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fx:macro Summary Changes 2023_02_18

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"11.02.23

"18.02.23

***** MACRO *****

>>BULL<<

▶︎ The China trade is still in effect fundamentally

▶︎ COT positioning in NQ futures is bullish

▶︎ Credit spreads seem contained, the Corporate Bond Market Distress Index is lower

▶︎ Credit spreads seem contained, the Corporate Bond Market Distress Index is lower, bond volatility isn't high

▶︎ Last COT positioning in NQ was bullish but that's a few weeks old by now

▶︎ China reopening trade is pausing but it should still be a tailwind

>>BEAR<<

▶︎ ETF flows are bearish

▶︎ ETF flows out of HY and IG credit, out of SPY

▶︎ Sentiment is very bullish with AAII at its highest in >1 year

▶︎ Sentiment is very bullish with AAII bull-bear near a >1 year high

▶︎ Sector rotation seems more defensive than offensive now, and sector breadth is lagging

▶︎ Worrysome jump in VVIX could drag VIX higher; the term structure is still in contango, and relatively steep in the front

▶︎ VVIX is still diverging from VIX to the upside, the VIX term structure is pretty flat from the second expiration out

▶︎ Global and Asian PMIs are mostly softer

▶︎ Asian PMIs are still pretty weak

▶︎ Six out of eight G8 2s10s have so far inverted

>>SUMMARY<<

Last week I've had six bullet points on the left side and seven on the right, today it's only three points for the bulls and all of them are not really new. But sentiment is exuberant (at least compared to where we come from) and a few other things you can read above that aren't exactly good news. Also, my FX strength chart shows compressing lines, which means that trends are reversing and the regime might be shifting.

Things aren't looking very different from last week, and they're not looking too good. Equities are still holding near the top but they've come up pretty far in a pretty short time and with the new-found strength in the dollar and yields it feels like they should be lower. Flows are bearish, sector performance is bearish, and VVIX is front-running VIX higher.

***** USD *****

>>BULL<<

▶︎ The tone from Fed speakers is consistent and it's more hawkish than dovish

▶︎ The terminal rate has been repriced higher accordingly, rate cuts are pushed further out

▶︎ GDPNow is at 2.2% for Q1 and rising

▶︎ GDPNow for Q1 is at 2.5% and rising

▶︎ CESI jumped higher, USD still getting a boost from NFP

▶︎ Inflation breakevens creeping higher

▶︎ Inflation breakevens failed to break out lower

▶︎ USD selling finally shows up in COT data and the PAIN index but there's still some way to go until we reach a stretched short

▶︎ Seasonality is positive

▶︎ 25-delta risk reversals are bullish USD

>>BEAR<<

▶︎ CSII continues to go down

▶︎ The China reopening should be bearish USD

▶︎ Treasuries have bullish COT positioning which could weigh on yields

▶︎ Treasuries have bullish COT positioning which could weigh on yields (also a few weeks old now since we don't get any new COT data at the moment)

>>SUMMARY<<

FOMC and Non-Farm Payrolls seem to have been an inflection point for the dollar and treasury yields. When I look at the calendar, I see a lot of positive data coming in for the dollar next week. I've been trading the dollar from the long side last week, and I'll be looking for longs in the coming week, too. I'm changing the bias to long although I'm still quite unsure how sustainable the new-found strength is. And it also fits with the idea of a) China trade pausing plus b) more headwinds for equities as written above.

Basically unchanged from last week, the only thing that is mildly concerning is that the magnitude of dollar strength seems a bit small compared to the repricing in 2s and the terminal rate. As for next week: almost every data point in every currency is expected to be better than the last one, so we could see some dollar-smile weakness in USD.

***** EUR *****

>>BULL<<

▶︎ German 2y yields have been steadily going higher

▶︎ Finally some strength on hawkish ECB comments

▶︎ The ECB statement reflects that the ECB is the most hawkish central bank at the moment, they're the only one giving hard guidance

▶︎ BTP-Bund is making lower highs and lower lows

▶︎ The mild winter has completely soothed fears of an energy shortage

▶︎ CESI is going strong

▶︎ CESI dropped a bit but is still going strong

▶︎ Stock markets are outperforming

▶︎ Bearish sentiment

>>BEAR<<

▶︎ Even hawkish comments from influential and usually neutral Schnabel haven't helped this week... that's inherent weakness

▶︎ Positioning is at bearish extremes

▶︎ The sentiment in EURCHF struck me this week... it's been there before but not as extreme

▶︎ Sentiment in EURCHF is very bullish, price action isn't constructive

▶︎ Not sure what it would take for the Ukraine war to spook the market again: Belarus attacking, another mobilization... not sure but it's still a relevant risk

▶︎ Bearish seasonality

>>SUMMARY<<

It's a pretty bad combination: very bullish fundamentals going into this week but completely missed expectations, which means that positioning is taking its toll. I thought about changing the bias to neutral but short seems more appropriate even though I don't expect EURUSD to fall like a stone.

