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fx:macro Summary Changes 2022_10_29

Created about a year agoDiff never expires

69 removals

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60 additions

123 lines

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

>>BULL<<

▶︎ Emerging markets are performing (Brazil, India)

▶︎ ETF flows into equities, high yield credit

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

▶︎ Volatility has calmed down significantly with VVIX making new lows, flat skew, low TDEX etc.

▶︎ TD Ameritrade IMX is near lows

▶︎ Fear & Greed is in extreme fear territory

▶︎ Seasonality is very bullish for equities

▶︎ Seasonality is bullish

>>BEAR<<

▶︎ Fed speakers reaffirmed this week: stock market is not in focus and the mandate is domestic

▶︎ CNN Fear & Greed already at ""Greed""

▶︎ Credit spreads are at/near/above recent highs

▶︎ Credit spreads are still at/near/above recent highs

▶︎ Breadth remains weak despite uber-bullish price action on Thursday

▶︎ Breadth remains disappointingly weak

▶︎ Sector performance is bearish

▶︎ Sector performance is mixed-to-bearish

▶︎ Positioning in equities is well off supportive extremes

▶︎ 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)

▶︎ Equities seeing outflows globally

▶︎ 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

▶︎ Weakness in copper and metals

>>SUMMARY<<

Things haven't really changed since last week: Thursday saw some pretty bullish post-CPI price action but no follow-through on Friday. So far, breadth hasn't improved, volatiliy (in any asset class) hasn't come down, sector performance hasn't been remotely bullish, credit spreads haven't narrowed, Fedspeak hasn't softened, USD hasn't weakened. Unless these things change, a move lower-to-sideways in stocks seems logical. Aside from that: a large tail risk remains.

Things look a lot more bullish than two weeks ago: the dovish last words before the Fed blackout, the market talking about a Fed pivot, two dovish CBs (beside the BOJ), volatility has calmed down, we see flows into risk assets. The fundamentals are still as bad as it gets but this market wants to rally. Breadth is still bad, the wrong sectors are performing, credit spreads are still wide. The next test will be the market's reaction to Powell on Thursday. Long bias until then.

***** USD *****

>>BULL<<

▶︎ Another week with near-unanimously hawkish Fedspeak

▶︎ GDP growth in Q4 picking up (GDPNow)

▶︎ CPI just won't come down sustainably

▶︎ Breakevens, 5y5y and RINF all off lows

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

▶︎ Flows into USD continue

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

▶︎ CESI is rising and outperforming globally, 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 (PMIs getting worse globally, Fidelity Business Cycles)

▶︎ Slowing global growth (PMIs getting worse globally)

▶︎ Very bearish sentiment

▶︎ Bullish seasonality

>>BEAR<<

▶︎ Fed speakers and FOMC Minutes are showing small signs of caution, emphasizing two-sided risks on hikes, etc.

▶︎ We've entered the Fed blackout period on very dovish footing

▶︎ Three CBs intervening (or rumoured to intervene) on behalf of their currencies: Japan, China, India

▶︎ Housing is seeing one bad print after the other

▶︎ Breakevens are up yet real yields are lagging... if they don't catch up it's going to be a drag on USD

▶︎ Growth is clearly weakening

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

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

>>SUMMARY<<

True five 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.

The dollar is still a fundamental long, but the market is in Fed-Pivot mode, which should bolster risk assets and hamper the dollar for a while.

***** EUR *****

>>BULL<<

▶︎ ECB speakers relatively unanimous and hawkish, discussion about when to start QT has begun

▶︎ Inherent strength

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

▶︎ CESI still going higher

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

▶︎ European stock markets outperforming

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

▶︎ Shorts haven't been pared down yet (see PAIN)

▶︎ While PMIs have all been bad, the DE and EU Services PMIs surprised/were in line

>>BEAR<<

▶︎ PMIs are increasingly desolate

▶︎ Cracks in the relatively hawkish front of ECB GC members are showing up

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

▶︎ No discussion on QT at the ECB meeting this week and probably not at the next one

>>SUMMARY<<

Could see some more upside on increasingly hawkish ECB comments. Despite everything that's going on geopolitically, it's only weak vs. USD and CHF.

It's been performing pretty well so far but upcoming data for EUR is all relatively bad this week.

