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fx:macro Summary Changes 2022_11_12

Created about a year agoDiff never expires

47 removals

135 lines

55 additions

140 lines

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

>>BULL<<

▶︎ Rumours of China reopening... seems unfounded for now but the market is trading on it

▶︎ The Chinese mini-pivot on Covid with small changes to Covid protocols has made Asian stock markets and Semiconductors rally

▶︎ Volatility indexes are bullish, no indication of stress whatsoever

▶︎ GDP growth is picking up, inflation is coming down: goldilocks again

▶︎ Volatility metrics are bullish, no indication of stress whatsoever

▶︎ Sector performance has been outright bullish with offensives outperforming defensives

▶︎ Breadth is bullish, the rally in stocks sees enough participation to go on

▶︎ TD Ameritrade IMX is near lows

▶︎ Seasonality is very bullish for equities

▶︎ Breadth is a tad more bullish than bearish right now but it's still a close call

▶︎ Copper has seen some upside

▶︎ Stocks are up despite the meltdowns in crypto

>>BEAR<<

▶︎ AAII Bull-Bear already back at neutral, CNN Fear & Greed already at ""Greed""

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

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

▶︎ Sector performance is still mixed-to-bearish

▶︎ Six out of eight G8 2s10s yield curves have inverted so far (latest: DE this week)

▶︎ 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, the only sector with inflows is Utilities

▶︎ Equities (still) seeing outflows globally

▶︎ Energy futures haven't performed this week despite the China news and a buy-everything-rally

▶︎ The stocks that are rallying are the most beaten-down names, so there's probably a lot of short-squeezing and dead-cat-bouncing going on

>>SUMMARY<<

It's still bad fundamentally. The market's reaction on Wednesday between the FOMC statement and the press conference was telling: expectations (hope for a pivot) and reality (higher terminal rate) are pretty far apart. But it's hard to completely discount that volatility incl. MOVE being very calm waters, breadth being not too bad, and seasonality being bullish for the rest of the year. On the other hand, credit spreads remain wide, the wrong sectors are driving the stock market, and the PMI heatmap is a sea of red. I'm conflicted, making a short-term call here would feel like complete guesswork.

The market has wanted to rally for weeks now, and it got its catalyst with the CPI print and what it perceives as a Fed pivot. The fundamental picture hasn't improved but sentiment has changed completely with the China headlines and the Fed pivot. There's a real possibility of hawkish Fed commentary to counter that but I doubt that will be enough to change the trajectory. Strategically still short, tactical long bias for risk-assets until the next CPI/PCE prints tell me otherwise. Using higher prices in stocks to increase tail hedges.

***** USD *****

>>BULL<<

▶︎ Very hawkish FOMC press conference despite the dovish statement

▶︎ It's hard to imagine the run-up in stocks and the fall in yields won't provoke hawkish Fed commentary

▶︎ GDP growth in Q4 picking up (GDPNow)

▶︎ Flows into USD continue

▶︎ CESI is rising, labour market remains strong... for now it's a soft landing

▶︎ Slowing global growth (PMIs getting worse globally, Fidelity Business Cycles)

>>BEAR<<

▶︎ Fed talk is now about slowing hikes, 25 bps in December have already been mentioned; this isn't priced in yet

▶︎ The cooler-than-expected CPI print has cemented the market's expectation of a Fed pivot

▶︎ USD has lost quite some momentum

▶︎ Fed speakers continue to talk about slowing hikes, 25 bps in December have already been mentioned (albeit just once); this isn't priced in yet

▶︎ STIRs pricing significant rate cuts already for 2023/24

▶︎ The options market is pricing USD lower vs. most other G8s (25-delta risk reversals)

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

▶︎ Housing is seeing one bad print after the other

▶︎ Real yields haven't moved higher for a while

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

>>SUMMARY<<

The bearish arguments are starting to pile up a bit: 25 bps in December is already being talked about but it isn't priced in at all, the message of slower hikes (albeit to a higher terminal) isn't what the market wants to hear, the options market has a pretty bearish opinion on USD, and the interventions (stealth and/or rumoured) against it. With the longer-term picture in mind it's still a strategic long but the reasons for a tactical short are there.

It's basically the opposite of the Macro view above: China headlines, perceived Fed pivot, buy-everything sentiment, the stretched USD long positioning all see USD downside. It's going to be interesting to see Fed speakers' reactions but for now they've been decidely not hawkish, and I doubt the usual talking points will be able to turn the tide now. The short-term bias is clearly lower but on a longer-term timeframe I don't see the dollar having put in its high.

