Thursday, June 01, 2023

Stocks Rising into Afternoon on US Economic "Soft-Landing" Optimism, China Stimulus Hopes, Short-Covering, Tech/Commodity Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Above Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 15.8 -11.8%
  • DJIA Intraday % Swing 1.29%
  • Bloomberg Global Risk On/Risk Off Index 55.1 +3.3%
  • Euro/Yen Carry Return Index 156.7 +.3%
  • Emerging Markets Currency Volatility(VXY) 9.8 +.2%
  • CBOE S&P 500 Implied Correlation Index 22.3 -8.9% 
  • ISE Sentiment Index 141.0 +39.0 points
  • Total Put/Call .78 -25.0%
  • NYSE Arms .82 -25.5%
Credit Investor Angst:
  • North American Investment Grade CDS Index 74.0 -1.6%
  • US Energy High-Yield OAS 394.04 -.86%
  • Bloomberg TRACE # Distressed Bonds Traded 376.0 unch.
  • European Financial Sector CDS Index 89.9 -3.3% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 310.6 -1.9%
  • Italian/German 10Y Yld Spread 184.0 basis points +4.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 123.0 +.17%
  • Emerging Market CDS Index 242.0 -1.9%
  • China Corp. High-Yield Bond USD ETF(KHYB) 25.7 +.02%
  • 2-Year Swap Spread 19.0 basis points -2.25 basis points
  • TED Spread 15.5 basis points +8.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -20.75 +1.0 basis point
  • MBS  5/10 Treasury Spread 172.0 -6.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 721.0 unch.
  • Avg. Auto ABS OAS 91.0 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 46.4 +.24%
  • 3-Month T-Bill Yield 5.36% -4.0 basis points
  • China Iron Ore Spot 102.3 USD/Metric Tonne +.17%
  • Dutch TTF Nat Gas(European benchmark) 23.1 euros/megawatt-hour  -14.0%
  • Citi US Economic Surprise Index 30.9 +7.2 points
  • Citi Eurozone Economic Surprise Index -72.8 -9.9 points
  • Citi Emerging Markets Economic Surprise Index 20.0 +9.4 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(493 of 500 reporting) -2.7% +.9 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 229.80 +.06:  Growth Rate +2.8% unch., P/E 18.2 unch.
  • S&P 500 Current Year Estimated Profit Margin 12.25% -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 205.62 +.27: Growth Rate +35.1% +.2 percentage point, P/E 34.9 unch.
  • Bloomberg US Financial Conditions Index .02 +7.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index -4.71 +14.0 basis points
  • US Yield Curve -74.25 basis points (2s/10s) +1.75 basis points
  • US Atlanta Fed 2Q GDPNow Forecast +1.96% +.6 percentage point
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.71% unch.: CPI YoY +4.13% unch.
  • 10-Year TIPS Spread 2.18 -1.0 basis point
  • Highest target rate probability for July 26th FOMC meeting: 47.6%(-4.6 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Sept. 20th meeting: 42.1%(+3.8 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +20 open in Japan 
  • China A50 Futures: Indicating +4 open in China
  • DAX Futures: Indicating +40 open in Germany
Portfolio:
  • Higher:  On gains in my medical/tech/industrial sector longs
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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