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fx:macro Summary changes 2023_02_04

Created 2 years agoDiff never expires

40 removals

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35 additions

126 lines

"28.01.23

"04.02.23

***** MACRO *****

>>BULL<<

▶︎ The China opening is happening, Semiconductors and Asian (non-JP) stocks are rallying

▶︎ The China trade is still in effect fundamentally

▶︎ COT positioning in NQ futures is bullish

▶︎ Copper is performing

▶︎ Credit spreads seem contained, the Corporate Bond Market Distress Index is lower, MOVE is below 100

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

▶︎ No signs of stress from equity volatility and options

▶︎ Market breadth is looking pretty decent

▶︎ Constructive price action in key sectors: bullish Comm/Tech vs. bearish Utilities

>>BEAR<<

▶︎ Sentiment is stretched with CNN Fear & Greed >75 and AAII Bull-Bear near 1-year highs

▶︎ Short-term: correlation between ES-VVIX and VIX-VVIX is high which is a warning sign for a top in equities

▶︎ Energy futures continue to be very weak

▶︎ Global and Asian PMIs are weakening further (notable exception: India)

▶︎ US treasuries have started to perform: it still looks like a trade on a Fed pivot with treasuries rising when everything else is but it could quickly become a play on softer growth

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

▶︎ Fear & Greed is at Greed

>>SUMMARY<<

As last week, the market continues to improve. With about 70% of S&P 500 stocks above their 200-day moving averages... are we really still in a bear market? The right sectors are performing, there's a huge short position in NQ already while it is at the top of its range (who is going to short it here?). Positive factors outweigh the bearish ones at the moment but: a) hardly anything looks like a good long from a risk-reward perspective, and b) the usual caveats I mention are still in place.

Positive factors continue to outweigh the negative ones. The whole intermarket picture and the fundamentals don't make much sense to me, though, so I still won't commit to a bias. We'll see what happens under the hood when the China trade is taking a bit more of a breather, which would be more than due now, especially with sentiment being where it is. One thing that's noteworthy: bears on Twitter have started to argue with a) low-quality data and b) with narratives that aren't supported by data.

***** USD *****

>>BULL<<

▶︎ The Services PMI and NFP this week were unequivocally bullish, the Fed Funds curve reacted accordingly

▶︎ CESI jumped higher

▶︎ The economy is resilient, it's still growing and the labour market is showing no sign of softening

▶︎ 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

▶︎ Sentiment is bearish on the dollar

▶︎ 25-delta risk reversals are bullish USD

>>BEAR<<

▶︎ A lot of dovish comments (at least perceived that way) from the Fed before the blackout period, FedWatch decidedly more dovish too

▶︎ The FOMC statement wasn't outright dovish but the shift in language and tone is definitely there, Powell's comments didn't help

▶︎ The implied Fed Funds Rates for next year are tanking

▶︎ Inflation and inflation breakevens are trending lower while real yields are going nowhere

▶︎ CESI for the G10 has been improving for months now, and US CESI is now falling: this doesn't square with the Dollar Smile at all

▶︎ CSII continues to go down

▶︎ The China reopening should be bearish USD

▶︎ Treasuries have bullish COT positioning which could weigh on yields

>>SUMMARY<<

FOMC this week will be the main thing, and nobody (including me) expects a surprise. The fundamentals still call for a short bias but I don't have a clear direction I will trade this week. The dollar short seems to have gotten a bit ahead of itself so a pop higher wouldn't surprise me.

Price action in USD makes sort of sense to me but I'm unsure how sustainable the new-found strength is. Next week is light on data, so I expect a technical market that's still riding on last week's themes (i.e. the ISM and NFP on Friday). That means that it's reasonable to trade USD from the long side. The list of bullish vs. bearish arguments is more balanced now but it's too early to change the bias.

***** EUR *****

>>BULL<<

▶︎ The ECB looks comparatively hawkish, and they will likely continue hiking while the Fed (and others) pause

▶︎ 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

▶︎ PMIs have been surprising to the upside and have been less bad than feared (again this week)

▶︎ PMIs have been surprising to the upside and have been less bad than feared

▶︎ Stock markets are outperforming

▶︎ Bearish sentiment

>>BEAR<<

▶︎ Positioning is at bearish extremes

▶︎ It's not profiting as much from the weak dollar as expected

▶︎ 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<<

The fundamentals haven't really changed, the bias remains long. It will be all about the ECB, so it's tough to make a call beforehand but if they deliver 50 bps and guidance remains hawkish (as I expect), German 2y yields have some way to go higher and the EUR as well.

