Macro Weekly: Stress Indicators and there is plenty of it....

We begin this week with Cleveland Financial Stress Index. CFSI; which is designed to warned regulators and policy makers of incoming stress!!!!!

 

 

Here I have charted Cleveland Financial Stress Index vs. (*-1* YoY S&P 500)

 

 

How has CFSI done in prior "stress"….

 

 

More stress…..

 

 

 

 

And stress, as in High Yield stress, still rules direction of the market….

 

 

 

Economic data going from bad to worse relative to expectations – here Citigoup's Surprise Index

 

 

WATCH out in EURUSD – Risk reversals (Premium paid for owning call or put) is now favoring CALL  (ie. upside)

 

 

And now to the "good" news….

 

The marginal cost of capital G-3 testing lows of 2015…..

 

Stock above 200 SMA – is now at 2009 and 2011 lows!!!!!

 

 

Tonight watch Stanley Fischer speech (@ 1900 CET) for indication on Fed…

 

Cross asset correlation remains elevated (and concerning…!!!!!)

 

 

Last weeks similar….

 

 

 

 

Attached full Saxo Stress Indicator PDF…

 

 

Safe travels,

 

Steen

 

 

Med venlig hilsen  |  Best regards
Steen Jakobsen  |  Chief Economist

 

Saxo Bank A/S  |  Philip Heymans Allé 15  |  DK-2900 Hellerup
Phone: +45 39 77 40 00  |  Direct: +45 39 77 62 23  |  Mobile: +45 51 54 50 00

 

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