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fx:macro Summary Changes 2023_05_13

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"06.05.23

"13.05.23

***** MACRO *****

>>BULL<<

▶︎ FX volatility is still pretty low and falling

▶︎ The VIX term structure is steep and well above cash VIX

▶︎ COT data for the ES is very bullish

▶︎ The Chinese OECD CLI has turned around

>>BEAR<<

▶︎ Risk-on currencies aren't performing sustainably

▶︎ Most Asian and EM PMIs are weaker

▶︎ Market breadth isn't looking healthy

▶︎ The Global CESI is falling

▶︎ Market breadth isn't looking healthy and the A/D line is diverging lower

▶︎ Sectors are weakening: only Tech, Utilities and Staples have outperformed the SPX, and offensives/defensives are lower

▶︎ Treasury futures COT positioning is mostly bullish

▶︎ VIX/VVIX correlation signal has triggered and is still in effect

▶︎ Industrial metals aren't performing

▶︎ CL has closed the OPEC gap on the chart: the cut is bearish

▶︎ CL has closed the OPEC gap on the chart: the cut was bearish

>>SUMMARY<<

Things are as unclear as they were last week (and the weeks before). The debt ceiling is coming up and regional banks are still not out of the woods but stocks are higher rather than lower with pretty bad breadth. The global economy still isn't doing well, all four Chinese PMIs this week disappointed and commodities aren't seeing any upside. To me, it's still a market where I just don't want to take risk.

Chinese data over the last few weeks was bad, US and German data has been weaker too. The S&P is mostly going sideways and market breadth is looking worse than it did a week ago. I still don't see enough reasons to go long any risk assets at this point.

***** USD *****

>>BULL<<

▶︎ The labour market just isn't cracking

▶︎ COT positioning is still bullish

▶︎ Positive seasonality

▶︎ GDPNow for Q2 has started strong

>>BEAR<<

▶︎ Lower CPI and PPI, lower consumer inflation expectations

▶︎ The 5y breakeven rate is below the 10y

▶︎ Dovish FOMC statement, the door is open to a pause

▶︎ Powell tried to sound hawkish but the hawks aren't going for it with Bullard very tame on Friday

▶︎ CESI has dropped, CSII is lower too

>>SUMMARY<<

The forward pricing of short-term rates is at odds with the higher-for-longer message the Fed has sent, and positioning is clearly in favour of the dollar. We'll get CPI and PPI data this week with a slight inflationary bias (Core CPI lower, though). There's a risk we might see USD strength here. I'm still looking towards a short because of the trough in the dollar smile but my conviction has dropped markedly. I'm changing the bias to neutral.

Higher initial claims and worse consumer sentiment this week both led to bullish reactions in USD. Not sure why the dollar should go much higher from here except for the positioning issue in EUR and GBP.

***** EUR *****

>>BULL<<

▶︎ ECB hawks are still trying to go for more hikes

▶︎ All in all, the ECB statement was a mixed bag but Lagarde tried to sound hawkish and no one argued for unchanged rates

▶︎ Inherent strength

▶︎ Sentiment is bearish

>>BEAR<<

▶︎ CESI is heading lower

▶︎ German and Eurozone PMIs on the heatmap are weaker

▶︎ OECD CLI for Germany has picked up

▶︎ COT positioning is at a bearish extreme and Large Trader net positions aren't confirming the strength in EUR

▶︎ Bearish seasonality

>>SUMMARY<<

The reaction to the ECB and Lagarde looks like the market was shooting for a bit too much. The post-ECB sources showed that hawks in the GC are losing steam and even uber-hawk Müller argued for patience after the dismal German Factory Orders print on Friday. The falling CESI is a bad sign for EURUSD and positioning is clearly bearish, so I expect the Euro to be weaker going forward. Changing the bias accordingly.

More weak data this week from EUR, next week doesn't look like it's going to be much better. The familiar ECB hawks are still sounding hawkish but that's nothing new and last week's sources after the ECB statement didn't give much hope in that regard. So we have deteriorating economic data, a falling CESI and the positioning issue that makes EUR a short.