Friday saw the opposite of what I missed the week before: strength on hawkish ECB commentary (this time from Schnabel). We won't get the up-to-date Commitment of Traders data for a few more weeks but I doubt it has changed meaningfully, at least PAIN hasn't, and so it's still hard to imagine EUR going sustainably higher.

***** GBP *****

>>BULL<<

▶︎ GDP came in better than expected once again

▶︎ CPI suprising to the upside

>>BEAR<<

▶︎ CPI surprise to the downside

▶︎ Pricing for the BoE terminal rate is lower

▶︎ The first MPC member started talking about rate cuts (Tenreyro)

▶︎ Projections in the MPR were upgraded but they're still pretty bad

▶︎ The entire country seems to be in disarray with everyone on strike and people being squeezed; the strikes haven't been front-page lately but they're still going on

▶︎ CESI is weakening further

>>SUMMARY<<

Nothing has changed fundamentally from last week, the only thing is that the first MPC member has mentioned she would vote for a rate cut at some unspecified meeting. Will only be looking for shorts.

It always feels bad when I don't have any bullish (or bearish) arguments listed but it is what it is.

***** AUD *****

>>BULL<<

▶︎ Hawkish hike from the RBA (no sustained reaction from AUD, though)

▶︎ Last CPI releases surprised to the upside

▶︎ OECD CLI has it outperforming

>>BEAR<<

▶︎ Not sure what to make of the RBA leadership dilemma: hard to imagine it's good for the currency at the margin, and the market looked through Lowes hawkish comments on Friday at least

▶︎ Iron Ore prices have collapsed, there still seems to be trouble with the Chinese import ban

▶︎ Weaker PMIs for Australia and most of Asia although China's PMIs have improved

▶︎ CESI took a dive

▶︎ CESI is near lows

>>SUMMARY<<

Last week I wrote that what could keep AUD alive was the RBA. They were more hawkish than expected and compared to that, AUD was weaker than it should have been. Neutral seems the right bias for now.

It's not looking better for AUD than last week. Maybe we get some bullish action from the RBA Minutes but I doubt it's going to last.

***** NZD *****

>>BULL<<

▶︎ CPI surprise to the upside

>>BEAR<<

▶︎ 2y and 10y yields are comparatively weak

▶︎ Incoming economic data is getting weaker, the labour market is finally softening

▶︎ Positioning and sentiment are bearish

▶︎ CESI has rolled over

>>SUMMARY<<

Unchanged from last week: Doesn't have much going for it at the moment: we haven't heard anything from the RBNZ, the softer labour market data this week definitely made an impression, and if the China trade is pausing (as suggested by AUD) then the NZD should underperform.

Unchanged from last week: we've had a clearly bearish reaction to the soft labour market data and not many positive catalysts lately. Not sure how great the impact of cyclone Gabrielle will be, and there's the RBNZ rate decision on Wednesday morning.

***** CAD *****

>>BULL<<

▶︎ Another blowout jobs market report on Friday with a strong reaction from CAD

▶︎ Another blowout jobs market report last week with a strong reaction from CAD

▶︎ CESI is now higher

▶︎ PMI has been improving

已保存差异

原始文本

打开文件

"11.02.23
***** MACRO *****
     >>BULL<<
▶︎ The China trade is still in effect fundamentally
▶︎ COT positioning in NQ futures is bullish
▶︎ Credit spreads seem contained, the Corporate Bond Market Distress Index is lower
     >>BEAR<<
▶︎ ETF flows are bearish
▶︎ Sentiment is very bullish with AAII at its highest in >1 year
▶︎ Sector rotation seems more defensive than offensive now, and sector breadth is lagging
▶︎ Worrysome jump in VVIX could drag VIX higher; the term structure is still in contango, and relatively steep in the front
▶︎ Global and Asian PMIs are mostly softer
▶︎ Six out of eight G8 2s10s have so far inverted

>>SUMMARY<<
Last week I've had six bullet points on the left side and seven on the right, today it's only three points for the bulls and all of them are not really new. But sentiment is exuberant (at least compared to where we come from) and a few other things you can read above that aren't exactly good news. Also, my FX strength chart shows compressing lines, which means that trends are reversing and the regime might be shifting.