***** GBP *****

>>BULL<<

▶︎ It's hard to imagine the government performing worse than it already did

▶︎ It's been performing way better than expected... though for now I believe that's still mostly fallout from the Truss mess and not for fundamental reasons

▶︎ CDS have come down

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

▶︎ An inter-meeting rate hike remains an unlikely possibility, but it's a wildcard

▶︎ Everybody is already short (PAIN)

▶︎ Risk reversals have stabilized to a degree

>>BEAR<<

▶︎ Where do I even start...

▶︎ A lot of bunnies still aren't out of the hat (budget, gilt sales)

▶︎ Yield curve continues to steepen for all the wrong reasons

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

▶︎ The mood seems to be that the Truss government hasn't improved the situation

▶︎ The BOE have a lot of credibility to lose in case they have to restart gilt buying after Bailey's statement this week

▶︎ Very murky situation with the LDI pension funds and the dysfunction in the gilt market... completely unclear to me if/how this will spill over into other markets now that BOE gilt buying has stopped

▶︎ PMIs have weakened

▶︎ 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.

The fact that it has outperformed everything over the last few weeks has been pretty surprising to me. But then, the move down was extreme and volatile, so this will likely take some time to settle down. Fundamentally still a short.

***** AUD *****

>>BULL<<

▶︎ Hot CPI print this week right before upcoming RBA meeting

▶︎ One of the few PMI outperformers

▶︎ Bullish 25-delta risk reversal

>>BEAR<<

▶︎ Inherent weakness: more pronounced since the RBA meeting

▶︎ Dovish central bank

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

▶︎ CESI is near lows

▶︎ Econ data and inflation are surprising to the downside

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

▶︎ Flows out of AUD, carry trade flows are negative

▶︎ Seasonality is bearish

>>SUMMARY<<

The second-most dovish central bank after the BOJ, and it's weak vs. the other G8s, doesn't have much going for it at the moment.

RBA on Tuesday, we'll see how data-dependent they are after this week's CPI. For now: dovish central bank, weak growth in Asia/China and lacklustre performance during the recent risk-on period. If the RBA doesn't put in a major hawkish surprise it remains a short.

***** NZD *****

>>BULL<<

▶︎ NZD outperformance vs. AUD has been sustained since the hawkish hike by the RBNZ and the RBA's dovish one

▶︎ Clear outperformance of NZD vs. AUD since the RBA turned dovish

▶︎ COT positioning near a bullish extreme

▶︎ CESI has picked up notably

▶︎ CESI is bottoming, economic data improving considerably

▶︎ Inflation surprises picking up

▶︎ Risk reversal seeing some upside

>>BEAR<<

▶︎ Bullish sentiment

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

>>SUMMARY<<

It seems the market is adjusting to the divergence between the RBNZ and the RBA, so it remains a bear call overall but not vs. the AUD anymore.

The market is adjusting to the divergence between the RBNZ and the RBA, so it remains a bear call overall but not vs. the AUD anymore.

***** CAD *****

>>BULL<<

▶︎ Hawkish commentary from Macklem (again this week)

▶︎ It's showing some resilience despite the dovish BOC

▶︎ Small improvement in PMIs

▶︎ COT positioning is near a bullish extreme

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

▶︎ Housing market remains strong

>>BEAR<<

▶︎ Dovish and smaller-than-expected hike from the BOC

▶︎ CSII lower

▶︎ Weakening economy, CESI making new lows

▶︎ Yields have softened, inverted 2s10s

>>SUMMARY<<

Could see a bit of strength after Macklem's comments that mentioned performance vs. USD specifically.

It looks dovish after the BOC but the drivers are mainly crude oil and the SPX, so it could see some upside as risk assets rally, especially since AUD is constrained by weakness in Asia

***** CHF *****

>>BULL<<

▶︎ CSII remains high

▶︎ Bearish sentiment

▶︎ PAIN shows shorts haven't been covered yet

>>BEAR<<

▶︎ CESI has taken quite a nosedive

▶︎ CESI has taken quite a nosedive and no sign of picking up

▶︎ Inherent weakness

▶︎ Inflation not surprising to the upside anymore

▶︎ Yields are underperforming

>>SUMMARY<<

Hard to see it underperforming: hawkish central bank with uncertainty on the upside and bearish sentiment. It's a crowded trade, though.

The weak performance has surprised me. It's clearly not driven by the SNB, and if risk assets rally CHF will face more headwinds. Change to neutral.

