Monday, June 05, 2023

Stocks Reversing Lower into Final Hour on US Policy-Induced Stagflation Fears, Global Growth Worries, Global Bank Regulation Concerns, Regional Bank/Retail Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 14.9 +1.9%
  • DJIA Intraday % Swing .55%
  • Bloomberg Global Risk On/Risk Off Index 59.3 +2.9%
  • Euro/Yen Carry Return Index 157.1 -.11%
  • Emerging Markets Currency Volatility(VXY) 9.6 -.31%
  • CBOE S&P 500 Implied Correlation Index 22.5 +3.7% 
  • ISE Sentiment Index 119.0 -5.0 points
  • Total Put/Call .77 +4.1%
  • NYSE Arms .92 +18.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 77.0 -.02%
  • US Energy High-Yield OAS 393.65 +.98%
  • Bloomberg TRACE # Distressed Bonds Traded 417.0 +41.0
  • European Financial Sector CDS Index 88.5 +.87% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 306.7 -.44%
  • Italian/German 10Y Yld Spread 176.0 basis points -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 117.1 -2.34%
  • Emerging Market CDS Index 222.6 -2.6%
  • China Corp. High-Yield Bond USD ETF(KHYB) 25.97 +.21%
  • 2-Year Swap Spread 16.75 basis points -2.25 basis points
  • TED Spread 14.5 basis points -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -23.5 -2.75 basis points
  • MBS  5/10 Treasury Spread 177.0 +3.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 723.0 +2.0 basis points
  • Avg. Auto ABS OAS 90.0 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 46.4 -.18%
  • 3-Month T-Bill Yield 5.31% -4.0 basis points
  • China Iron Ore Spot 162.3 USD/Metric Tonne +1.2%
  • Dutch TTF Nat Gas(European benchmark) 28.5 euros/megawatt-hour  +20.2%
  • Citi US Economic Surprise Index 28.2 -10.7 points
  • Citi Eurozone Economic Surprise Index -82.2 -9.7 points
  • Citi Emerging Markets Economic Surprise Index 21.2 +.8 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(495 of 500 reporting) -2.7% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 230.07 +.26:  Growth Rate +2.9% +.1 percentage point, P/E 18.6 +.2
  • S&P 500 Current Year Estimated Profit Margin 12.24% -1.0 basis point
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(10 of 10 reporting) -2.7% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 201.90 -3.72: Growth Rate +32.7% -2.4 percentage points, P/E 36.9 +2.0
  • Bloomberg US Financial Conditions Index .11 -8.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index -4.51 +12.0 basis points
  • US Yield Curve -80.0 basis points (2s/10s) -1.5 basis points
  • US Atlanta Fed 2Q GDPNow Forecast +1.96% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.71% unch.: CPI YoY +4.13% unch.
  • 10-Year TIPS Spread 2.21 +3.0 basis points
  • Highest target rate probability for July 26th FOMC meeting: 52.5%(-1.0 percentage point) chance of 5.25%-5.5%. Highest target rate probability for Sept. 20th meeting: 47.7%(-1.1 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -20 open in Japan 
  • China A50 Futures: Indicating -48 open in China
  • DAX Futures: Indicating -17 open in Germany
Portfolio:
  • Higher:  On gains in my medical/utility sector longs and index hedges
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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