Long Euro, long Euro, long Euro. The market seemed disappointed by the ECB statement but then it doesn't believe them anyway given where 2s are trading. Not sure what to think about that but everything in front of me says long Euro. The only thing that's a headache is positioning.

***** GBP *****

>>BULL<<

▶︎ CPI suprising to the upside

>>BEAR<<

▶︎ The economic outlook is bleak, they expect to be in a recession for the entire year

▶︎ Dovish Monetary Policy Summary this week with 2 members voting for no change

▶︎ 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

▶︎ Dovish central bank with two dissenters at the last meeting

▶︎ CESI divergence with the Eurozone

▶︎ CESI is clearly lagging its Eurozone counterpart

▶︎ PMIs were quite pessimistic and negative (especially compared to the Eurozone)

▶︎ Even if its 2s and 10s look decent, they aren't driving it at the moment (negative correlation)

>>SUMMARY<<

I have no idea what to expect from the Bank of England this week. There was hardly any communication since their last meeting. Probably more internal dissent. Going into the week without a bias here too.

Feeling the burns already as I'm writing this: I'm changing the bias to short. We've had the gilt crisis that couldn't tank it sustainably, the dismal economic outlook, the MPC vote split between no change and 75 bps, the strikes... maybe the Bank of England was able to do the job this week.

***** AUD *****

>>BULL<<

▶︎ We are expecting positive data from China this week

▶︎ It's showing inherent strength

▶︎ Last CPI releases surprised to the upside

▶︎ OECD CLI has it outperforming

>>BEAR<<

▶︎ Weaker PMIs for Australia and most of Asia

▶︎ CESI took a dive

>>SUMMARY<<

I'm changing the bias to long because a) I like its performance over the last few weeks in the overall context, b) we get to see more positive data from China, and c) inflation prints have surprised.

We've had good data out of China this week, but: AUD was soft before the FOMC, didn't benefit much when the USD sold off and tanked on dollar strength on Friday. It looks like the China trade is pausing. What could keep it alive is the RBA this week considering the inflation profile I showed below. Changing the bias to neutral.

***** NZD *****

>>BULL<<

▶︎ The RBNZ is decidedly more hawkish than the neighbouring RBA

▶︎ CPI surprise to the upside

>>BEAR<<

▶︎ Incoming economic data is weakening

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

▶︎ The phase where the China reopening benefitted NZD in favour of AUD is clearly over

▶︎ Positioning and sentiment are bearish

▶︎ Positioning is bearish

▶︎ CESI has rolled over

>>SUMMARY<<

As I wrote last week: the current drivers aren't economic data, which is sort of good for the NZD because the incoming data is mostly worse. It's being dragged along by AUD.

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<<

▶︎ The BOC was dovish and CL is down for the week but CAD was the second-strongest currency

▶︎ PMI has been improving

▶︎ CESI is weakening but still up

▶︎ Positioning is bullish

▶︎ 25-delta risk reversal seeing it stronger

>>BEAR<<

▶︎ The BOC has announced the end of their hiking cycle

>>SUMMARY<<

I'm a bit surprised the CAD has taken the BOC announcement so well. No reason to change the bias though, since the BOC have stopped but others are still going (or will start at some point).

Correlation between CAD and USD is about 0.60 over 30 days, its correlation to CL is negative. It's neither fish nor flesh. The economy is definitely not doing as badly as feared. Hard what to make of it, so leaving it at neutral.

***** CHF *****

>>BULL<<

▶︎ PMI still green on the heatmap

▶︎ Sentiment is bearish CHF, i.e. a bullish factor

>>BEAR<<

▶︎ 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<<

Like last week: It feels a bit like the opposite of GBP: it ""should"" have been stronger than it was, and I have to admit that my understanding of it just isn't very good at the moment. Its correlation profile suggests to trade it as a risk on/risk off proxy, so that's what I'm left with.

There's hardly anything positive about it at the moment. It does have a bit of a safe-haven component but it's a question of time until JPY steals that show entirely. No reason to expect as much hawkishness from the SNB as from the ECB so yield differentials will probably widen and weigh on it.