***** USD *****
     >>BULL<<
▶︎ The tone from Fed speakers is consistent and it's more hawkish than dovish
▶︎ GDPNow is at 2.2% for Q1 and rising
▶︎ CESI jumped higher, USD still getting a boost from NFP
▶︎ Inflation breakevens failed to break out lower
▶︎ USD selling finally shows up in COT data and the PAIN index but there's still some way to go until we reach a stretched short
▶︎ Seasonality is positive
▶︎ 25-delta risk reversals are bullish USD
     >>BEAR<<
▶︎ CSII continues to go down
▶︎ The China reopening should be bearish USD
▶︎ Treasuries have bullish COT positioning which could weigh on yields
     >>SUMMARY<<
FOMC and Non-Farm Payrolls seem to have been an inflection point for the dollar and treasury yields. When I look at the calendar, I see a lot of positive data coming in for the dollar next week. I've been trading the dollar from the long side last week, and I'll be looking for longs in the coming week, too. I'm changing the bias to long although I'm still quite unsure how sustainable the new-found strength is. And it also fits with the idea of a) China trade pausing plus b) more headwinds for equities as written above.

***** EUR *****
     >>BULL<<
▶︎ The ECB statement reflects that the ECB is the most hawkish central bank at the moment, they're the only one giving hard guidance
▶︎ BTP-Bund is making lower highs and lower lows
▶︎ The mild winter has completely soothed fears of an energy shortage
▶︎ CESI is going strong
▶︎ Stock markets are outperforming
▶︎ Bearish sentiment
     >>BEAR<<
▶︎ Even hawkish comments from influential and usually neutral Schnabel haven't helped this week... that's inherent weakness
▶︎ Positioning is at bearish extremes
▶︎ The sentiment in EURCHF struck me this week... it's been there before but not as extreme
▶︎ Not sure what it would take for the Ukraine war to spook the market again: Belarus attacking, another mobilization... not sure but it's still a relevant risk
▶︎ Bearish seasonality

>>SUMMARY<<
It's a pretty bad combination: very bullish fundamentals going into this week but completely missed expectations, which means that positioning is taking its toll. I thought about changing the bias to neutral but short seems more appropriate even though I don't expect EURUSD to fall like a stone.

***** GBP *****
     >>BULL<<
▶︎ GDP came in better than expected once again
▶︎ CPI suprising to the upside
     >>BEAR<<
▶︎ The first MPC member started talking about rate cuts (Tenreyro)
▶︎ Projections in the MPR were upgraded but they're still pretty bad
▶︎ The entire country seems to be in disarray with everyone on strike and people being squeezed; the strikes haven't been front-page lately but they're still going on
▶︎ CESI is weakening further
     >>SUMMARY<<
Nothing has changed fundamentally from last week, the only thing is that the first MPC member has mentioned she would vote for a rate cut at some unspecified meeting. Will only be looking for shorts.

***** AUD *****
     >>BULL<<
▶︎ Hawkish hike from the RBA (no sustained reaction from AUD, though)
▶︎ Last CPI releases surprised to the upside
▶︎ OECD CLI has it outperforming
     >>BEAR<<
▶︎ Weaker PMIs for Australia and most of Asia although China's PMIs have improved
▶︎ CESI took a dive
     >>SUMMARY<<
Last week I wrote that what could keep AUD alive was the RBA. They were more hawkish than expected and compared to that, AUD was weaker than it should have been. Neutral seems the right bias for now.

***** NZD *****
     >>BULL<<
▶︎ CPI surprise to the upside
     >>BEAR<<
▶︎ 2y and 10y yields are comparatively weak
▶︎ Incoming economic data is getting weaker, the labour market is finally softening
▶︎ Positioning and sentiment are bearish
▶︎ CESI has rolled over
     >>SUMMARY<<
Unchanged from last week: Doesn't have much going for it at the moment: we haven't heard anything from the RBNZ, the softer labour market data this week definitely made an impression, and if the China trade is pausing (as suggested by AUD) then the NZD should underperform.