***** EUR *****

>>BULL<<

▶︎ Inherent strength

▶︎ The ECB is starting to look relatively hawkish compared to the Fed, BoE, BOC, RBA, BOJ

▶︎ Hawkish comments from policymakers continue (on rates and QT)

▶︎ Yields are performing, especially the short end (central bank)

▶︎ European stock markets are outperforming

▶︎ Significant flows into EUR

▶︎ CESI still going higher

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

▶︎ There hasn't been any nuclear rhetoric from Russia for a while, and it feels as if a positive catalyst from the conflict is a bit more possible than it was in the past

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

>>BEAR<<

▶︎ European PMIs have weakened further

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

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

▶︎ COT positioning is bearish

>>SUMMARY<<

If the thesis of a weaker USD in the short term is correct, EUR should benefit. It has been relatively strong over the last weeks already, and I expect it to ""look"" even stronger vs. the dovish backdrop in the sterling. The energy situation seems to be contained for now thanks to warmer weather, there hasn't been much market impact from the war in Ukraine over the last weeks. It's not a heartfelt call but I'm changing the bias to long.

Similar to last week: the EUR has several points going for it besides a weaker USD (and its strength even during the dollar bull run has been noteworthy): the ECB looks credibly hawkish, the energy situation has calmed for now, the Russia/Ukraine war isn't delivering any fresh catalysts to the downside, stock markets are up, yields are performing.

***** GBP *****

>>BULL<<

▶︎ Gilt sales have started without much fanfare

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

▶︎ No reaction to worse-than-expected GDP print

▶︎ CESI ticking up

>>BEAR<<

▶︎ Dovish hike with two dissenters, one of which wanted to go for only 25 bps

▶︎ Very dovish central bank despite some hawkish comments this week

▶︎ Dovish guidance: further hikes ""may be"" required

▶︎ Depressing economic outlook

▶︎ Lots of warnings about overtightening and market expectations being out of line

▶︎ Worst OECD CLI among G8

▶︎ The MPR was as depressing as the last one

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

▶︎ PMIs have weakened

▶︎ Bearish seasonality

▶︎ Flows out of GBP

>>SUMMARY<<

I think the (surprising) outperformance of the last few weeks has come to an end with the dovish message from the Old Lady.

Still bearish. At least the government now look a bit more like they knows what they're doing but I can't see much upside here.

***** AUD *****

>>BULL<<

▶︎ Hot CPI print this week right before upcoming RBA meeting

▶︎ China reopening news/rumours/headlines will benefit the AUD (that being said: AUD performance has been a bit muted on the news so far)

▶︎ One of the few PMI outperformers

▶︎ Bullish 25-delta risk reversal

▶︎ Relative outperformer in the OECD CLI

>>BEAR<<

▶︎ Dovish central bank: they didn't hike 50 bps after the hot CPI so it's doubtful they will go for 50 bps again despite keeping the rhetoric

▶︎ Probably the most dovish central bank beside the BOJ now

▶︎ Aussie hasn't profited much from the China reopening rumours

▶︎ CESI is near lows

▶︎ Rumours of a China pivot on zero Covid... but nothing substantial so far

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

▶︎ Seasonality is bearish

▶︎ Has seen outflows over the last weeks

>>SUMMARY<<

Doesn't have much going for it at the moment with the dovish RBA, hardly any strength despite the rumoured Xi-pivot and the much better-looking NZD next to it.

Fundamentally nothing to be excited about but it's the prime risk-on currency and proxy of a China reopening, so it's a tactical long.

***** NZD *****

>>BULL<<

▶︎ Inherent strength

▶︎ Outperformance in yields

▶︎ CESI has picked up notably

▶︎ Inflation surprising to the upside again (CSII)

▶︎ Risk reversal seeing some upside

▶︎ COT positioning is bullish

>>BEAR<<

▶︎ Bullish sentiment

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

>>SUMMARY<<

Change to neutral bias: I don't expect a stellar performance because of the macro backdrop but it has started to look more attractive.

Similar to AUD but with a more hawkish central bank and an economy that seems to perform better. Not sure about its outperformance of AUD anymore: yes, there's a divergence between the central banks but that's been there for a while now and I can imagine reflation/China having more impact on AUD.