***** JPY *****

>>BULL<<

▶︎ JPY has been trading a fair bit stronger than expected in the wake of the dovish BOJ meeting this week

▶︎ It seems clear that the BOJ is slowly steering towards some form of exit from their strict easing

▶︎ The nomination process for the succession of Kuroda will take off shortly, the market seems to be taking it as hawkish

▶︎ The nomination process for the succession of Kuroda will take off shortly

▶︎ 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)

▶︎ Japanese yields are outperforming

▶︎ OECD CLI outperformer

>>BEAR<<

▶︎ A lot of jawboning from Kuroda, so another change in policy before his term ends looks unlikely

▶︎ Still more jawboning from Kuroda, so another change in policy before his term ends looks unlikely

▶︎ Still the most dovish central bank out there

▶︎ Bullish sentiment

▶︎ 25-delta risk reversals are seeing it weaker

▶︎ Seasonality is bearish

▶︎ Seasonality is bearish and sentiment is bullish

>>SUMMARY<<

Unchanged from last week: The long remains because the policy normalization has been merely pushed back to a later date. Shorter-term could see some more weakness after the disappointing BOJ meeting."

The market has lost interest in the hawkish BOJ theme but it's still there. We should get more clarity on who will succeed Kuroda soon. Happy to go long if it weakens further."

保存された差分

原文

Open file

"28.01.23
***** MACRO *****
     >>BULL<<
▶︎ The China opening is happening, Semiconductors and Asian (non-JP) stocks are rallying
▶︎ COT positioning in NQ futures is bullish
▶︎ Copper is performing
▶︎ Credit spreads seem contained, the Corporate Bond Market Distress Index is lower
▶︎ No signs of stress from equity volatility and options
▶︎ Market breadth is looking pretty decent
▶︎ Constructive price action in key sectors: bullish Comm/Tech vs. bearish Utilities
     >>BEAR<<
▶︎ Short-term: correlation between ES-VVIX and VIX-VVIX is high which is a warning sign for a top in equities
▶︎ Global and Asian PMIs are weakening further (notable exception: India)
▶︎ US treasuries have started to perform: it still looks like a trade on a Fed pivot with treasuries rising when everything else is but it could quickly become a play on softer growth
▶︎ Six out of eight G8 2s10s have so far inverted
▶︎ Fear & Greed is at Greed
     >>SUMMARY<<
As last week, the market continues to improve. With about 70% of S&P 500 stocks above their 200-day moving averages... are we really still in a bear market? The right sectors are performing, there's a huge short position in NQ already while it is at the top of its range (who is going to short it here?). Positive factors outweigh the bearish ones at the moment but: a) hardly anything looks like a good long from a risk-reward perspective, and b) the usual caveats I mention are still in place.

***** USD *****
     >>BULL<<
▶︎ The economy is resilient, it's still growing and the labour market is showing no sign of softening
▶︎ 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<<
▶︎ A lot of dovish comments (at least perceived that way) from the Fed before the blackout period, FedWatch decidedly more dovish too
▶︎ The implied Fed Funds Rates for next year are tanking
▶︎ Inflation and inflation breakevens are trending lower while real yields are going nowhere
▶︎ CESI for the G10 has been improving for months now, and US CESI is now falling: this doesn't square with the Dollar Smile at all
▶︎ CSII continues to go down
▶︎ The China reopening should be bearish USD
▶︎ Treasuries have bullish COT positioning which could weigh on yields
     >>SUMMARY<<
FOMC this week will be the main thing, and nobody (including me) expects a surprise. The fundamentals still call for a short bias but I don't have a clear direction I will trade this week. The dollar short seems to have gotten a bit ahead of itself so a pop higher wouldn't surprise me.

***** EUR *****
     >>BULL<<
▶︎ The ECB looks comparatively hawkish, and they will likely continue hiking while the Fed (and others) pause
▶︎ BTP-Bund is making lower highs and lower lows
▶︎ The mild winter has completely soothed fears of an energy shortage
▶︎ CESI is going strong
▶︎ PMIs have been surprising to the upside and have been less bad than feared (again this week)
▶︎ Stock markets are outperforming
▶︎ Bearish sentiment
     >>BEAR<<
▶︎ Positioning is at bearish extremes
▶︎ It's not profiting as much from the weak dollar as expected
▶︎ 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<<
The fundamentals haven't really changed, the bias remains long. It will be all about the ECB, so it's tough to make a call beforehand but if they deliver 50 bps and guidance remains hawkish (as I expect), German 2y yields have some way to go higher and the EUR as well.

***** GBP *****
     >>BULL<<
▶︎ CPI suprising to the upside
     >>BEAR<<
▶︎ The economic outlook is bleak, they expect to be in a recession for the entire year
▶︎ 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
▶︎ Dovish central bank with two dissenters at the last meeting
▶︎ CESI is clearly lagging its Eurozone counterpart
▶︎ PMIs were quite pessimistic and negative (especially compared to the Eurozone)
▶︎ Even if its 2s and 10s look decent, they aren't driving it at the moment (negative correlation)
     >>SUMMARY<<
I have no idea what to expect from the Bank of England this week. There was hardly any communication since their last meeting. Probably more internal dissent. Going into the week without a bias here too.

