil, India)
▶︎ AAII Bull-Bear spread is at an extreme low again, sentiment on Twitter is gloom-and-doom
▶︎ Fear & Greed is in extreme fear territory
     >>BEAR<<
▶︎ Price action in ES looks pretty bad
▶︎ The message from the Fed is clear: prepare for more and longer pain, and so far none of them is openly concerned about equities, credit spreads, foreign markets and so on 
▶︎ People are talking about and/or hoping for a Fed pivot but there's just none
▶︎ Credit spreads are at/near/above recent highs
▶︎ Sector performance is a bearish mess
▶︎ FX Carry flows remain negative, currency strength confirms that
▶︎ Five out of eight G8 2s10s yield curves have inverted so far
▶︎ The global economy continues to weaken (e.g. PMIs)
▶︎ Stock markets in Asia are particularly weak, there's no sign of Chinese growth picking up
▶︎ Commodities and energy paint a dire picture of global demand
     >>SUMMARY<<
It remains a tough market: if we see a bounce from the low, it's going to be based entirely on sentiment, something like a few 90% up days and a lot of hope. There's no help from breadth, market internals, positioning, the Fed, better fundamentals, a calming bond market, volatility or anything that could make it sustainable. Plus: the cracks in the system remain.

***** USD *****
     >>BULL<<
▶︎ Another week with unanimously hawkish Fedspeak
▶︎ The market is clearly believing the Fed (FedWatch, STIRS)
▶︎ Rising real yields and falling breakevens are the best environment for dollar strength
▶︎ US not participating in FX intervention to prop up the yen
▶︎ CESI is rising and outperforming globally, PMIs surprising to the upside, labour market remains strong... for now it's a soft landing
▶︎ Slowing global growth (PMIs getting worse globally)
▶︎ Very bearish sentiment
▶︎ Bullish seasonality
     >>BEAR<<
▶︎ Growth is clearly weakening
▶︎ FX interventions in JPY and possibly CNY could push back on USD strength a bit, at least temporarily
▶︎ Huge drop in Inflation Surprise indicators, 5y5y not rising further, breakevens falling, forward-looking inflation indicators lower as well 
▶︎ It feels like everybody is already long... but then: dollar is the new TINA
     >>SUMMARY<<
True four weeks ago, true today: It's hard to imagine the USD bull run coming to a hard stop with the Dollar Smile, hawkish Fed rhetoric, rising STIR and real yields in combination with lower breakevens, and the overall macro backdrop.

***** EUR *****
     >>BULL<<
▶︎ Rather hawkish ECB Minutes with lots of worries about inflation and an explicit mention that growth concerns should not prevent rate hikes
▶︎ Hardly any dovish commentary from ECB talking heads
▶︎ Econ data still surprising to the upside with CESI rising
▶︎ BTP-Bund is at highs but the fragmentation story isn't being played right now...
▶︎ Despite the Ukraine war and the energy situation: the EUR is still not the weakest horse in the stable
▶︎ We've had it all: gas flows cut, Nordstream blown up, annexation of Ukraine territory by Russia... and EUR is still up
     >>BEAR<<
▶︎ PMIs are increasingly desolate
▶︎ Negative German trade balance in decades... this does not bode well for the EUR and for the global economy; it's been a few months but it remains important
     >>SUMMARY<<
Unchanged from last week: It's weak vs. USD and CHF and sideways to up vs. the other G8s. Trading it accordingly.

***** GBP *****
     >>BULL<<
▶︎ Drop in Inflation Surprise Index (CSII) is a small but positive sign
▶︎ The ""mini""-budget should be positive in theory: tax cuts, more debt, more inflation down the road, higher rates
▶︎ Calls for an inter-meeting emergency rate hike... remains an unlikely possibility, but it's a wildcard
▶︎ Everybody is already short (PAIN)
     >>BEAR<<
▶︎ Yield curve is steepening for all the wrong reasons
▶︎ UK CDS trading at highs, the government's attempt to restore credibility isn't being seen as serious
▶︎ Government and the BOE effectively working against each other... unclear what will happen when the temporary backstop in gilts ends and the stock is being sold
▶︎ There's no consensus among MPC members with a 1/5/3 vote split for 25/50/75 bps
▶︎ PMIs have weakened
▶︎ Sentiment is bullish GBP
▶︎ Risk reversals are pointing further south
▶︎ Bearish seasonality
▶︎ Flows out of GBP
     >>SUMMARY<<
Unchanged from last week: I don't see much upside. Positioning is crowded but the fundamentals are just way too bad to consider more than a very short-term long.