***** GBP *****

>>BULL<<

▶︎ Inherent strength

▶︎ Hawkish Monetary Policy Report with higher CPI and inflation projections, and a higher Bank Rate

▶︎ CESI is still still going strong

▶︎ CSII has been going up

▶︎ Yields are outperforming, 2s10s are bear flattening

▶︎ Bearish sentiment

>>BEAR<<

▶︎ It was a hawkish hike by the BoE this week but GBP is down

▶︎ PMI has worsened

▶︎ COT positioning is now bearish 6B as well

▶︎ COT positioning is bearish

▶︎ Bearish seasonality

>>SUMMARY<<

We'll probably get another 25 bps from the BoE on Thursday. The UK is the only G8 economy with CPI still in double-digits, so I can imagine them coming in on the hawkish side but the MPC vote split has been a mess and there hasn't been much in terms of hawkish commentary in the last few weeks. Based on how GBP has traded recently, the bar for a happy market reaction is probably pretty high.

The market didn't like the BoE's decision even though the MPR was quite hawkish. The neutral bias reflects that I've been burned by GBP quite often over the last months, and right now there are too many conflicting things going on. I'll just watch how it's going to trade over the next week or so.

***** AUD *****

>>BULL<<

▶︎ Surprise hike by the RBA but dovish-sounding statement

▶︎ CPI and GDP projections lowered in the SOMP

▶︎ Bear flattening in 2s10s

▶︎ AUD is up this week despite the bad PMI prints out of China

▶︎ CESI has picked up markedly

▶︎ CSII is higher

>>BEAR<<

▶︎ It hasn't traded well when data out of China was positive, so this still remains a bearish factor

▶︎ Weaker PMI on the Bloomberg heatmap

▶︎ Bearish seasonality

▶︎ Bullish sentiment

>>SUMMARY<<

The RBA surprised, China data was bad and AUD is higher on the week. I'm sceptical that this will last, though, but I'm open to be proven wrong. If AUD managed to turn around and go higher it would be a positive sign for my overall macro bias. I'm leaving it at bearish for now.

There isn't anything materially new compared to last week: AUD hasn't benefitted much from the RBA's surprise hike, so I doubt the RBA Minutes next week will bring much support. Also, Chinese data next week is expected to be positive but AUD hasn't benefitted from that recently. What's more positive for the currency is the bear flattener and the improving CESI but as long as AUD doesn't follow through it's still a short.

***** NZD *****

>>BULL<<

▶︎ Hot labour market print this week

>>BEAR<<

▶︎ Disappointing inflation expectations print on Friday

▶︎ Bullish sentiment

▶︎ It's inherently weak

▶︎ CPI way below expectations last week

▶︎ CESI has dropped, the CESI spread AUD-NZD is rising

▶︎ CESI is low, the CESI spread AUD-NZD is rising

▶︎ CSII has dropped too

>>SUMMARY<<

The CESI spread AUD-NZD and the divergence in inflation surprises (CSII) are clearly in favour of AUD and not NZD.

No reason to change the bias here either.

***** CAD *****

>>BULL<<

▶︎ Another hot labour market report on Friday

▶︎ PMI has improved on the heatmap

▶︎ COT positioning is bullish, Dealers are near multi-year long levels

▶︎ 25-delta risk reversal is looking bullish

>>BEAR<<

▶︎ The BOC and Macklem sound dovish compared to almost everyone else

▶︎ Crude oil has shown weakness

▶︎ Crude oil just isn't performing

▶︎ CESI is lower

Gespeicherte Diffs

Originaltext

Datei öffnen

"06.05.23
***** MACRO *****
     >>BULL<<
▶︎ FX volatility is still pretty low and falling
▶︎ The VIX term structure is steep and well above cash VIX
▶︎ COT data for the ES is very bullish
     >>BEAR<<
▶︎ Risk-on currencies aren't performing sustainably
▶︎ Most Asian and EM PMIs are weaker
▶︎ Market breadth isn't looking healthy
▶︎ Treasury futures COT positioning is mostly bullish
▶︎ VIX/VVIX correlation signal has triggered and is still in effect
▶︎ Industrial metals aren't performing
▶︎ CL has closed the OPEC gap on the chart: the cut is bearish
     >>SUMMARY<<
Things are as unclear as they were last week (and the weeks before). The debt ceiling is coming up and regional banks are still not out of the woods but stocks are higher rather than lower with pretty bad breadth. The global economy still isn't doing well, all four Chinese PMIs this week disappointed and commodities aren't seeing any upside. To me, it's still a market where I just don't want to take risk.