***** CAD *****
     >>BULL<<
▶︎ Another blowout jobs market report on Friday with a strong reaction from CAD
▶︎ CESI is now higher
▶︎ PMI has been improving
▶︎ Positioning is bullish
     >>BEAR<<
▶︎ The BOC has announced the end of their hiking cycle
▶︎ BOC Minutes were dovish
     >>SUMMARY<<
We don't get fresh data from Canada next week, so I expect the momentum from the jobs report to continue somewhat, especially since the rather dovish BOC Minutes (and rate statement) have largely been looked through. Also, I've changed the USD bias to bullish, so it makes sense to change the one for CAD as well

***** CHF *****
     >>BULL<<
▶︎ Sentiment is bearish CHF, i.e. a bullish factor
     >>BEAR<<
▶︎ Yields are underperforming
▶︎ Its performance is still mediocre-to-bad
▶︎ PMI has weakened
▶︎ CESI is glued to its floor
▶︎ Last inflation print was deflationary and surprised to the downside, CSII is falling
▶︎ Seasonality is bearish
     >>SUMMARY<<
I'll leave things unchanged from last week. I don't think I have a good grasp on it at the moment.

***** JPY *****
     >>BULL<<
▶︎ It seems clear that the BOJ is slowly steering towards some form of exit from their strict easing
▶︎ Positioning still has a pretty long way to go until it ""normalizes""
▶︎ Inflation has been surprising to the upside (not showing up in the CSII, though)
▶︎ 10y yield is glued to the upper band
▶︎ OECD CLI outperformer
     >>BEAR<<
▶︎ Still more jawboning from Kuroda, so another change in policy before his term ends looks unlikely
▶︎ Still the most dovish central bank out there
▶︎ 25-delta risk reversals are seeing it weaker
▶︎ Seasonality is bearish and sentiment is bullish
     >>SUMMARY<<
The volatility that's caused by the BOJ leadership change make it anyone's guess as to which direction we will ultimately end up with. The fundamental factors are still worth a long bias in my view but they will be completely overruled by whose name shows up in the headlines as a possible successor to Kuroda and who's going to be nominated next week."

更改后文本

打开文件

"18.02.23
***** MACRO *****
     >>BULL<<
▶︎ Credit spreads seem contained, the Corporate Bond Market Distress Index is lower, bond volatility isn't high
▶︎ Last COT positioning in NQ was bullish but that's a few weeks old by now
▶︎ China reopening trade is pausing but it should still be a tailwind
     >>BEAR<<
▶︎ ETF flows out of HY and IG credit, out of SPY
▶︎ Sentiment is very bullish with AAII bull-bear near a >1 year high
▶︎ Sector rotation seems more defensive than offensive now, and sector breadth is lagging
▶︎ VVIX is still diverging from VIX to the upside, the VIX term structure is pretty flat from the second expiration out
▶︎ Asian PMIs are still pretty weak
▶︎ Six out of eight G8 2s10s have so far inverted
     >>SUMMARY<<
Things aren't looking very different from last week, and they're not looking too good. Equities are still holding near the top but they've come up pretty far in a pretty short time and with the new-found strength in the dollar and yields it feels like they should be lower. Flows are bearish, sector performance is bearish, and VVIX is front-running VIX higher.

***** USD *****
     >>BULL<<
▶︎ The tone from Fed speakers is consistent and it's more hawkish than dovish
▶︎ The terminal rate has been repriced higher accordingly, rate cuts are pushed further out
▶︎ GDPNow for Q1 is at 2.5% and rising
▶︎ Inflation breakevens creeping higher
▶︎ USD selling finally shows up in COT data and the PAIN index but there's still some way to go until we reach a stretched short
▶︎ Seasonality is positive
     >>BEAR<<
▶︎ CSII continues to go down
▶︎ The China reopening should be bearish USD
▶︎ Treasuries have bullish COT positioning which could weigh on yields (also a few weeks old now since we don't get any new COT data at the moment)
     >>SUMMARY<<
Basically unchanged from last week, the only thing that is mildly concerning is that the magnitude of dollar strength seems a bit small compared to the repricing in 2s and the terminal rate. As for next week: almost every data point in every currency is expected to be better than the last one, so we could see some dollar-smile weakness in USD.

