Friday, July 29, 2022

Stocks Higher into Afternoon on Lower Long-Term Rates, Less Hawkish Fed Hopes, Earnings Outlook Optimism, Commodity/Transport Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Around Even
  • Sector Performance:  Most Sectors Rising
  • Volume:  Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 21.4 -4.2%
  • DJIA Intraday % Swing .8% -58.7%
  • Bloomberg Global Risk On/Risk Off Index 3,618.0 +80.0 points
  • Euro/Yen Carry Return Index 139.95 -.68%
  • Emerging Markets Currency Volatility(VXY) 12.0 -1.1%
  • CBOE S&P 500 Implied Correlation Index 43.7 +2.7% 
  • ISE Sentiment Index 83.0 -12.0 points
  • Total Put/Call 1.03 +10.8%
  • NYSE Arms 1.34 +9.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 80.42 -.92%
  • US Energy High-Yield OAS 467.38 -2.4%
  • Bloomberg TRACE # Distressed Bonds Traded 470.0 -14.0
  • European Financial Sector CDS Index 109.47 -4.6%
  • Italian/German 10Y Yld Spread 221.0 basis points -14.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 140.63 -5.66%
  • Emerging Market CDS Index 326.82 -3.3%
  • China Corp. High-Yield Bond USD ETF(KHYB) 26.79 +.51%
  • Ukraine Sovereign Debt Credit Default Swap 11,640.28 -2.5%
  • 2-Year Swap Spread 26.25 basis points unch.
  • TED Spread 44.0 basis points -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -18.5 basis points +1.5 basis points
  • MBS  5/10 Treasury Spread  113.0 -7.0 basis points
  • iShares CMBS ETF 49.04 +.20%
  • Avg. Auto ABS OAS 1.0 +4.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 49.06 +.12%
  • 3-Month T-Bill Yield 2.33% -2.0 basis points
  • Yield Curve -25.75 basis points (2s/10s) -5.5 basis points
  • China Iron Ore Spot 117.15 USD/Metric Tonne -.4%
  • Citi US Economic Surprise Index -61.8 +4.8 points
  • Citi Eurozone Economic Surprise Index -63.9 +41.1 points
  • Citi Emerging Markets Economic Surprise Index 27.3 +4.7 points
  • 10-Year TIPS Spread 2.53 +4.0 basis points
  • Highest target rate probability for November 2nd FOMC meeting: 69.3%(-2.4 percentage points) chance of 3.0%-3.25%. Highest target rate probability for December 14th meeting: 48.2%(+1.7 percentage points) chance of 3.25%-3.5%.
US Covid-19:
  • 280 new infections/100K people(last 7 days total). 16.1%(+0 percentage points) of 1/14/22 peak(1,740) +0/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -70.5%(-.0 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating +96 open in Japan 
  • China A50 Futures: Indicating -66 open in China
  • DAX Futures: Indicating +9 open in Germany
Portfolio:
  • Higher:  On gains in my commodity/industrial/tech/utility sector longs and emerging market shorts
  • Disclosed Trades:  None
  • Market Exposure:  75% net long

No comments: