Recap 2015-02-13: A few chart observations

Commentary:

First, momentum in the EUR has stalled, just as prices have become quite stretched relative to long term moving averages. The bottom panel in the chart below shows the EURUSD vs a 200 week moving average. Worth noting is that historically, a deviation of 20 figures have lead to sharp retracements, even in the context of multi year trends. It has recently fallen 20 figures below the 200wma for the first time since 2000. I’ve also noted that the cross appears quite low vs historically reliable fundamental metrics. A sharp, multi-week bounce seems like a distinct possibility here.

In interest rates space, German 30yr yields are also quite stretched vs long term averages. In this case, I used the 100 week moving average. The current difference of ~115bps was last touched in 2008, 2010, and 2012.

In contrast to Germany, US 30y yields have already bounced strongly from the lows. History suggests the bounce is likely to reach at least the 20 week average, and potentially even the upper Bollinger band, which may be at ~2.75 and ~3.2% in a few weeks time.

In aggregate, now is NOT the time to be long duration.

Finally, the Russell 2000 has closed above a resistance area that has held for about a year. The index similarly broke above ~1.5yr resistance level in 2013.

Interesting: (h/t FTA)

Notable:

• EU 4Q GDP rose 0.3% vs 0.2% exp and prev. This took the YoY rate up to 0.9% vs 0.8% exp. French GDP rose 0.1% QoQ as exp, German GDP jumped 0.7% vs 0.3% exp. Spain also was a bright spot.
• US UMichigan Sentiment declined to 93.6 vs 98.1 exp and prev. 5-10y inflation expectations ticked down to 2.7% vs 2.8% prev
• US import Prices declined to -8.0% vs -8.9% exp and -5.5% prev
• China New Loans grew 1479B in Jan vs 1350B exp. M2 declined to 10.8VS vs 12.1% exp and 12.2% prev. However, M1 jumped to 10.6% vs 5.9% exp and 3.2% prev. Seasonalities likely played a role.
• The European Central Bank has extended another €5bn in emergency loans to banks in Greece, following fears that a spate of withdrawals could leave lenders in the country short of funding.

Upcoming:

• Mon : US holiday, NZ House Sales, Retail Sales, Japan GDP, RBA minutes
• Tue: UK CPI, German Zew, US Empire Mfg, NAHB Survey
• Wed: UK Employment, Earnings, BoE Minutes, US Housing Starts, PPI, FOMC minutes,
• Thu: FranceCPI, US Jobless Claims, Philly Fed, Oil Inventories
• Fri: Japan PMI, EU PMI, UK Retail Sales, Canada Retail Sales, MexicoGDP, US Markit PMI