Thursday, September 29, 2022

Stocks Plunging into Final Hour on US Policy-Induced Stagflation Fears, Earnings Outlook Worries, Surging European/Emerging Markets/US High-Yield Debt Angst, Tech/Consumer Discretionary Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Every Sector Declining
  • Volume:  Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 32.5 +7.7%
  • DJIA Intraday % Swing 1.6%
  • Bloomberg Global Risk On/Risk Off Index 46.5 -3.7%
  • Euro/Yen Carry Return Index 145.63 +.77%
  • Emerging Markets Currency Volatility(VXY) 12.7 +.6%
  • CBOE S&P 500 Implied Correlation Index 50.5 +3.3% 
  • ISE Sentiment Index 86.0 -29.0 points
  • Total Put/Call 1.09 +1.9%
  • NYSE Arms 1.24 +138.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 110.28 +3.14%
  • US Energy High-Yield OAS 459.52 +1.82%
  • Bloomberg TRACE # Distressed Bonds Traded 426.0 +15.0
  • European Financial Sector CDS Index 153.31 +3.74%
  • Italian/German 10Y Yld Spread 247.0 basis points +6.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 186.12 +2.2%
  • Emerging Market CDS Index 336.26 +5.4%
  • China Corp. High-Yield Bond USD ETF(KHYB) 25.7 unch.
  • 2-Year Swap Spread 28.5 basis points -4.5 basis points
  • TED Spread 34.25 basis points -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -69.75 basis points -46.0 basis points
  • MBS  5/10 Treasury Spread  168.0 +5.0 basis points
  • iShares CMBS ETF 46.03 -.33%
  • Avg. Auto ABS OAS .67 +3.0 basis  points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.24 -.19%
  • 3-Month T-Bill Yield 3.29% +1.0 basis point
  • Yield Curve -42.0 basis points (2s/10s) -4.25 basis points
  • China Iron Ore Spot 96.6 USD/Metric Tonne +.3%
  • Dutch TTF Nat Gas(European benchmark) 185.0 euros/megawatt-hour -10.6%
  • Citi US Economic Surprise Index 18.5 +3.5 points
  • Citi Eurozone Economic Surprise Index -5.7 -4.9 points
  • Citi Emerging Markets Economic Surprise Index -.3 +.9 point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 236.01 -.02:  Growth Rate +15.7% -.1 percentage point, P/E 15.3 -.4
  • Bloomberg US Financial Conditions Index -1.27 +1.0 basis point
  • US Atlanta Fed GDPNow Forecast +.27% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.68% unch.: CPI YoY +8.20% unch.
  • 10-Year TIPS Spread 2.21 -12.0 basis points
  • Highest target rate probability for December 14th FOMC meeting: 61.6%(+15.5 percentage points) chance of 4.25%-4.5%. Highest target rate probability for February 1st meeting: 55.4%(+21.6 percentage points) chance of 4.5%-4.75%.
US Covid-19:
  • 105 new infections/100K people(last 7 days total). 6.0%(-.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 -82.7%(-.2 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -372 open in Japan 
  • China A50 Futures: Indicating -21 open in China
  • DAX Futures: Indicating -37 open in Germany
Portfolio:
  • Slightly Lower:  On losses in my tech/utility/industrial sector longs
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  • Market Exposure:  Moved to Market Neutral

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