***** JPY *****

>>BULL<<

▶︎ Everyone is waiting for the next intervention, lot of verbal jawboning this week by officials

▶︎ The FX interventions haven't been very successful but now it's not just the BOJ but the Indian and Chinese as well

▶︎ FX interventions remain a one-man-show without international support

▶︎ Treasury yields have backed off

▶︎ And they are going to create a lot of uncertainty

>>BEAR<<

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

▶︎ Another expectedly dovish BOJ meeting, the small sentence about inflation expectations won't change anything

▶︎ Sentiment for JPY is bullish

▶︎ The divergence between the BOJ and every other central bank isn't getting any smaller

>>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."

It's only going to strengthen if the dollar comes down. The three-sided currency interventions might change the course a bit but they won't turn the tide. A short from good levels."

Saved diffs

Original 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
▶︎ TD Ameritrade IMX is near lows
▶︎ Fear & Greed is in extreme fear territory
▶︎ Seasonality is bullish
     >>BEAR<<
▶︎ Fed speakers reaffirmed this week: stock market is not in focus and the mandate is domestic 
▶︎ Credit spreads are at/near/above recent highs
▶︎ Breadth remains weak despite uber-bullish price action on Thursday
▶︎ Sector performance is bearish
▶︎ Positioning in equities is well off supportive extremes
▶︎ 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<<
Things haven't really changed since last week: Thursday saw some pretty bullish post-CPI price action but no follow-through on Friday. So far, breadth hasn't improved, volatiliy (in any asset class) hasn't come down, sector performance hasn't been remotely bullish, credit spreads haven't narrowed, Fedspeak hasn't softened, USD hasn't weakened. Unless these things change, a move lower-to-sideways in stocks seems logical. Aside from that: a large tail risk remains.

***** USD *****
     >>BULL<<
▶︎ Another week with near-unanimously hawkish Fedspeak
▶︎ CPI just won't come down sustainably
▶︎ The market is clearly believing the Fed (FedWatch, STIRS)
▶︎ 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<<
▶︎ Fed speakers and FOMC Minutes are showing small signs of caution, emphasizing two-sided risks on hikes, etc.
▶︎ Breakevens are up yet real yields are lagging... if they don't catch up it's going to be a drag on USD
▶︎ Growth is clearly weakening
▶︎ FX interventions in JPY and possibly CNY could push back on USD strength a bit, at least temporarily
▶︎ It feels like everybody is already long... but then: dollar is the new TINA
     >>SUMMARY<<
True five 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 speakers relatively unanimous and hawkish, discussion about when to start QT has begun
▶︎ Rather hawkish ECB Minutes with lots of worries about inflation and an explicit mention that growth concerns should not prevent rate hikes
▶︎ 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
     >>BEAR<<
▶︎ PMIs are increasingly desolate
▶︎ Negative German trade balance in decades, Eurozone trade balance deteriorating as well... this does not bode well for the EUR and for the global economy; it's been a few months but it remains important
     >>SUMMARY<<
Could see some more upside on increasingly hawkish ECB comments. Despite everything that's going on geopolitically, it's only weak vs. USD and CHF.

***** GBP *****
     >>BULL<<
▶︎ It's hard to imagine the government performing worse than it already did
▶︎ Drop in Inflation Surprise Index (CSII) is a small but positive sign
▶︎ An inter-meeting rate hike remains an unlikely possibility, but it's a wildcard
▶︎ Everybody is already short (PAIN)
▶︎ Risk reversals have stabilized to a degree
     >>BEAR<<
▶︎ Where do I even start...
▶︎ Yield curve continues to steepen for all the wrong reasons
▶︎ UK CDS trading at highs, the government's attempt to restore credibility isn't being seen as serious
▶︎ The mood seems to be that the Truss government hasn't improved the situation
▶︎ The BOE have a lot of credibility to lose in case they have to restart gilt buying after Bailey's statement this week
▶︎ Very murky situation with the LDI pension funds and the dysfunction in the gilt market... completely unclear to me if/how this will spill over into other markets now that BOE gilt buying has stopped
▶︎ PMIs have weakened
▶︎ 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
▶︎ Bullish 25-delta risk reversal
     >>BEAR<<
▶︎ Inherent weakness: more pronounced since the RBA meeting
▶︎ The RBA has turned dovish with a below-expectations hike (but continues to expect further rate hikes ahead)
▶︎ Econ data and inflation are surprising to the downside
▶︎ PMIs in Asia deteriorating further, China is a drag on AUD
▶︎ Flows out of AUD, carry trade flows are negative
▶︎ Seasonality is bearish
     >>SUMMARY<<
The second-most dovish central bank after the BOJ, and it's weak vs. the other G8s, doesn't have much going for it at the moment.