***** EUR *****
     >>BULL<<
▶︎ German 2y yields have been steadily going higher
▶︎ Finally some strength on hawkish ECB comments
▶︎ The ECB statement reflects that the ECB is the most hawkish central bank at the moment, they're the only one giving hard guidance
▶︎ BTP-Bund is making lower highs and lower lows
▶︎ CESI dropped a bit but is still going strong
▶︎ Stock markets are outperforming
     >>BEAR<<
▶︎ Positioning is at bearish extremes
▶︎ Sentiment in EURCHF is very bullish, price action isn't constructive
▶︎ Not sure what it would take for the Ukraine war to spook the market again: Belarus attacking, another mobilization... not sure but it's still a relevant risk
▶︎ Bearish seasonality

>>SUMMARY<<
Friday saw the opposite of what I missed the week before: strength on hawkish ECB commentary (this time from Schnabel). We won't get the up-to-date Commitment of Traders data for a few more weeks but I doubt it has changed meaningfully, at least PAIN hasn't, and so it's still hard to imagine EUR going sustainably higher.

***** GBP *****
     >>BULL<<

>>BEAR<<
▶︎ CPI surprise to the downside
▶︎ Pricing for the BoE terminal rate is lower
▶︎ The first MPC member started talking about rate cuts (Tenreyro)
▶︎ Projections in the MPR were upgraded but they're still pretty bad
▶︎ The entire country seems to be in disarray with everyone on strike and people being squeezed; the strikes haven't been front-page lately but they're still going on
▶︎ CESI is weakening further
     >>SUMMARY<<
It always feels bad when I don't have any bullish (or bearish) arguments listed but it is what it is.

***** AUD *****
     >>BULL<<
▶︎ Hawkish hike from the RBA (no sustained reaction from AUD, though)
▶︎ Last CPI releases surprised to the upside
▶︎ OECD CLI has it outperforming
     >>BEAR<<
▶︎ Not sure what to make of the RBA leadership dilemma: hard to imagine it's good for the currency at the margin, and the market looked through Lowes hawkish comments on Friday at least
▶︎ Iron Ore prices have collapsed, there still seems to be trouble with the Chinese import ban
▶︎ Weaker PMIs for Australia and most of Asia although China's PMIs have improved
▶︎ CESI is near lows

>>SUMMARY<<
It's not looking better for AUD than last week. Maybe we get some bullish action from the RBA Minutes but I doubt it's going to last.

***** NZD *****
     >>BULL<<
▶︎ CPI surprise to the upside
     >>BEAR<<
▶︎ 2y and 10y yields are comparatively weak
▶︎ Incoming economic data is getting weaker, the labour market is finally softening
▶︎ Positioning and sentiment are bearish
▶︎ CESI has rolled over
     >>SUMMARY<<
Unchanged from last week: we've had a clearly bearish reaction to the soft labour market data and not many positive catalysts lately. Not sure how great the impact of cyclone Gabrielle will be, and there's the RBNZ rate decision on Wednesday morning.

***** CAD *****
     >>BULL<<
▶︎ Another blowout jobs market report last week with a strong reaction from CAD
▶︎ CESI is now higher
▶︎ PMI has been improving
▶︎ Positioning is bullish
     >>BEAR<<
▶︎ Dovish commentary from Macklem this week
▶︎ The BOC has announced the end of their hiking cycle
▶︎ BOC Minutes were dovish
     >>SUMMARY<<
The expected follow-through from the hot labour market report was pretty much absent this week. What did get a bit of reaction was the dovish comments from Macklem. I will leave the bullish bias because I'm looking for longs in USD and the correlation is north of 0.80.

***** CHF *****
     >>BULL<<
▶︎ EURCHF and USDCHF are the two currency pairs with the most bearish sentiment
     >>BEAR<<
▶︎ Yields are underperforming
▶︎ PMI has weakened
▶︎ CESI is glued to its floor
▶︎ Last inflation print was deflationary and surprised to the downside, CSII is falling
▶︎ Seasonality is bearish
     >>SUMMARY<<
Correlations suggest it's doing pretty much its own thing with no correlation to VIX, SPX or the EUR. Like last week: I'll leave things unchanged and I don't think I have a good grasp on it at the moment.

***** JPY *****
     >>BULL<<
▶︎ It seems clear that the BOJ is slowly steering towards some form of exit from their strict easing
▶︎ Positioning still has a pretty long way to go until it ""normalizes""
▶︎ Inflation has been surprising to the upside (not showing up in the CSII, though)
▶︎ 10y yield is glued to the upper band
▶︎ OECD CLI outperformer
     >>BEAR<<
▶︎ Still the most dovish central bank out there
▶︎ 25-delta risk reversals are seeing it weaker
▶︎ Seasonality is bearish and sentiment is bullish
     >>SUMMARY<<
So it's going to be Ueda: from what I've read, we can't expect sweeping changes to BOJ policy from day 1, and the timeline for policy normalization has been pushed further out. I change the bias to neutral because of that."