***** CAD *****

>>BULL<<

▶︎ CESI has picked up from lows, hot labour market print on Fri

▶︎ CESI has picked up from lows

▶︎ It's showing some resilience despite the dovish BOC

▶︎ Small improvement in PMIs

▶︎ COT positioning is near a bullish extreme

▶︎ Housing market remains strong

▶︎ Bearish sentiment

>>BEAR<<

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

▶︎ Flows out of CAD

▶︎ CSII lower

▶︎ 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 if risk assets rally, especially since AUD is constrained by weakness in Asia.

Apparently its drivers are the USD and crude oil at the moment (and not SPX). Crude not rallying despite the buy-everything trade and the case for a weaker USD make me change the bias to bearish. But it feels like I don't really understand CAD at the moment.

***** CHF *****

>>BULL<<

▶︎ PMI still holding up (one of the few that's still green on the map)

▶︎ PAIN shows shorts haven't been covered yet

▶︎ Bearish sentiment

▶︎ The most bearish sentiment, especially USDCHF and EURCHF

▶︎ Hawkish comment from Jordan

▶︎ Hawkish comments again this week

>>BEAR<<

▶︎ CSII has tanked

▶︎ 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<<

I'm still a bit surprised by how weak it is.

Last week: I'm still a bit surprised by how weak it is. This week: hawkish commentary and a short-squeeze. I leave the bias at neutral because I don't know how much further this move has to go: the short-squeeze could last a while with a weaker USD but my conviction is too low to change back to bullish (again).

***** JPY *****

>>BULL<<

▶︎ Inflation surprises have picked up, the tone of the talk from policymakers has also shifted subtly (Kuroda's comments this week and last)

▶︎ Inflation surprises have picked up, the tone of the talk from policymakers has also shifted subtly (see the Summary of Opinions this week)

▶︎ 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 tanked

▶︎ Treasury yields have backed off

▶︎ Relative outperformer in the OECD CLI

▶︎ Positioning is still very bullish (I don't really know why I hadn't included that over the last weeks, just look at COT)

>>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<<

Even if everyone is starting to slow their rate hikes now, the yield differentials will keep widening. The FX interventions probably won't have a lasting effect. Not sure if I'm reading too much into the comments about tweaks to monetary policy and wages growth but it seems like it's a very subtle shift in messaging."

While the perceived Fed pivot will still lead to widening yield differentials, the rate of change will slow down, and apparently this (paired with lower treasury yields) was enough to trigger a short-squeeze in the USDJPY. Add the interventions and the (subtle) shift in BOJ comments and their Summary of Opinions, and it's not a short anymore."

Les différences enregistrées

Texte d'origine

Open file

"***** MACRO *****
     >>BULL<<
▶︎ Rumours of China reopening... seems unfounded for now but the market is trading on it
▶︎ Volatility indexes are bullish, no indication of stress whatsoever
▶︎ TD Ameritrade IMX is near lows
▶︎ Seasonality is very bullish for equities
▶︎ Breadth is a tad more bullish than bearish right now but it's still a close call
     >>BEAR<<
▶︎ AAII Bull-Bear already back at neutral, CNN Fear & Greed already at ""Greed""
▶︎ Credit spreads are still at/near/above recent highs
▶︎ Sector performance is still mixed-to-bearish
▶︎ 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, the only sector with inflows is Utilities
     >>SUMMARY<<
It's still bad fundamentally. The market's reaction on Wednesday between the FOMC statement and the press conference was telling: expectations (hope for a pivot) and reality (higher terminal rate) are pretty far apart. But it's hard to completely discount that volatility incl. MOVE being very calm waters, breadth being not too bad, and seasonality being bullish for the rest of the year. On the other hand, credit spreads remain wide, the wrong sectors are driving the stock market, and the PMI heatmap is a sea of red. I'm conflicted, making a short-term call here would feel like complete guesswork.

***** USD *****
     >>BULL<<
▶︎ Very hawkish FOMC press conference despite the dovish statement
▶︎ GDP growth in Q4 picking up (GDPNow)
▶︎ Flows into USD continue
▶︎ CESI is rising, labour market remains strong... for now it's a soft landing
▶︎ Slowing global growth (PMIs getting worse globally, Fidelity Business Cycles)
     >>BEAR<<
▶︎ Fed talk is now about slowing hikes, 25 bps in December have already been mentioned; this isn't priced in yet
▶︎ USD has lost quite some momentum
▶︎ The options market is pricing USD lower vs. most other G8s (25-delta risk reversals)
▶︎ Three CBs intervening (or rumoured to intervene) on behalf of their currencies: Japan, China, India
▶︎ Housing is seeing one bad print after the other
▶︎ Real yields haven't moved higher for a while
▶︎ It feels like everybody is already long... but then: dollar is the new TINA
     >>SUMMARY<<
The bearish arguments are starting to pile up a bit: 25 bps in December is already being talked about but it isn't priced in at all, the message of slower hikes (albeit to a higher terminal) isn't what the market wants to hear, the options market has a pretty bearish opinion on USD, and the interventions (stealth and/or rumoured) against it. With the longer-term picture in mind it's still a strategic long but the reasons for a tactical short are there. 