***** USD *****
     >>BULL<<
▶︎ The labour market just isn't cracking
▶︎ COT positioning is still bullish
▶︎ Positive seasonality
▶︎ GDPNow for Q2 has started strong
     >>BEAR<<
▶︎ Dovish FOMC statement, the door is open to a pause
▶︎ Powell tried to sound hawkish but the hawks aren't going for it with Bullard very tame on Friday
▶︎ CESI has dropped, CSII is lower too
     >>SUMMARY<<
The forward pricing of short-term rates is at odds with the higher-for-longer message the Fed has sent, and positioning is clearly in favour of the dollar. We'll get CPI and PPI data this week with a slight inflationary bias (Core CPI lower, though). There's a risk we might see USD strength here. I'm still looking towards a short because of the trough in the dollar smile but my conviction has dropped markedly. I'm changing the bias to neutral.

***** EUR *****
     >>BULL<<
▶︎ All in all, the ECB statement was a mixed bag but Lagarde tried to sound hawkish and no one argued for unchanged rates
▶︎ Inherent strength
▶︎ Sentiment is bearish
     >>BEAR<<
▶︎ CESI is heading lower
▶︎ German and Eurozone PMIs on the heatmap are weaker
▶︎ COT positioning is at a bearish extreme and Large Trader net positions aren't confirming the strength in EUR
▶︎ Bearish seasonality
     >>SUMMARY<<
The reaction to the ECB and Lagarde looks like the market was shooting for a bit too much. The post-ECB sources showed that hawks in the GC are losing steam and even uber-hawk Müller argued for patience after the dismal German Factory Orders print on Friday. The falling CESI is a bad sign for EURUSD and positioning is clearly bearish, so I expect the Euro to be weaker going forward. Changing the bias accordingly.

***** GBP *****
     >>BULL<<
▶︎ Inherent strength
▶︎ CESI is still still going strong
▶︎ CSII has been going up
▶︎ Yields are outperforming, 2s10s are bear flattening
▶︎ Bearish sentiment
     >>BEAR<<
▶︎ PMI has worsened
▶︎ COT positioning is now bearish 6B as well
▶︎ Bearish seasonality
     >>SUMMARY<<
We'll probably get another 25 bps from the BoE on Thursday. The UK is the only G8 economy with CPI still in double-digits, so I can imagine them coming in on the hawkish side but the MPC vote split has been a mess and there hasn't been much in terms of hawkish commentary in the last few weeks. Based on how GBP has traded recently, the bar for a happy market reaction is probably pretty high.

***** AUD *****
     >>BULL<<
▶︎ Surprise hike by the RBA but dovish-sounding statement
▶︎ CPI and GDP projections lowered in the SOMP
▶︎ Bear flattening in 2s10s
▶︎ AUD is up this week despite the bad PMI prints out of China
▶︎ CESI has picked up markedly
▶︎ CSII is higher
     >>BEAR<<
▶︎ It hasn't traded well when data out of China was positive, so this still remains a bearish factor
▶︎ Weaker PMI on the Bloomberg heatmap
▶︎ Bearish seasonality
▶︎ Bullish sentiment
     >>SUMMARY<<
The RBA surprised, China data was bad and AUD is higher on the week. I'm sceptical that this will last, though, but I'm open to be proven wrong. If AUD managed to turn around and go higher it would be a positive sign for my overall macro bias. I'm leaving it at bearish for now.

***** NZD *****
     >>BULL<<
▶︎ Hot labour market print this week
     >>BEAR<<
▶︎ Bullish sentiment
▶︎ It's inherently weak
▶︎ CPI way below expectations last week
▶︎ CESI has dropped, the CESI spread AUD-NZD is rising
▶︎ CSII has dropped too
     >>SUMMARY<<
The CESI spread AUD-NZD and the divergence in inflation surprises (CSII) are clearly in favour of AUD and not NZD.