***** AUD *****
     >>BULL<<
▶︎ One of the few PMI outperformers
     >>BEAR<<
▶︎ The RBA has turned dovish with a below-expectations hike (but continues to expect further rate hikes ahead)
▶︎ Inherent weakness
▶︎ Econ data and inflation are surprising to the downside
▶︎ PMIs in Asia deteriorating further, China is a drag on AUD
▶︎ Carry trade flows are negative
▶︎ Seasonality is bearish
     >>SUMMARY<<
Switching to bearish: can't ignore the dovish turn by the RBA and fits the overall macro backdrop better than ""neutral"".

***** NZD *****
     >>BULL<<
▶︎ RBNZ hiked as expected but discussed going for a 75 bps instead of the realized 50
▶︎ The RBNZ looks more hawkish now compared to the RBA
▶︎ CESI is bottoming, economic data improving considerably
▶︎ Inflation surprises picking up
     >>BEAR<<
▶︎ Intrinsically weak
▶︎ Bullish sentiment
▶︎ Divergence between increasing Aussie trade balance and stagnant/falling Kiwi trade balance
     >>SUMMARY<<
The divergence between in-line/hawkish RBNZ and dovish RBA plus improving fundamentals makes the longer-term AUDNZD long less clear. Watching how it plays out over the coming weeks.

***** CAD *****
     >>BULL<<
▶︎ Strong US dollar has been dragging it along
▶︎ Hawkish commentary from Macklem
▶︎ Small improvement in PMIs
▶︎ Strong shift in retail sentiment with >10% increase in shorts
▶︎ Possible bullish price action in CL could support CAD (OPEC cuts, SPR releases ending)
▶︎ Housing market remains strong
▶︎ Sentiment is very bearish
     >>BEAR<<
▶︎ CSII lower
▶︎ Weakening economy, CESI making new lows
▶︎ Yields have softened, inverted 2s10s
     >>SUMMARY<<
It has been outperforming because it's close to the US, so I expect that to continue. Its own fundamentals have weakened considerably.

***** CHF *****
     >>BULL<<
▶︎ CSII remains high
▶︎ Hawkish commentary from Jordan and Maechler
▶︎ Between-meeting action on rates by the SNB is a wildcard
▶︎ Bearish sentiment
     >>BEAR<<
▶︎ Kneejerk reaction lower in CHF after a 75 bps hike when 100 bps were priced in... it's easy to see a lot of similar  disappointments on the horizon
▶︎ CESI has taken quite a nosedive
▶︎ Inflation not surprising to the upside anymore
▶︎ Yields are underperforming
     >>SUMMARY<<
Hard to see it underperforming: hawkish central bank with uncertainty on the upside (interventions, between-meeting hikes) and bearish sentiment. It's a crowded trade, though.

***** JPY *****
     >>BULL<<
▶︎ FX interventions are now definitely on the table but they are a one-man-show without international support
▶︎ And they are going to create a lot of uncertainty
▶︎ Risk reversals see a lot of upside for the yen
     >>BEAR<<
▶︎ Hardly any verbal pushback from the BOJ or FinMin although we're almost back at the intervention level in USDJPY
▶︎ Yield differentials are widening vs. everyone else, and US yields seem unstoppable for now
▶︎ Sentiment for JPY is bullish
     >>SUMMARY<<
The interventions aren't going to turn the tide immediately especially since it's not a coordinated effort, the BOJ is effectively working against it and US yields are still rising. It remains a short but only from good levels and not close to recent lows."