***** EUR *****
     >>BULL<<
▶︎ Inherent strength
▶︎ CESI still going higher
▶︎ 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<<
▶︎ European PMIs have weakened further
▶︎ Cracks in the relatively hawkish front of ECB GC members are showing up
▶︎ No discussion on QT at the ECB meeting last week and probably not at the next one
▶︎ COT positioning is bearish
     >>SUMMARY<<
If the thesis of a weaker USD in the short term is correct, EUR should benefit. It has been relatively strong over the last weeks already, and I expect it to ""look"" even stronger vs. the dovish backdrop in the sterling. The energy situation seems to be contained for now thanks to warmer weather, there hasn't been much market impact from the war in Ukraine over the last weeks. It's not a heartfelt call but I'm changing the bias to long.

***** GBP *****
     >>BULL<<
▶︎ Gilt sales have started without much fanfare
▶︎ Drop in Inflation Surprise Index (CSII) is a small but positive sign
     >>BEAR<<
▶︎ Dovish hike with two dissenters, one of which wanted to go for only 25 bps
▶︎ Dovish guidance: further hikes ""may be"" required
▶︎ Lots of warnings about overtightening and market expectations being out of line
▶︎ The MPR was as depressing as the last one
▶︎ A lot of bunnies still aren't out of the hat (budget, gilt sales)
▶︎ PMIs have weakened
▶︎ Bearish seasonality
▶︎ Flows out of GBP
     >>SUMMARY<<
I think the (surprising) outperformance of the last few weeks has come to an end with the dovish message from the Old Lady.

***** 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: they didn't hike 50 bps after the hot CPI so it's doubtful they will go for 50 bps again despite keeping the rhetoric
▶︎ Aussie hasn't profited much from the China reopening rumours
▶︎ CESI is near lows
▶︎ Rumours of a China pivot on zero Covid... but nothing substantial so far
▶︎ PMIs in Asia deteriorating further, China is a drag on AUD
▶︎ Seasonality is bearish
     >>SUMMARY<<
Doesn't have much going for it at the moment with the dovish RBA, hardly any strength despite the rumoured Xi-pivot and the much better-looking NZD next to it.

***** NZD *****
     >>BULL<<
▶︎ Inherent strength
▶︎ Outperformance in yields
▶︎ CESI has picked up notably
▶︎ Inflation surprising to the upside again (CSII)
▶︎ Risk reversal seeing some upside
▶︎ COT positioning is bullish
     >>BEAR<<
▶︎ Bullish sentiment
▶︎ Divergence between increasing Aussie trade balance and stagnant/falling Kiwi trade balance
     >>SUMMARY<<
Change to neutral bias: I don't expect a stellar performance because of the macro backdrop but it has started to look more attractive.

***** CAD *****
     >>BULL<<
▶︎ CESI has picked up from lows, hot labour market print on Fri
▶︎ It's showing some resilience despite the dovish BOC
▶︎ Small improvement in PMIs
▶︎ COT positioning is near a bullish extreme
▶︎ Housing market remains strong
▶︎ Bearish sentiment
     >>BEAR<<
▶︎ Dovish and smaller-than-expected hike from the BOC
▶︎ CSII lower
▶︎ 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 if risk assets rally, especially since AUD is constrained by weakness in Asia.

***** CHF *****
     >>BULL<<
▶︎ PMI still holding up (one of the few that's still green on the map)
▶︎ PAIN shows shorts haven't been covered yet
▶︎ Bearish sentiment
▶︎ Hawkish comment from Jordan
     >>BEAR<<
▶︎ CSII has tanked
▶︎ 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<<
I'm still a bit surprised by how weak it is.

