Antipodean Capital Macro Strategy Daily Nov 23 - US stock futures hit 4 week lows. ASX Index EPS is falling, so FV thresholds should also fall. In NZ, dairy prices have fallen 30% from April, once short positions are cut, add to NZD shorts.

Today’s themes: US equity futures have drifted lower to new lows for this move. ASX Index EPS have turned down, and if they continue to do so, then that may produce a sinking support floor for the ASX. In NZ, further dairy price weakness has unfolded, now fully satisfying our call in April for a 30% price fall. NZ assets though haven’t reflected this as yet.

Macro: NZ: Dairy, migration, housing and business outlooks have all softened, and yet the NZD has not, really, and now NZ yields lie above those of AU. (Theme: The NZ data/PMI/business cycle peaked in mid ‘17 and has decelerated since. Housing, dairy price and migration weakness should imply weaker NZ macro data, and we have seen a step down. While GDP has softened, lagging inflation and unemployment data have remained robust, shifting pricing in rates markets away from an ease to a hike. We are not sure this pricing is correct).

Macro: ASX EPS topping out? (Theme: The recent fall in the ASX has more to it than just price action. Index EPS has suffered its first decent fall since H1 ’17. Fwd EPS estimates are falling, suggesting Index EPS can continue lower).

Summary: US stock markets were closed for the Thanksgiving holiday, but US futures fell to new 4 week lows for this move, as EU equities also fell. The USD was marginally softer in the absence of US data, while commodity prioces were latrgely unchanged with the exception of Oil falling back to its lows. Yields were largely unchanged. UK Brexit certainty has taken a leg up with a joint EU-UK political agreement.

New trades: None.
FX: Short EURSTG at .9010 risk .9150 target .84. Long AUDNZD 1.0750 tgt 1.12 risk 1.05. Long GBP 1.2770 risk 1.27 target 1.33. Sell $JPY at 112.80 risk 114.20 tgt 110. S Sold NZDEUR at .5970 risk .6030 target .56.
BONDS: Long 2 units ASX Banks 5yr CDS at 54bps, target 140. Long NZ 10s sell NZ 2s at 104bps risk 130bps target 50bps. Sold Portugal 10yr bought German Bund at 158bps, risk 110bps target 350bps. Long US 2-10 curve flatteners at 26bps/35bps risk 40bps target 10bps.
EQUITIES: Long ASX All Ordinaries Top 100, Short ASX Small Ordinaries at 0.81x ratio. Short Homebuilders 755, add at 800 risk 850 target 650. Short R2K at 1550 risk 1575 target 1450. Long Dec VIX at 17.6%. Short ASX200 at 5840 risk 5945 target 5600. Long Kospi at 2088 cut extra 2 units from 2092 at 2082 (-0.5%).
COMMODITIES. Long Silver short Gold at 83.9x risk 87 target 65. Long Silver at 14.08 risk 13.85 target 14.80+