***** AUD *****
     >>BULL<<
▶︎ We are expecting positive data from China this week
▶︎ It's showing inherent strength
▶︎ Last CPI releases surprised to the upside
▶︎ OECD CLI has it outperforming
     >>BEAR<<
▶︎ Weaker PMIs for Australia and most of Asia

>>SUMMARY<<
I'm changing the bias to long because a) I like its performance over the last few weeks in the overall context, b) we get to see more positive data from China, and c) inflation prints have surprised.

***** NZD *****
     >>BULL<<
▶︎ The RBNZ is decidedly more hawkish than the neighbouring RBA
▶︎ CPI surprise to the upside
     >>BEAR<<
▶︎ Incoming economic data is weakening
▶︎ The phase where the China reopening benefitted NZD in favour of AUD is clearly over
▶︎ Positioning is bearish
▶︎ CESI has rolled over
     >>SUMMARY<<
As I wrote last week: the current drivers aren't economic data, which is sort of good for the NZD because the incoming data is mostly worse. It's being dragged along by AUD.

***** CAD *****
     >>BULL<<
▶︎ The BOC was dovish and CL is down for the week but CAD was the second-strongest currency
▶︎ CESI is weakening but still up
▶︎ Positioning is bullish
▶︎ 25-delta risk reversal seeing it stronger
     >>BEAR<<
▶︎ The BOC has announced the end of their hiking cycle
     >>SUMMARY<<
I'm a bit surprised the CAD has taken the BOC announcement so well. No reason to change the bias though, since the BOC have stopped but others are still going (or will start at some point).

***** CHF *****
     >>BULL<<
▶︎ PMI still green on the heatmap
▶︎ Sentiment is bearish CHF, i.e. a bullish factor
     >>BEAR<<
▶︎ Its performance is still mediocre-to-bad
▶︎ CESI is glued to its floor
▶︎ Last inflation print was deflationary and surprised to the downside, CSII is falling
▶︎ Seasonality is bearish
     >>SUMMARY<<
Like last week: It feels a bit like the opposite of GBP: it ""should"" have been stronger than it was, and I have to admit that my understanding of it just isn't very good at the moment. Its correlation profile suggests to trade it as a risk on/risk off proxy, so that's what I'm left with.

***** JPY *****
     >>BULL<<
▶︎ JPY has been trading a fair bit stronger than expected in the wake of the dovish BOJ meeting this week
▶︎ It seems clear that the BOJ is slowly steering towards some form of exit from their strict easing
▶︎ The nomination process for the succession of Kuroda will take off shortly, the market seems to be taking it as hawkish
▶︎ 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)
▶︎ Japanese yields are outperforming
▶︎ OECD CLI outperformer
     >>BEAR<<
▶︎ A lot of jawboning from Kuroda, so another change in policy before his term ends looks unlikely
▶︎ Still the most dovish central bank out there
▶︎ Bullish sentiment
▶︎ 25-delta risk reversals are seeing it weaker
▶︎ Seasonality is bearish
     >>SUMMARY<<
Unchanged from last week: The long remains because the policy normalization has been merely pushed back to a later date. Shorter-term could see some more weakness after the disappointing BOJ meeting."

変更されたテキスト

Open file

"04.02.23
***** 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, MOVE is below 100
▶︎ No signs of stress from equity volatility and options
▶︎ Market breadth is looking pretty decent
▶︎ Constructive price action in key sectors: bullish Comm/Tech vs. bearish Utilities
     >>BEAR<<
▶︎ Sentiment is stretched with CNN Fear & Greed >75 and AAII Bull-Bear near 1-year highs
▶︎ Short-term: correlation between ES-VVIX and VIX-VVIX is high which is a warning sign for a top in equities
▶︎ Energy futures continue to be very weak
▶︎ Global and Asian PMIs are weakening further (notable exception: India)
▶︎ US treasuries have started to perform: it still looks like a trade on a Fed pivot with treasuries rising when everything else is but it could quickly become a play on softer growth
▶︎ Six out of eight G8 2s10s have so far inverted
▶︎ Fear & Greed is at Greed
     >>SUMMARY<<
Positive factors continue to outweigh the negative ones. The whole intermarket picture and the fundamentals don't make much sense to me, though, so I still won't commit to a bias. We'll see what happens under the hood when the China trade is taking a bit more of a breather, which would be more than due now, especially with sentiment being where it is. One thing that's noteworthy: bears on Twitter have started to argue with a) low-quality data and b) with narratives that aren't supported by data.

