Wednesday, December 07, 2022

Stocks Reversing Lower into Final Hour on US Policy-Induced Stagflation Fears, China Hard-Landing Worries, Technical Selling, Transport/Commodity Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume:  Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 22.8 +2.6%
  • DJIA Intraday % Swing .81%
  • Bloomberg Global Risk On/Risk Off Index 45.6 -3.4%
  • Euro/Yen Carry Return Index 148.22 -.07%
  • Emerging Markets Currency Volatility(VXY) 11.6 -.1%
  • CBOE S&P 500 Implied Correlation Index 44.5 +3.7% 
  • ISE Sentiment Index 107.0 +10.0 points
  • Total Put/Call 1.27 +22.1%
  • NYSE Arms 1.95 +111.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 82.7 +.4%
  • US Energy High-Yield OAS 395.60 +3.0%
  • Bloomberg TRACE # Distressed Bonds Traded 438.0 +10.0
  • European Financial Sector CDS Index 101.22 +.09% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 431.5 unch.
  • Italian/German 10Y Yld Spread 182.0 basis points -3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 133.4 +4.2%
  • Emerging Market CDS Index 240.0 -1.4%
  • China Corp. High-Yield Bond USD ETF(KHYB) 27.3 -.03%
  • 2-Year Swap Spread 32.25 basis points +.75 basis point
  • TED Spread 43.0 basis points -2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -33.5 basis points -.75 basis point
  • MBS  5/10 Treasury Spread  144.0 -6.0 basis points
  • Bloomberg US Agg CMBS Avg OAS 124.0 unch.
  • Avg. Auto ABS OAS 1.19 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.78 +.29%
  • 3-Month T-Bill Yield 4.27% +1.0 basis point
  • China Iron Ore Spot 106.50 USD/Metric Tonne -2.1%
  • Dutch TTF Nat Gas(European benchmark) 149.6 euros/megawatt-hour +8.0%
  • Citi US Economic Surprise Index 18.2 -.6 point
  • Citi Eurozone Economic Surprise Index 37.7 +4.6 points
  • Citi Emerging Markets Economic Surprise Index -3.5 -3.8 points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 230.24 -.01:  Growth Rate +11.3% unch, P/E 17.1 unch.
  • Bloomberg US Financial Conditions Index -.67 -8.0 basis points 
  • Yield Curve -84.25 basis points (2s/10s) -1.25 basis points
  • US Atlanta Fed GDPNow Forecast +3.37% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.87% unch.: CPI YoY +7.49% unch.
  • 10-Year TIPS Spread 2.26 -8.0 basis points
  • Highest target rate probability for Feb. 1st FOMC meeting: 46.1%(-5.1 percentage points) chance of 4.75%-5.0%. Highest target rate probability for March 22nd meeting: 44.3%(+2.4 percentage points) chance of 4.75%-5.0%.
US Covid-19:
  • 91 new infections/100K people(last 7 days total). 5.2%(+.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 -77.2%(+2.2 percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -116 open in Japan 
  • China A50 Futures: Indicating -18 open in China
  • DAX Futures: Indicating +28 open in Germany
Portfolio:
  • Higher:  On gains in my medical/industrial sector longs, index hedges and emerging market shorts
  • Disclosed Trades:  None
  • Market Exposure: 25% Net Long

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