Friday, April 14, 2023

Stocks Reversing Lower into Afternoon on US Policy-Induced Stagflation Fears, Rising Rate-Hike Odds, Regional Bank Contagion Worries, Regional Bank/Tech Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 17.9 +.5%
  • DJIA Intraday % Swing 1.01%
  • Bloomberg Global Risk On/Risk Off Index 57.4 +4.1%
  • Euro/Yen Carry Return Index 153.5 +.30%
  • Emerging Markets Currency Volatility(VXY) 11.2 +.09%
  • CBOE S&P 500 Implied Correlation Index 33.0 +2.7% 
  • ISE Sentiment Index 92.0 +4.0 points
  • Total Put/Call .83 -5.7%
  • NYSE Arms .82 -10.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 74.2 -1.7%
  • US Energy High-Yield OAS 359.9 -1.2%
  • Bloomberg TRACE # Distressed Bonds Traded 367.0 +11
  • European Financial Sector CDS Index 94.7 -1.7% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 363.4 -4.5%
  • Italian/German 10Y Yld Spread 186.0 basis basis points +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 124.5 -.8%
  • Emerging Market CDS Index 231.7 +.76%
  • China Corp. High-Yield Bond USD ETF(KHYB) 26.95 -.27%
  • 2-Year Swap Spread 30.0 basis points -1.5 basis points
  • TED Spread 24.75 basis points -9.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -16.5 +1.5 basis points
  • MBS  5/10 Treasury Spread 162.0 +7.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 694.0 +1.0 basis point
  • Avg. Auto ABS OAS 95.0 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.9 -.23%
  • 3-Month T-Bill Yield 5.0% +6.0 basis points
  • China Iron Ore Spot 114.5 USD/Metric Tonne -1.7%
  • Dutch TTF Nat Gas(European benchmark) 41.1 euros/megawatt-hour -2.2%
  • Citi US Economic Surprise Index 31.0 +1.6 points
  • Citi Eurozone Economic Surprise Index 48.40 -1.2 points
  • Citi Emerging Markets Economic Surprise Index 27.8 -2.9 points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 225.83 -.08:  Growth Rate +1.5% -.1 percentage point, P/E 18.4 +.3
  • S&P 500 Current Year Estimated Profit Margin 12.26% -1.0 basis point
  • Bloomberg US Financial Conditions Index .17 +14.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index -3.96 +15.0 basis points
  • US Yield Curve -57.75 basis points (2s/10s) -5.0 basis points
  • US Atlanta Fed 1Q GDPNow Forecast +2.17% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.58% unch.: CPI YoY +5.12% unch.
  • 10-Year TIPS Spread 2.31 +3.0 basis points
  • Highest target rate probability for June 14th FOMC meeting: 63.9%(-.7 percentage point) chance of 5.0%-5.25%. Highest target rate probability for July 26th meeting: 47.7%(+17.3 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -100 open in Japan 
  • China A50 Futures: Indicating -42 open in China
  • DAX Futures: Indicating +108 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my 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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