***** JPY *****
     >>BULL<<
▶︎ Inflation surprises have picked up, the tone of the talk from policymakers has also shifted subtly (Kuroda's comments this week and last)
▶︎ 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<<
Even if everyone is starting to slow their rate hikes now, the yield differentials will keep widening. The FX interventions probably won't have a lasting effect. Not sure if I'm reading too much into the comments about tweaks to monetary policy and wages growth but it seems like it's a very subtle shift in messaging."

Texte modifié

Open file

"***** MACRO *****
     >>BULL<<
▶︎ The Chinese mini-pivot on Covid with small changes to Covid protocols has made Asian stock markets and Semiconductors rally
▶︎ GDP growth is picking up, inflation is coming down: goldilocks again
▶︎ Volatility metrics are bullish, no indication of stress whatsoever
▶︎ Sector performance has been outright bullish with offensives outperforming defensives
▶︎ Breadth is bullish, the rally in stocks sees enough participation to go on
▶︎ TD Ameritrade IMX is near lows
▶︎ Seasonality is very bullish for equities
▶︎ Copper has seen some upside
▶︎ Stocks are up despite the meltdowns in crypto
     >>BEAR<<
▶︎ CNN Fear & Greed already at ""Greed""
▶︎ Credit spreads are still at/near/above recent highs
▶︎ Six out of eight G8 2s10s yield curves have inverted so far (latest: DE this week)
▶︎ The global economy continues to weaken (e.g. PMIs)
▶︎ Equities (still) seeing outflows globally
▶︎ Energy futures haven't performed this week despite the China news and a buy-everything-rally
▶︎ The stocks that are rallying are the most beaten-down names, so there's probably a lot of short-squeezing and dead-cat-bouncing going on
     >>SUMMARY<<
The market has wanted to rally for weeks now, and it got its catalyst with the CPI print and what it perceives as a Fed pivot. The fundamental picture hasn't improved but sentiment has changed completely with the China headlines and the Fed pivot. There's a real possibility of hawkish Fed commentary to counter that but I doubt that will be enough to change the trajectory. Strategically still short, tactical long bias for risk-assets until the next CPI/PCE prints tell me otherwise. Using higher prices in stocks to increase tail hedges.

***** USD *****
     >>BULL<<
▶︎ It's hard to imagine the run-up in stocks and the fall in yields won't provoke hawkish Fed commentary
▶︎ GDP growth in Q4 picking up (GDPNow)
▶︎ Flows into USD continue
▶︎ CESI is rising, labour market remains strong... for now it's a soft landing
▶︎ Slowing global growth (PMIs getting worse globally, Fidelity Business Cycles)
     >>BEAR<<
▶︎ The cooler-than-expected CPI print has cemented the market's expectation of a Fed pivot
▶︎ Fed speakers continue to talk about slowing hikes, 25 bps in December have already been mentioned (albeit just once); this isn't priced in yet
▶︎ STIRs pricing significant rate cuts already for 2023/24
▶︎ The options market is pricing USD lower vs. most other G8s (25-delta risk reversals)
▶︎ Three CBs intervening (or rumoured to intervene) on behalf of their currencies: Japan, China, India
▶︎ Housing is seeing one bad print after the other
▶︎ Real yields haven't moved higher for a while
     >>SUMMARY<<
It's basically the opposite of the Macro view above: China headlines, perceived Fed pivot, buy-everything sentiment, the stretched USD long positioning all see USD downside. It's going to be interesting to see Fed speakers' reactions but for now they've been decidely not hawkish, and I doubt the usual talking points will be able to turn the tide now. The short-term bias is clearly lower but on a longer-term timeframe I don't see the dollar having put in its high. 

***** EUR *****
     >>BULL<<
▶︎ The ECB is starting to look relatively hawkish compared to the Fed, BoE, BOC, RBA, BOJ
▶︎ Hawkish comments from policymakers continue (on rates and QT)
▶︎ Yields are performing, especially the short end (central bank)
▶︎ European stock markets are outperforming
▶︎ Significant flows into EUR
▶︎ CESI still going higher
▶︎ There hasn't been any nuclear rhetoric from Russia for a while, and it feels as if a positive catalyst from the conflict is a bit more possible than it was in the past
     >>BEAR<<
▶︎ European PMIs have weakened further
▶︎ No discussion on QT at the ECB meeting last week and probably not at the next one
▶︎ COT positioning is bearish
     >>SUMMARY<<
Similar to last week: the EUR has several points going for it besides a weaker USD (and its strength even during the dollar bull run has been noteworthy): the ECB looks credibly hawkish, the energy situation has calmed for now, the Russia/Ukraine war isn't delivering any fresh catalysts to the downside, stock markets are up, yields are performing.

