Abysmal Chicago PMI

On Friday, we also got the Chicago PMI for May, which dropped to 35.4 points! And these are recessionary levels. In general, levels below 35 points are associated with a deep and advanced recession - see Figure 1.

After data normalization (Figure 2), the reading for May still remains significantly deviated from the ISM Manufacturing PMI, but it can be said that we are on the verge of the largest historical differences between the Chicago PMI and the ISM Manufacturing PMI. Data for April indicate 1.22 sigma, but if ISM Manufacturing had not changed in May (data next Monday), the difference would have been 1.52 sigma - and this would be the second largest ever difference in the same month (after June 2020).

The Chicago PMI feels like an aberration if we also look at other similar series - see Figure 3. It should also not be forgotten that the PMI indices only measure the breadth of the change, not its size.