***** CAD *****
     >>BULL<<
▶︎ Another hot labour market report on Friday
▶︎ COT positioning is bullish, Dealers are near multi-year long levels
▶︎ 25-delta risk reversal is looking bullish
     >>BEAR<<
▶︎ The BOC and Macklem sound dovish compared to almost everyone else
▶︎ Crude oil has shown weakness
▶︎ CESI is lower
▶︎ Bullish sentiment

>>SUMMARY<<
The economy isn't doing too badly and the labour market is hot. On the negative side, the BOC isn't helping and commodity performance including crude oil is bearish (correlation CAD vs. CL is about 0.40-0.80 at the moment). I'm changing the bias to neutral because I changed the USD bias too.

***** CHF *****
     >>BULL<<
▶︎ The SNB is still sounding hawkish
▶︎ It's the currency with by far the worst sentiment; USDCHF and EURCHF are still the two FX pairs with the most bulls
     >>BEAR<<
▶︎ COT positioning is bearish and doesn't confirm CHF strength
▶︎ CESI is dropping
▶︎ Weaker PMI on the heatmap
▶︎ Another CPI miss this week and a dropping Citi Inflation Surprise Index
     >>SUMMARY<<
Unchanged from last week: It looks pretty overextended and COT positioning is now bearish. Sentiment is still very much in favour of it and SNB speakers don't miss a chance to tell everyone they'd hike more if necessary.

***** JPY *****
     >>BULL<<
▶︎ Tokyo Core CPI still >3%, it's surprising and it's not coming in deflationary
▶︎ Ueda left the door open to a pivot, and inflation forecasts in the BOJ's Outlook have been upgraded
     >>BEAR<<
▶︎ Still the most dovish central bank out there
▶︎ Bullish sentiment
▶︎ Inherent weakness
     >>SUMMARY<<
There's been nothing new since last week but Cash Earnings are expected to come in higher this week, and we'll get the BOJ Summary of Opinions on Friday. Since JPY is mostly trading as a safe haven currency at the moment (correlation to VIX >0.7), I don't expect the market to listen to the fundamentals too much."

Bearbeitung

Datei öffnen

"13.05.23
***** MACRO *****
     >>BULL<<
▶︎ FX volatility is still pretty low and falling
▶︎ The VIX term structure is steep and well above cash VIX
▶︎ COT data for the ES is very bullish
▶︎ The Chinese OECD CLI has turned around
     >>BEAR<<
▶︎ Risk-on currencies aren't performing sustainably
▶︎ Most Asian and EM PMIs are weaker
▶︎ The Global CESI is falling
▶︎ Market breadth isn't looking healthy and the A/D line is diverging lower
▶︎ Sectors are weakening: only Tech, Utilities and Staples have outperformed the SPX, and offensives/defensives are lower
▶︎ Treasury futures COT positioning is mostly bullish
▶︎ Industrial metals aren't performing
▶︎ CL has closed the OPEC gap on the chart: the cut was bearish
     >>SUMMARY<<
Chinese data over the last few weeks was bad, US and German data has been weaker too. The S&P is mostly going sideways and market breadth is looking worse than it did a week ago. I still don't see enough reasons to go long any risk assets at this point.

***** USD *****
     >>BULL<<
▶︎ COT positioning is still bullish
▶︎ Positive seasonality
▶︎ GDPNow for Q2 has started strong
     >>BEAR<<
▶︎ Lower CPI and PPI, lower consumer inflation expectations
▶︎ The 5y breakeven rate is below the 10y
▶︎ Dovish FOMC statement, the door is open to a pause
▶︎ CESI has dropped, CSII is lower too

>>SUMMARY<<
Higher initial claims and worse consumer sentiment this week both led to bullish reactions in USD. Not sure why the dollar should go much higher from here except for the positioning issue in EUR and GBP.

***** EUR *****
     >>BULL<<
▶︎ ECB hawks are still trying to go for more hikes
▶︎ All in all, the ECB statement was a mixed bag but Lagarde tried to sound hawkish and no one argued for unchanged rates
     >>BEAR<<
▶︎ CESI is heading lower
▶︎ German and Eurozone PMIs on the heatmap are weaker
▶︎ OECD CLI for Germany has picked up
▶︎ COT positioning is at a bearish extreme and Large Trader net positions aren't confirming the strength in EUR
▶︎ Bearish seasonality
     >>SUMMARY<<
More weak data this week from EUR, next week doesn't look like it's going to be much better. The familiar ECB hawks are still sounding hawkish but that's nothing new and last week's sources after the ECB statement didn't give much hope in that regard. So we have deteriorating economic data, a falling CESI and the positioning issue that makes EUR a short.

