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fx:macro Summary Changes 2022_10_01

Created 2 years agoDiff never expires

41 removals

126 lines

47 additions

132 lines

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

>>BULL<<

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

▶︎ Emerging markets are performing (Brazil, India)

▶︎ HY spreads are a fair bit below their highs

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

▶︎ COT equity positioning is still bullish

▶︎ AAII Bull-Bear spread is near an extreme low again

▶︎ Fear & Greed is in extreme fear territory

>>BEAR<<

▶︎ The message from the Fed is clear: prepare for more and longer pain

▶︎ 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.

▶︎ Sector performance is bearish

▶︎ 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

▶︎ Volatility is showing signs of stress but it's been relatively moderate so far

>>SUMMARY<<

I did not expect equities to end up at the lows that quickly. The underlying factors and market internals are certainly worse than two weeks ago but there are no signs of a disorderly market crash. I still think a wide range of chop is the most likely thing to happen, but it's a very low-conviction call: last time there was a clear catalyst at the low for some upside (FOMC and Powell's presser), not so this time.

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<<

▶︎ Hawkish Powell, hawkish dots, the dollar liked it

▶︎ 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, PMIs surprising to the upside, labour market remains strong... for now it's a soft landing

▶︎ 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

▶︎ Slowing global growth (PMIs getting worse globally)

▶︎ Very bearish sentiment

▶︎ Bullish seasonality

>>BEAR<<

▶︎ Growth is clearly weakening

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

▶︎ 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 and COT is becoming stretched

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

>>SUMMARY<<

True two 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 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

▶︎ Risk reversals are bullish

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

▶︎ BTP-Bund and other spreads arre 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

▶︎ 1-week moves in COT positioning point to further downside

▶︎ 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

▶︎ Italian elections on Sunday, significant risk of a right-wing and Euro-sceptic future PM

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

>>SUMMARY<<

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

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<<

▶︎ The market's verdict on the ""mini""-budget could not have been more clear

▶︎ 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

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

▶︎ Inflation surprise index at highs

▶︎ CESI seems to be rolling over

▶︎ Sentiment is insanely bullish GBP

▶︎ Sentiment is bullish GBP

▶︎ Risk reversals are going bonkers on recent GBP moves

▶︎ Risk reversals are pointing further south

▶︎ Bearish seasonality

▶︎ Huge geopolitical and energy risks to inflation and growth, risks re: Northern Ireland Protocol

>>SUMMARY<<

The moves in GBP have been parabolic, so I expect some technical short-term upside, but the fundamental direction is clearly lower.

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 (little reaction from AUD, though)

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

▶︎ Risk reversals are diverging to the upside

▶︎ 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<<

It's still a long vs. the fundamentally weak currencies.

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

***** NZD *****

>>BULL<<

▶︎ CESI is bottoming, economic data seems to be improving

▶︎ CESI is bottoming, economic data improving considerably

▶︎ Inflation surprises picking up

▶︎ Risk reversals are diverging to the upside

>>BEAR<<

▶︎ Intrinsically weak: this week's PMI has been the best among the G8 but NZD was down

▶︎ 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 as apparent by this week's PMIs but that doesn't seem to be enough. I don't see why the underperformance vs. AUD should change now.

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 dragging it along (to the point that CAD is up for the week even though crude has been hit hard)

▶︎ 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 at lows

▶︎ Weakening economy, CESI making new lows

▶︎ Volatility and weakness in crude oil are a drag

▶︎ Yields have softened, inverted 2s10s

>>SUMMARY<<

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

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<<

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

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

▶︎ 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."

Saved diffs

Original text

Open file

"***** MACRO *****
     >>BULL<<
▶︎ Emerging markets are performing (Brazil, India)
▶︎ HY spreads are a fair bit below their highs
▶︎ COT equity positioning is still bullish
▶︎ AAII Bull-Bear spread is near an extreme low again
▶︎ Fear & Greed is in extreme fear territory
     >>BEAR<<
▶︎ The message from the Fed is clear: prepare for more and longer pain
▶︎ Sector performance is bearish
▶︎ Five out of eight G8 2s10s yield curves have inverted so far
▶︎ 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
▶︎ Volatility is showing signs of stress but it's been relatively moderate so far
     >>SUMMARY<<
I did not expect equities to end up at the lows that quickly. The underlying factors and market internals are certainly worse than two weeks ago but there are no signs of a disorderly market crash. I still think a wide range of chop is the most likely thing to happen, but it's a very low-conviction call: last time there was a clear catalyst at the low for some upside (FOMC and Powell's presser), not so this time.

***** USD *****
     >>BULL<<
▶︎ Hawkish Powell, hawkish dots, the dollar liked it
▶︎ 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, PMIs surprising to the upside, labour market remains strong... for now it's a soft landing
▶︎ Slowing global growth
▶︎ Very bearish sentiment
     >>BEAR<<
▶︎ Growth is clearly weakening
▶︎ FX interventions in JPY 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 and COT is becoming stretched
     >>SUMMARY<<
True two 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<<
▶︎ Econ data still surprising to the upside with CESI rising
▶︎ Risk reversals are bullish
▶︎ BTP-Bund and other spreads arre 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
     >>BEAR<<
▶︎ PMIs are increasingly desolate
▶︎ 1-week moves in COT positioning point to further downside
▶︎ Italian elections on Sunday, significant risk of a right-wing and Euro-sceptic future PM
▶︎ Negative German trade balance in decades... this does not bode well for the EUR and for the global economy; it's been a few weeks but it remains important
     >>SUMMARY<<
It's weak vs. USD, CAD 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
     >>BEAR<<
▶︎ The market's verdict on the ""mini""-budget could not have been more clear
▶︎ There's no consensus among MPC members with a 1/5/3 vote split for 25/50/75 bps
▶︎ Government and the BOE effectively working against each other with gilt sales and a spending/tax cut deluge
▶︎ Inflation surprise index at highs
▶︎ CESI seems to be rolling over
▶︎ Sentiment is insanely bullish GBP
▶︎ Risk reversals are going bonkers on recent GBP moves
▶︎ Bearish seasonality
▶︎ Huge geopolitical and energy risks to inflation and growth, risks re: Northern Ireland Protocol
     >>SUMMARY<<
The moves in GBP have been parabolic, so I expect some technical short-term upside, but the fundamental direction is clearly lower. 

***** AUD *****
     >>BULL<<
▶︎ Strong PMIs with upside surprises (little reaction from AUD, though)
▶︎ Risk reversals are diverging to the upside
▶︎ Sentiment is bearish especially vs. NZD, but: sentiment in AUDUSD is extremely bullish
     >>BEAR<<
▶︎ 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<<
It's still a long vs. the fundamentally weak currencies.

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

     >>BEAR<<
▶︎ Intrinsically weak: this week's PMI has been the best among the G8 but NZD was down
▶︎ 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 as apparent by this week's PMIs but that doesn't seem to be enough. I don't see why the underperformance vs. AUD should change now.

***** CAD *****
     >>BULL<<
▶︎ Strong US dollar dragging it along (to the point that CAD is up for the week even though crude has been hit hard)
▶︎ Housing market remains strong
▶︎ Sentiment is very bearish
     >>BEAR<<
▶︎ CSII lower
▶︎ Weakening economy, CESI at lows
▶︎ Volatility and weakness in crude oil are a drag
▶︎ Yields have softened, inverted 2s10s
     >>SUMMARY<<
It's 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
▶︎ 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<<
Back to bullish: 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<<
▶︎ 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<<
▶︎ 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."