macro monday: wk 15 - saxo bank · trumpet: ‘epic’ us/ch trade deal in c. 4wks, threats to...

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US EQ Set On New All-Time Highs…

Meanwhile CH EQ Annualizing +100% returns

MACRO MONDAY: WK 15Your Weekly Cross-Asset Global Markets Call

There are Always Profitable Opportunities…

@KVP_Macro @SaxoStrats

Tip of the Spear: (KVP) Kay Van-Petersen, CMT

global macro strategist, consigliere at large & perpetual student of the markets

Week 15, Apr 8 – Apr 14

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Last WK Review & Highlights

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Previous Week’s Highlights & Takeaways Macro Monday: Your Weekly Cross-Asset CallPrevious WK Summary:

Turkey: Elections a sting to Erdogan

US: NFP 196k a 177ke, AHE 3.2%a 3.4%e

PMIs: Generally positives especially China

RBI & RBA: RBI cut last wk, as we had flagged with IN elections a cut could not be ruled out. Result was ATH prior to pullback. Post China up beat data, RBA was less relevant. With that said, slight tweak in the statement could indicate easier move to a cut & we should expect downgrades on nxt quarterly update

Trumpet: ‘Epic’ US/CH trade deal in c. 4wks, threats to Mexican border & quests for Trumps Tax rtns were some of the newsflow

EQ: A sea of green, where everything goes up. +3.5% wk for EM etf. DAX +4.2%, Nikkei +2.3%, HSI +4.0%, CSI-300 +9.0% - its now up c. +38% YTD in USD terms. Shenzhen Comp up c. +44% YTD in USD terms.

Lots of indexes are not far from ATHs. S&P is on its hottest winning streak since 2017, we’ve had 7 consecutive days of gains

FI: Yields continues their climb higher given the PMI bounce, bunds back above 0% our of negative territory. JGBs -3bp, USTs 2.50%

FX: USD higher vs. EUR & especially the yen –yet big EM FX gain vs. the USD with TRY & ARS the exception. Big wk for ZAR at -2.81%

CMD: Brent Crude closes above $70 with a +4.1% wk, big lvl for oil. Platinum & Iron Ore each +6% on the wk

Vol: Continues to drop, now sub 13.00 at 12.82, -6.5% for the wk


Sources: Saxo Bank, Bloomberg

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CoT Review[And we are back!!!!! Thx Ole]

@Ole_S_Hansen

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Macro Monday: Latest CoT ReportMacro Monday: Your Weekly Cross-Asset CallCURRENCIES – Despite the so called ‘consensus USD short view’, the market is still long USD*

o So this is the MtM post end of 1Q19, that showed there was a +14% uplift on USD Net-Longs to 3m highs at $27.5bn against the nine IMM currency futures

o The increase was driven by a 24% jump in the euro short to 99,184 contracts or €12.4 billion, the highest since Dec 2016

o The JPY and AUD net-shorts rose the highest since Jan and Nov respectively to -63K & -56K respectively

@KVP_Macro @Ole_S_Hansen

*We are still well below the multi-year high of $32.2bn reached in early Dec, during the peak of risk-off & flight to safety in US bonds markets & USD

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Macro Monday: Latest CoT ReportMacro Monday: Your Weekly Cross-Asset CallCURRENCIES – Despite the so called ‘consensus USD short view’, the market is still long USD*

o Interesting to see how close to neutral we have gotten on sterling…


*We are still well below the multi-year high of $32.2bn reached in early Dec, during the peak of risk-off & flight to safety in US bonds markets & USD

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Macro Monday: Latest CoT ReportMacro Monday: Your Weekly Cross-Asset CallCOMMODITIES

HFs sold CMDs for the first time in 4 wks during the wk to Apr 2. The 85k contract reduction in the net-long to 537k was driven by heavy selling of gold & silver as the risk-on rally in stocks continued. The USDA acreage report triggered renewed selling of corn & soybeans while short-covering supported sugar & cocoa

Non-stop buying of crude oil extended to a sixth week with the combined net-long in Brent (+27k contracts) & WTI (+7k) reaching 593k lots, the highest since Oct 19

A 5% jump in the price of cocoa on dry conditions in the Ivory Coast helped trigger a 27% reduction in the net-short position. Cont. short-covering has seen it rise 11 consecutive days up until Fri

Cont. surge in Lean hog prices on the back of strong CH demand for US pork, supported a 52% jump in the net-long to 37k contracts. Some 2k below the recent peak from last Nov


Sources: Saxo Bank, Bloomberg

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Week Ahead, Potential Opportunities,

Risks & Events…

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Macro Monday: WK Ahead, Potential Opportunities, Risks & EventsMacro Monday: Your Weekly Cross-Asset Call - Welcome to Week 15, Apr 8 – Apr 14

Key Focus:

ECB | FOMC Mins | Roaring Equities | Bond Yields Rising | Brexit

Central Banks (SGT):

ECB -0.40% e/p (10)

Fed Speakers (SGT):

Clarida (10/11) Quarles (11) Kashkari (12) Bowman (12)