***** USD *****
     >>BULL<<
▶︎ The Services PMI and NFP this week were unequivocally bullish, the Fed Funds curve reacted accordingly
▶︎ CESI jumped higher
▶︎ The economy is resilient, it's still growing and the labour market is showing no sign of softening
▶︎ 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
▶︎ Sentiment is bearish on the dollar
▶︎ 25-delta risk reversals are bullish USD
     >>BEAR<<
▶︎ The FOMC statement wasn't outright dovish but the shift in language and tone is definitely there, Powell's comments didn't help
▶︎ Inflation and inflation breakevens are trending lower while real yields are going nowhere
▶︎ CSII continues to go down
▶︎ The China reopening should be bearish USD
▶︎ Treasuries have bullish COT positioning which could weigh on yields
     >>SUMMARY<<
Price action in USD makes sort of sense to me but I'm unsure how sustainable the new-found strength is. Next week is light on data, so I expect a technical market that's still riding on last week's themes (i.e. the ISM and NFP on Friday). That means that it's reasonable to trade USD from the long side. The list of bullish vs. bearish arguments is more balanced now but it's too early to change the bias.

***** 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
▶︎ PMIs have been surprising to the upside and have been less bad than feared
▶︎ Stock markets are outperforming
▶︎ Bearish sentiment
     >>BEAR<<
▶︎ Positioning is at bearish extremes
▶︎ It's not profiting as much from the weak dollar as expected
▶︎ 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<<
Long Euro, long Euro, long Euro. The market seemed disappointed by the ECB statement but then it doesn't believe them anyway given where 2s are trading. Not sure what to think about that but everything in front of me says long Euro. The only thing that's a headache is positioning.

***** GBP *****
     >>BULL<<
▶︎ CPI suprising to the upside
     >>BEAR<<
▶︎ Dovish Monetary Policy Summary this week with 2 members voting for no change
▶︎ 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 divergence with the Eurozone
▶︎ PMIs were quite pessimistic and negative (especially compared to the Eurozone)
▶︎ Even if its 2s and 10s look decent, they aren't driving it at the moment (negative correlation)
     >>SUMMARY<<
Feeling the burns already as I'm writing this: I'm changing the bias to short. We've had the gilt crisis that couldn't tank it sustainably, the dismal economic outlook, the MPC vote split between no change and 75 bps, the strikes... maybe the Bank of England was able to do the job this week.

***** AUD *****
     >>BULL<<
▶︎ It's showing inherent strength
▶︎ Last CPI releases surprised to the upside
▶︎ OECD CLI has it outperforming
     >>BEAR<<
▶︎ Weaker PMIs for Australia and most of Asia
▶︎ CESI took a dive
     >>SUMMARY<<
We've had good data out of China this week, but: AUD was soft before the FOMC, didn't benefit much when the USD sold off and tanked on dollar strength on Friday. It looks like the China trade is pausing. What could keep it alive is the RBA this week considering the inflation profile I showed below. Changing the bias to neutral.

***** NZD *****
     >>BULL<<
▶︎ CPI surprise to the upside
     >>BEAR<<
▶︎ Incoming economic data is getting weaker, the labour market is finally softening
▶︎ Positioning and sentiment are bearish
▶︎ CESI has rolled over
     >>SUMMARY<<
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<<
▶︎ PMI has been improving
▶︎ Positioning is bullish
     >>BEAR<<
▶︎ The BOC has announced the end of their hiking cycle
     >>SUMMARY<<
Correlation between CAD and USD is about 0.60 over 30 days, its correlation to CL is negative. It's neither fish nor flesh. The economy is definitely not doing as badly as feared. Hard what to make of it, so leaving it at neutral.

***** CHF *****
     >>BULL<<
▶︎ Sentiment is bearish CHF, i.e. a bullish factor
     >>BEAR<<
▶︎ 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<<
There's hardly anything positive about it at the moment. It does have a bit of a safe-haven component but it's a question of time until JPY steals that show entirely. No reason to expect as much hawkishness from the SNB as from the ECB so yield differentials will probably widen and weigh on it.

***** JPY *****
     >>BULL<<
▶︎ It seems clear that the BOJ is slowly steering towards some form of exit from their strict easing
▶︎ The nomination process for the succession of Kuroda will take off shortly
▶︎ 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)
▶︎ Japanese yields are outperforming
▶︎ 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 market has lost interest in the hawkish BOJ theme but it's still there. We should get more clarity on who will succeed Kuroda soon. Happy to go long if it weakens further."