***** NZD *****
     >>BULL<<
▶︎ NZD outperformance vs. AUD has been sustained since the hawkish hike by the RBNZ and the RBA's dovish one
▶︎ COT positioning near a bullish extreme
▶︎ CESI is bottoming, economic data improving considerably
▶︎ Inflation surprises picking up
     >>BEAR<<
▶︎ Bullish sentiment
▶︎ Divergence between increasing Aussie trade balance and stagnant/falling Kiwi trade balance
     >>SUMMARY<<
It seems the market is adjusting to the divergence between the RBNZ and the RBA, so it remains a bear call overall but not vs. the AUD anymore.

***** CAD *****
     >>BULL<<
▶︎ Hawkish commentary from Macklem (again this week)
▶︎ Small improvement in PMIs
▶︎ COT positioning is near a bullish extreme
▶︎ Possible bullish price action in CL could support CAD (OPEC cuts, SPR releases ending)
▶︎ Housing market remains strong
     >>BEAR<<
▶︎ CSII lower
▶︎ Weakening economy, CESI making new lows
▶︎ Yields have softened, inverted 2s10s
     >>SUMMARY<<
Could see a bit of strength after Macklem's comments that mentioned performance vs. USD specifically.

***** CHF *****
     >>BULL<<
▶︎ CSII remains high
▶︎ Bearish sentiment
     >>BEAR<<
▶︎ 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 and bearish sentiment. It's a crowded trade, though.

***** JPY *****
     >>BULL<<
▶︎ Everyone is waiting for the next intervention, lot of verbal jawboning this week by officials
▶︎ FX interventions remain a one-man-show without international support
▶︎ And they are going to create a lot of uncertainty
     >>BEAR<<
▶︎ 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."

Changed text

Open file

"***** MACRO *****
     >>BULL<<
▶︎ ETF flows into equities, high yield credit
▶︎ Volatility has calmed down significantly with VVIX making new lows, flat skew, low TDEX etc.
▶︎ TD Ameritrade IMX is near lows
▶︎ Seasonality is very bullish for equities
     >>BEAR<<
▶︎ CNN Fear & Greed already at ""Greed""
▶︎ Credit spreads are still at/near/above recent highs
▶︎ Breadth remains disappointingly weak
▶︎ Sector performance is mixed-to-bearish
▶︎ Positioning in equities is well off supportive extremes
▶︎ Five out of eight G8 2s10s yield curves have inverted so far
▶︎ The global economy continues to weaken (e.g. PMIs)
▶︎ Equities seeing outflows globally
▶︎ Stock markets in Asia are particularly weak, there's no sign of Chinese growth picking up
▶︎ Weakness in copper and metals
     >>SUMMARY<<
Things look a lot more bullish than two weeks ago: the dovish last words before the Fed blackout, the market talking about a Fed pivot, two dovish CBs (beside the BOJ), volatility has calmed down, we see flows into risk assets. The fundamentals are still as bad as it gets but this market wants to rally. Breadth is still bad, the wrong sectors are performing, credit spreads are still wide. The next test will be the market's reaction to Powell on Thursday. Long bias until then.

***** USD *****
     >>BULL<<
▶︎ GDP growth in Q4 picking up (GDPNow)
▶︎ Breakevens, 5y5y and RINF all off lows
▶︎ Flows into USD continue
▶︎ CESI is rising and outperforming globally, labour market remains strong... for now it's a soft landing
▶︎ Slowing global growth (PMIs getting worse globally, Fidelity Business Cycles)
     >>BEAR<<
▶︎ We've entered the Fed blackout period on very dovish footing
▶︎ Three CBs intervening (or rumoured to intervene) on behalf of their currencies: Japan, China, India
▶︎ Housing is seeing one bad print after the other
▶︎ Breakevens are up yet real yields are lagging... if they don't catch up it's going to be a drag on USD
▶︎ It feels like everybody is already long... but then: dollar is the new TINA
     >>SUMMARY<<
The dollar is still a fundamental long, but the market is in Fed-Pivot mode, which should bolster risk assets and hamper the dollar for a while.

