Tuesday, March 28, 2023

Stocks Reversing Lower into Afternoon on Regional Bank Contagion Worries, US Policy-Induced Stagflation Fears, Fed Higher-for-Longer Concerns, Tech/Healthcare 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) 20.7 +.5%
  • DJIA Intraday % Swing .67%
  • Bloomberg Global Risk On/Risk Off Index 50.5 +2.2%
  • Euro/Yen Carry Return Index 147.7 -.3%
  • Emerging Markets Currency Volatility(VXY) 12.0 unch.
  • CBOE S&P 500 Implied Correlation Index 37.2 +5.2% 
  • ISE Sentiment Index 130.0 +46.0 points
  • Total Put/Call 1.02 +12.1%
  • NYSE Arms .83 +7.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 84.56 +1.4%
  • US Energy High-Yield OAS 434.02 -.82%
  • Bloomberg TRACE # Distressed Bonds Traded 471.0 +12
  • European Financial Sector CDS Index 114.83 -1.1% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 489.6 +15.9%
  • Italian/German 10Y Yld Spread 185.0 basis basis points +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 145.2 -1.2%
  • Emerging Market CDS Index 251.2 +1.1%
  • China Corp. High-Yield Bond USD ETF(KHYB) 26.6 +.36%
  • 2-Year Swap Spread 33.0 basis points +4.0 basis points
  • TED Spread 49.0 basis points unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -21.75 +.25 basis point
  • MBS  5/10 Treasury Spread  161.0 +7.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 663.0 +2.0 basis points
  • Avg. Auto ABS OAS 90.0 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.8 +.28%
  • 3-Month T-Bill Yield 4.64% -4.0 basis points
  • China Iron Ore Spot 121.9 USD/Metric Tonne +.5%
  • Dutch TTF Nat Gas(European benchmark) 42.7 euros/megawatt-hour +.5%
  • Citi US Economic Surprise Index 61.3 +1.8 points
  • Citi Eurozone Economic Surprise Index 60.9 +1.4 points
  • Citi Emerging Markets Economic Surprise Index 23.5 -.1 point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 226.26 -.05:  Growth Rate +1.7% -.1 percentage point, P/E 17.6 unch.
  • S&P 500 Current Year Estimated Profit Margin 12.33% unch.
  • Bloomberg US Financial Conditions Index -.61 -10.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index -4.19 +19.0 basis points
  • US Yield Curve -49.25 basis points (2s/10s) -.25 basis point
  • US Atlanta Fed 1Q GDPNow Forecast +3.19% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.73% unch.: CPI YoY +5.22% unch.
  • 10-Year TIPS Spread 2.31 +6.0 basis points
  • Highest target rate probability for June 14th FOMC meeting: 55.5%(-3.5 percentage points) chance of 4.75%-5.0%. Highest target rate probability for July 26th meeting: 42.0%(+.2 percentage point) chance of 4.75%-5.0%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -293 open in Japan 
  • China A50 Futures: Indicating +61 open in China
  • DAX Futures: Indicating +89 open in Germany
Portfolio:
  • Lower:  On losses in my tech/medical sector longs and emerging market shorts
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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