***** GBP *****
     >>BULL<<
▶︎ Hawkish Monetary Policy Report with higher CPI and inflation projections, and a higher Bank Rate
▶︎ CESI is still still going strong
▶︎ CSII has been going up
▶︎ Yields are outperforming, 2s10s are bear flattening
     >>BEAR<<
▶︎ It was a hawkish hike by the BoE this week but GBP is down
▶︎ PMI has worsened
▶︎ COT positioning is bearish
▶︎ Bearish seasonality
     >>SUMMARY<<
The market didn't like the BoE's decision even though the MPR was quite hawkish. The neutral bias reflects that I've been burned by GBP quite often over the last months, and right now there are too many conflicting things going on. I'll just watch how it's going to trade over the next week or so.

***** AUD *****
     >>BULL<<
▶︎ Surprise hike by the RBA but dovish-sounding statement
▶︎ CPI and GDP projections lowered in the SOMP
▶︎ Bear flattening in 2s10s
▶︎ CESI has picked up markedly
▶︎ CSII is higher
     >>BEAR<<
▶︎ It hasn't traded well when data out of China was positive, so this still remains a bearish factor
▶︎ Weaker PMI on the Bloomberg heatmap
▶︎ Bearish seasonality
▶︎ Bullish sentiment
     >>SUMMARY<<
There isn't anything materially new compared to last week: AUD hasn't benefitted much from the RBA's surprise hike, so I doubt the RBA Minutes next week will bring much support. Also, Chinese data next week is expected to be positive but AUD hasn't benefitted from that recently. What's more positive for the currency is the bear flattener and the improving CESI but as long as AUD doesn't follow through it's still a short.

***** NZD *****
     >>BULL<<

>>BEAR<<
▶︎ Disappointing inflation expectations print on Friday
▶︎ Bullish sentiment
▶︎ It's inherently weak
▶︎ CPI way below expectations last week
▶︎ CESI is low, the CESI spread AUD-NZD is rising
▶︎ CSII has dropped too
     >>SUMMARY<<
No reason to change the bias here either.

***** CAD *****
     >>BULL<<
▶︎ PMI has improved on the heatmap
▶︎ COT positioning is bullish, Dealers are near multi-year long levels
▶︎ 25-delta risk reversal is looking bullish
     >>BEAR<<
▶︎ The BOC and Macklem sound dovish compared to almost everyone else
▶︎ Crude oil just isn't performing
▶︎ CESI is lower
▶︎ Bullish sentiment

>>SUMMARY<<
Unchanged from last week: The economy isn't doing too badly and the labour market is hot. On the negative side, the BOC isn't helping and commodity performance including crude oil is bearish (correlation CAD vs. CL is about 0.40-0.80 at the moment).

***** CHF *****
     >>BULL<<
▶︎ The SNB is still sounding hawkish, again this week
▶︎ It's the currency with by far the worst sentiment; USDCHF and EURCHF are still the two FX pairs with the most bulls
     >>BEAR<<
▶︎ COT positioning is bearish and doesn't confirm CHF strength
▶︎ CESI and CSII are both dropping
▶︎ Weaker PMI on the heatmap
     >>SUMMARY<<
Literally no new information compared to last week, so it remains a long: It looks pretty overextended and COT positioning is now bearish. Sentiment is still very much in favour of it and SNB speakers don't miss a chance to tell everyone they'd hike more if necessary.

***** JPY *****
     >>BULL<<
▶︎ Tokyo Core CPI still >3%, it's surprising and it's not coming in deflationary
▶︎ Ueda left the door open to a pivot, and inflation forecasts in the BOJ's Outlook have been upgraded
     >>BEAR<<
▶︎ Still the most dovish central bank out there
▶︎ Bullish sentiment
▶︎ Inherent weakness
     >>SUMMARY<<
There isn't much news here, either: we're back at the stage where the BOJ talks about what they will do IF they achieve their inflation target, which is neither hawkish nor dovish, and the market mostly cares about risk-on/risk-off at the moment anyway."

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