***** GBP *****
     >>BULL<<
▶︎ Gilt sales have started without much fanfare
▶︎ Drop in Inflation Surprise Index (CSII) is a small but positive sign
▶︎ No reaction to worse-than-expected GDP print
▶︎ CESI ticking up
     >>BEAR<<
▶︎ Very dovish central bank despite some hawkish comments this week
▶︎ Depressing economic outlook
▶︎ Worst OECD CLI among G8
▶︎ PMIs have weakened
▶︎ Bearish seasonality
▶︎ Flows out of GBP

     >>SUMMARY<<
Still bearish. At least the government now look a bit more like they knows what they're doing but I can't see much upside here.

***** AUD *****
     >>BULL<<
▶︎ China reopening news/rumours/headlines will benefit the AUD (that being said: AUD performance has been a bit muted on the news so far)
▶︎ One of the few PMI outperformers
▶︎ Bullish 25-delta risk reversal
▶︎ Relative outperformer in the OECD CLI
     >>BEAR<<
▶︎ Probably the most dovish central bank beside the BOJ now
▶︎ CESI is near lows
▶︎ PMIs in Asia deteriorating further, China is a drag on AUD
▶︎ Seasonality is bearish
▶︎ Has seen outflows over the last weeks
     >>SUMMARY<<
Fundamentally nothing to be excited about but it's the prime risk-on currency and proxy of a China reopening, so it's a tactical long.

***** NZD *****
     >>BULL<<
▶︎ Inherent strength
▶︎ Outperformance in yields
▶︎ CESI has picked up notably
▶︎ Inflation surprising to the upside again (CSII)
▶︎ Risk reversal seeing some upside
▶︎ COT positioning is bullish
     >>BEAR<<
▶︎ Bullish sentiment
▶︎ Divergence between increasing Aussie trade balance and stagnant/falling Kiwi trade balance
     >>SUMMARY<<
Similar to AUD but with a more hawkish central bank and an economy that seems to perform better. Not sure about its outperformance of AUD anymore: yes, there's a divergence between the central banks but that's been there for a while now and I can imagine reflation/China having more impact on AUD.

***** CAD *****
     >>BULL<<
▶︎ CESI has picked up from lows
▶︎ Small improvement in PMIs
▶︎ COT positioning is near a bullish extreme
▶︎ Housing market remains strong
▶︎ Bearish sentiment
     >>BEAR<<
▶︎ Flows out of CAD
▶︎ CSII lower
▶︎ Yields have softened, inverted 2s10s
     >>SUMMARY<<
Apparently its drivers are the USD and crude oil at the moment (and not SPX). Crude not rallying despite the buy-everything trade and the case for a weaker USD make me change the bias to bearish. But it feels like I don't really understand CAD at the moment.

***** CHF *****
     >>BULL<<
▶︎ PMI still holding up (one of the few that's still green on the map)
▶︎ PAIN shows shorts haven't been covered yet
▶︎ The most bearish sentiment, especially USDCHF and EURCHF
▶︎ Hawkish comments again this week
     >>BEAR<<
▶︎ CSII has tanked
▶︎ CESI has taken quite a nosedive and no sign of picking up
▶︎ Inflation not surprising to the upside anymore
▶︎ Yields are underperforming
     >>SUMMARY<<
Last week: I'm still a bit surprised by how weak it is. This week: hawkish commentary and a short-squeeze. I leave the bias at neutral because I don't know how much further this move has to go: the short-squeeze could last a while with a weaker USD but my conviction is too low to change back to bullish (again).

***** JPY *****
     >>BULL<<
▶︎ Inflation surprises have picked up, the tone of the talk from policymakers has also shifted subtly (see the Summary of Opinions this week)
▶︎ Treasury yields have tanked
▶︎ Relative outperformer in the OECD CLI
▶︎ Positioning is still very bullish (I don't really know why I hadn't included that over the last weeks, just look at COT)
     >>BEAR<<
▶︎ The divergence between the BOJ and every other central bank isn't getting any smaller
     >>SUMMARY<<
While the perceived Fed pivot will still lead to widening yield differentials, the rate of change will slow down, and apparently this (paired with lower treasury yields) was enough to trigger a short-squeeze in the USDJPY. Add the interventions and the (subtle) shift in BOJ comments and their Summary of Opinions, and it's not a short anymore."