Friday, August 19, 2022

Stocks Falling into Afternoon on Surging Long-Term Rates, Rising European/Emerging Markets/US High-Yield Debt Angst, Dollar Strength, Consumer Discretionary/Tech Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance:  Almost Every Sector Declining
  • Volume:  Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 20.8 +6.1%
  • DJIA Intraday % Swing .66% +52.9%
  • Bloomberg Global Risk On/Risk Off Index 4,197.0 +255.0 points
  • Euro/Yen Carry Return Index 141.33 +.21%
  • Emerging Markets Currency Volatility(VXY) 12.2 +1.8%
  • CBOE S&P 500 Implied Correlation Index 44.0 +6.7% 
  • ISE Sentiment Index 85.0 -24.0 points
  • Total Put/Call 1.02 +12.1%
  • NYSE Arms .85 -16.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 80.12 +3.6%
  • US Energy High-Yield OAS 399.49 +.01%
  • Bloomberg TRACE # Distressed Bonds Traded 331.0 -5.0
  • European Financial Sector CDS Index 110.83 +5.5%
  • Italian/German 10Y Yld Spread 227.0 basis points +4.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 136.90 +1.4%
  • Emerging Market CDS Index 321.89 +3.4%
  • China Corp. High-Yield Bond USD ETF(KHYB) 26.67 +.09%
  • Ukraine Sovereign Debt Credit Default Swap 9,588.9 n/a
  • 2-Year Swap Spread 34.5 basis points unch.
  • TED Spread 34.0 basis points -1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -16.5 basis points -.75 basis point
  • MBS  5/10 Treasury Spread  132.0 +5.0 basis points
  • iShares CMBS ETF 48.14 -.04%
  • Avg. Auto ABS OAS .92 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 48.80 -.27%
  • 3-Month T-Bill Yield 2.64% +1.0 basis point
  • Yield Curve -28.25 basis points (2s/10s) +8.75 basis points
  • China Iron Ore Spot 102.40 USD/Metric Tonne +.5%
  • Citi US Economic Surprise Index -16.4 +1.2 points
  • Citi Eurozone Economic Surprise Index -51.4 +.2 point
  • Citi Emerging Markets Economic Surprise Index 30.4 -1.4 points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 236.64 +.03:  Growth Rate +15.6% unch., P/E 17.9 -.2 point
  • US Atlanta Fed GDPNow Q3 Forecast +1.62% unch.
  • Bloomberg US Financial Conditions Index -.23 +4.0 basis points
  • 1-Year TIPS Spread 2.72 -12.0 basis points: 10-Year TIPS Spread 2.56 +3.0 basis points
  • Highest target rate probability for November 2nd FOMC meeting: 50.1%(-.1 percentage point) chance of 3.25%-3.5%. Highest target rate probability for December 14th meeting: 45.6%(+1.0 percentage point) chance of 3.50%-3.75%.
US Covid-19:
  • 203 new infections/100K people(last 7 days total). 11.7%(-.4 percentage point) of 1/14/22 peak(1,740) -7/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -73.8%(-.2 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -195 open in Japan 
  • China A50 Futures: Indicating -64 open in China
  • DAX Futures: Indicating -3 open in Germany
Portfolio:
  • Higher:  On gains in my commodity/utility sector longs, index hedges and emerging market shorts
  • Disclosed Trades:  Added to my emerging market shorts
  • Market Exposure:  Moved to Market Neutral

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