Thursday, October 06, 2022

Stocks Reversing Lower into Afternoon on US Policy-Induced Stagflation Fears, Diminished Fed "Pivot" Hopes, Dollar Strength, Utility/Alt Energy Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume:  Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 29.8 +4.3%
  • DJIA Intraday % Swing 1.13%
  • Bloomberg Global Risk On/Risk Off Index 48.1 -.5%
  • Euro/Yen Carry Return Index 146.75 -.45%
  • Emerging Markets Currency Volatility(VXY) 12.3 +.6%
  • CBOE S&P 500 Implied Correlation Index 48.6 +1.14% 
  • ISE Sentiment Index 113.0 +24.0 points
  • Total Put/Call .89 +1.14%
  • NYSE Arms 1.09 +26.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 96.83 -.47%
  • US Energy High-Yield OAS 403.41 -2.21%
  • Bloomberg TRACE # Distressed Bonds Traded 448.0 -16.0
  • European Financial Sector CDS Index 141.75 -.47% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 469.14 -4.1%
  • Italian/German 10Y Yld Spread 243.0 basis points -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 176.24 +2.13%
  • Emerging Market CDS Index 305.10 +.12%
  • China Corp. High-Yield Bond USD ETF(KHYB) 25.55 -.24%
  • 2-Year Swap Spread 28.5 basis points -1.0 basis point
  • TED Spread 38.0 basis points +1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -59.75 basis points +3.75 basis points
  • MBS  5/10 Treasury Spread  169.0 +2.0 basis points
  • iShares CMBS ETF 45.52 -1.32%
  • Avg. Auto ABS OAS .79 +8.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.23 -.39%
  • 3-Month T-Bill Yield 3.36% -1.0 basis point
  • Yield Curve -42.75 basis points (2s/10s) -3.25 basis points
  • China Iron Ore Spot 94.25 USD/Metric Tonne +.25%
  • Dutch TTF Nat Gas(European benchmark) 166.90 euros/megawatt-hour -3.91%
  • Citi US Economic Surprise Index 4.70 -2.8 points
  • Citi Eurozone Economic Surprise Index .5 -2.3 points
  • Citi Emerging Markets Economic Surprise Index -4.7 -.8 point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 236.07 -.18:  Growth Rate +15.7% -.1 percentage point, P/E 15.9 -.1
  • Bloomberg US Financial Conditions Index -1.02 -5.0 basis points
  • US Atlanta Fed GDPNow Forecast +2.70% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +5.11% unch.: CPI YoY +8.20% unch.
  • 10-Year TIPS Spread 2.21 unch.
  • Highest target rate probability for December 14th FOMC meeting: 74.6%(+10.3 percentage points) chance of 4.25%-4.5%. Highest target rate probability for February 1st meeting: 62.9%(+10.7 percentage points) chance of 4.5%-4.75%.
US Covid-19:
  • 84 new infections/100K people(last 7 days total). 4.8%(-.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 -83.9%(unch.) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -261 open in Japan 
  • China A50 Futures: Indicating +375 open in China
  • DAX Futures: Indicating +1 open in Germany
Portfolio:
  • Higher:  On gains in my commodity sector longs, index hedges and emerging market shorts
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges
  • Market Exposure:  Moved to 25% net long

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