***** EUR *****
     >>BULL<<
▶︎ Inherent strength
▶︎ CESI still going higher
▶︎ European stock markets outperforming
▶︎ Shorts haven't been pared down yet (see PAIN)
▶︎ While PMIs have all been bad, the DE and EU Services PMIs surprised/were in line
     >>BEAR<<
▶︎ Cracks in the relatively hawkish front of ECB GC members are showing up
▶︎ No discussion on QT at the ECB meeting this week and probably not at the next one
     >>SUMMARY<<
It's been performing pretty well so far but upcoming data for EUR is all relatively bad this week.

***** GBP *****
     >>BULL<<
▶︎ It's been performing way better than expected... though for now I believe that's still mostly fallout from the Truss mess and not for fundamental reasons
▶︎ CDS have come down
▶︎ Drop in Inflation Surprise Index (CSII) is a small but positive sign
     >>BEAR<<
▶︎ A lot of bunnies still aren't out of the hat (budget, gilt sales)
▶︎ PMIs have weakened
▶︎ Bearish seasonality
▶︎ Flows out of GBP
     >>SUMMARY<<
The fact that it has outperformed everything over the last few weeks has been pretty surprising to me. But then, the move down was extreme and volatile, so this will likely take some time to settle down. Fundamentally still a short.

***** AUD *****
     >>BULL<<
▶︎ Hot CPI print this week right before upcoming RBA meeting
▶︎ One of the few PMI outperformers
▶︎ Bullish 25-delta risk reversal

     >>BEAR<<
▶︎ Dovish central bank
▶︎ CESI is near lows
▶︎ PMIs in Asia deteriorating further, China is a drag on AUD
▶︎ Seasonality is bearish
     >>SUMMARY<<
RBA on Tuesday, we'll see how data-dependent they are after this week's CPI. For now: dovish central bank, weak growth in Asia/China and lacklustre performance during the recent risk-on period. If the RBA doesn't put in a major hawkish surprise it remains a short.

***** NZD *****
     >>BULL<<
▶︎ Clear outperformance of NZD vs. AUD since the RBA turned dovish 
▶︎ CESI has picked up notably
▶︎ Inflation surprises picking up
▶︎ Risk reversal seeing some upside
     >>BEAR<<
▶︎ Divergence between increasing Aussie trade balance and stagnant/falling Kiwi trade balance
     >>SUMMARY<<
The market is adjusting to the divergence between the RBNZ and the RBA, so it remains a bear call overall but not vs. the AUD anymore.

***** CAD *****
     >>BULL<<
▶︎ It's showing some resilience despite the dovish BOC
▶︎ Small improvement in PMIs
▶︎ COT positioning is near a bullish extreme
▶︎ Housing market remains strong
     >>BEAR<<
▶︎ Dovish and smaller-than-expected hike from the BOC
▶︎ CSII lower
▶︎ Weakening economy, CESI making new lows
▶︎ Yields have softened, inverted 2s10s
     >>SUMMARY<<
It looks dovish after the BOC but the drivers are mainly crude oil and the SPX, so it could see some upside as risk assets rally, especially since AUD is constrained by weakness in Asia

***** CHF *****
     >>BULL<<
▶︎ CSII remains high
▶︎ PAIN shows shorts haven't been covered yet
     >>BEAR<<
▶︎ CESI has taken quite a nosedive and no sign of picking up
▶︎ Inherent weakness
▶︎ Inflation not surprising to the upside anymore
▶︎ Yields are underperforming

     >>SUMMARY<<
The weak performance has surprised me. It's clearly not driven by the SNB, and if risk assets rally CHF will face more headwinds. Change to neutral.

***** JPY *****
     >>BULL<<
▶︎ The FX interventions haven't been very successful but now it's not just the BOJ but the Indian and Chinese as well
▶︎ Treasury yields have backed off
     >>BEAR<<
▶︎ Another expectedly dovish BOJ meeting, the small sentence about inflation expectations won't change anything
▶︎ The divergence between the BOJ and every other central bank isn't getting any smaller
     >>SUMMARY<<
It's only going to strengthen if the dollar comes down. The three-sided currency interventions might change the course a bit but they won't turn the tide. A short from good levels."