Other (SGT):

AU & NZ Daylights savings (over Wkd) Kuroda (8) OPEC Meeting (11)

Econ Data:

US: Factory Orders, JOLTS, CPI +1.8%e 1.5%p, CORE 2.1%e/p, PPI, UoM

CH: CPI 2.4%e 1.5%p, PPI 0.4%e 0.1%p, New Loans, TB

EZ: GER TB, IT RS, GER Final CPI 1.3%e/p, IP

JP: CA, Machinery Orders, PPI

UK: GDP (m/m), Mfg. Prod, TB, House Prices

NZ: Biz Mfg. Index, Visitor Arrivals

AU: Home Loans, MI Inflation Expectations, RBA Financial Stability Review


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“Fundamentalists who say they are not going to pay any attention to the charts

are like a doctor who says he’s not going to take a patient’s temperature”

–Bruce Kovner, Legendary Trader & Founder of Caxton

Macro Monday’s Chartography…

Risk-On | Risk-OffThere are always opportunities…

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Last WK FX Snapshot… NZD & JPY Lagging… Macro Monday: Your Weekly Cross-Asset Call


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Last WK & YTD FX Snapshot on GBP…Macro Monday: Your Weekly Cross-Asset Call


GBP Performance last wk,

similar to USD…

only NOK & AUD Ahead….

GBP Performance YTD, pretty

much smashing all of G10 in

total returns, exception is CAD!

This is from start of 2016 – i.e. pre Brexit Vote date on 24

Jun 16.

Basically tells us that since then, the likes of CAD have

gained by over +22% vs. GBP in total returns. I.e. Sterling

is still vastly underperforming vs. the majority of G10

since the start of 2016

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Simple Way To Play GBP & Brexit – One Touch OptionsMacro Monday: Your Weekly Cross-Asset Call


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E.g. I am running a $100M (100% of AUM) book, I want to

use $500K (0.50%) of premium on a potential sterling

strength play. Reason I am buying options is that it

quantifies my risk (max loss = premium), which would not

be the same on outright position.

Thesis could be, I think worse is behind us given price

action YTD, level of shorts falling & the fact that we

seemed to have structurally bottomed out in 2017. Plus I

expect that despite the potential short-term pain from a

hard Brexit, the clearing of the dark Brexit skies (which

we’ve had for c. +2-3yrs) will far our weight any near-term

negatives. Also expecting that EURGBP will drop by at least

-5% to c. 0.8150 lvls from the current spot lvls of 0.8600

Key risks are obviously very long extension on negotiations

(i.e. catalysts far in the future) & that the bullish thesis is

wrong – negative credit impulse, UK political risk

intensifying, etc.

Same idea but bearish play? May be looking for

a +5% break on EURGBP to the upside from

these 0.86 lvls. So use 0.900 as the barrier lvl

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E.g. Same idea yet with Cable. Barrier level basically picked

as GBPUSD spot * 1.05 for bullish view, & spot * 0.95 for

bearish view. For Simplicity also using 6m from today & the

same 50bp premium.

Worth also noting that I can choose to do the trade in two

tranches, 25bp today & the balance later in the wk, etc. This

also can give one some time placement diversification, i.e. if

we have a big adverse move one way.

Worth bearing in mind that barrier options (one touch & no

touch) can be closed out at anytime – i.e. the barrier or

strike, does not need to be hit for one to make money.

So in this case with GBPUSD spot at c. 1.3040, we get

barrier lvls of c. 1.3700 (bullish play) & 1.2400 (bearish play)

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No doubt recent CAD outperformance vs. GBP linked to strong oil

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Sterling… this is multi-generational…

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Big reversal in AussieKiwi

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NZD at key 200DMA lvl, been surprised at follow through post RBNZ…

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ZAR making big break lower…

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Energy etf may have some catching up to do…

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Meanwhile Consumer Discretionary etf makes new ATH…

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CSI 300 Index: +38% YTD in USD terms, that’s c.

+160% annualized….

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Shenzhen Comp: +44% YTD in USD terms, that’s c.

+180% annualized….

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Back in 2014 & 2015… both the rise in equities was phenomenally strong… very little

pullback… biggest was c. -11% from peak to trough… before going back up….

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Context of volume in China Equities…

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MM Back on Mon: 08:30[SG/HK] 09:30 [Tok]10:30 [Syd] 20:30[NY]

Macro Monday: Your Weekly Cross-Assets Call

Thanks again for making the time to join us on the call, or catch the replay

We will be on Next Mon Mar 4

08:30[SG/HK] 09:30 [Tok] 11:30 [Syd] 20:30[NY]

*

A Belated Happy Chinese New Year

Wishing you, your families & teams the very best in the year of the Earth Pig – filled with not just

consistent profitable trading, with a focus on process, but also health, fun, laughter, growth & plenty

of high quality time with family & friends. Lets make it the best year yet. Namaste


macro monday: wk 15 - saxo bank · trumpet: ‘epic’ us/ch trade deal in c. 4wks, threats to...

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