Friday, September 30, 2022

Stocks Reversing Lower into Afternoon on US Policy-Induced Stagflation Fears, Earnings Outlook Worries, Technical Selling, Road & Rail/Utility Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume:  Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 30.3 -5.0%
  • DJIA Intraday % Swing 1.2%
  • Bloomberg Global Risk On/Risk Off Index 46.7 +.1%
  • Euro/Yen Carry Return Index 145.81 -.08%
  • Emerging Markets Currency Volatility(VXY) 12.5 -1.3%
  • CBOE S&P 500 Implied Correlation Index 48.98 -.33% 
  • ISE Sentiment Index 100.0 +7.0 points
  • Total Put/Call 1.06 -.54%
  • NYSE Arms 1.05 -20.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 107.8 +.4%
  • US Energy High-Yield OAS 452.62 -.4%
  • Bloomberg TRACE # Distressed Bonds Traded 411.0 -15.0
  • European Financial Sector CDS Index 148.43 -3.21%
  • Italian/German 10Y Yld Spread 241.0 basis points -6.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 186.25 +.1%
  • Emerging Market CDS Index 330.90 -1.6%
  • China Corp. High-Yield Bond USD ETF(KHYB) 25.53 -.37%
  • 2-Year Swap Spread 29.25 basis points +.75 basis point
  • TED Spread 45.0 basis points +10.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -66.25 basis points +3.5 basis points
  • MBS  5/10 Treasury Spread  173.0 +5.0 basis points
  • iShares CMBS ETF 46.07 -.13%
  • Avg. Auto ABS OAS .66 -1.0 basis  point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.09 -.35%
  • 3-Month T-Bill Yield 3.29% unch.
  • Yield Curve -41.75 basis points (2s/10s) +.25 basis point
  • China Iron Ore Spot 94.10 USD/Metric Tonne -2.1%
  • Dutch TTF Nat Gas(European benchmark) 18.80 euros/megawatt-hour -7.3%
  • Citi US Economic Surprise Index 17.9 -.6 point
  • Citi Eurozone Economic Surprise Index .2 +5.9 points
  • Citi Emerging Markets Economic Surprise Index -4.4 -4.1 points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 236.05 +.04:  Growth Rate +15.8% +.1 percentage point, P/E 15.4 +.1
  • Bloomberg US Financial Conditions Index -1.39 -9.0 basis points
  • US Atlanta Fed GDPNow Forecast +2.43% +216.0 basis points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +5.11% +43.0 basis points: CPI YoY +8.20% unch.
  • 10-Year TIPS Spread 2.15 -6.0 basis points
  • Highest target rate probability for December 14th FOMC meeting: 48.2%(-.1 percentage point) chance of 4.25%-4.5%. Highest target rate probability for February 1st meeting: 48.7%(+1.2 percentage points) chance of 4.25%-4.5%.
US Covid-19:
  • 105 new infections/100K people(last 7 days total). 6.0%(-.0 percentage point) of 1/14/22 peak(1,740) -0/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -83.4%(-.7 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating +82 open in Japan 
  • China A50 Futures: Indicating -22 open in China
  • DAX Futures: Indicating -90 open in Germany
Portfolio:
  • Slightly Higher:  On losses in my tech/utility/industrial sector longs
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges
  • Market Exposure:  Moved to Market Neutral

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