Thursday, June 08, 2023

Stocks Rising into Final Hour on US Economic "Soft-Landing" Hopes, Dollar Weakness, Short-Covering, Tech/Retail Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 13.6 -2.2%
  • DJIA Intraday % Swing .65%
  • Bloomberg Global Risk On/Risk Off Index 60.5 -1.6%
  • Euro/Yen Carry Return Index 157.37 -.09%
  • Emerging Markets Currency Volatility(VXY) 9.62 -.52%
  • CBOE S&P 500 Implied Correlation Index 20.2 -3.3% 
  • ISE Sentiment Index 114.0 -15.0 points
  • Total Put/Call .80 -8.1%
  • NYSE Arms 1.0 +44.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 70.9 -1.1%
  • US Energy High-Yield OAS 389.22 +.89%
  • Bloomberg TRACE # Distressed Bonds Traded 432.0 +23.0
  • European Financial Sector CDS Index 87.87 +.36% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 297.19 +.21%
  • Italian/German 10Y Yld Spread 178.0 basis points -5.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 116.9 -.4%
  • Emerging Market CDS Index 223.56 +.79%
  • China Corp. High-Yield Bond USD ETF(KHYB) 26.16 +.31%
  • 2-Year Swap Spread 20.25 basis points -.5 basis point
  • TED Spread 27.0 basis points +4.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -21.5 +1.25 basis points
  • MBS  5/10 Treasury Spread 165.0 -3.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 730.0 +1.0 basis point
  • Avg. Auto ABS OAS 87.0 -2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 45.4 +.36%
  • 3-Month T-Bill Yield 5.24% -4.0 basis points
  • China Iron Ore Spot 111.3 USD/Metric Tonne +.87%
  • Dutch TTF Nat Gas(European benchmark) 26.9 euros/megawatt-hour  +2.3%
  • Citi US Economic Surprise Index 21.2 -5.7 points
  • Citi Eurozone Economic Surprise Index -90.5 -2.0 points
  • Citi Emerging Markets Economic Surprise Index 14.4 -.2 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(498 of 500 reporting) -2.7% +.7 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 230.31 +.11:  Growth Rate +2.9% unch., P/E 18.6 unch.
  • S&P 500 Current Year Estimated Profit Margin 12.25% unch.
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(10 of 10 reporting) -2.9% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 207.06 +.49: Growth Rate +35.7% unch., P/E 35.7 +.1
  • Bloomberg US Financial Conditions Index .12 -6.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index -4.28 unch.
  • US Yield Curve -81.5 basis points (2s/10s) -4.5 basis points
  • US Atlanta Fed 2Q GDPNow Forecast +2.20% -2.0 basis points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.71% unch.: CPI YoY +4.13% unch.
  • 10-Year TIPS Spread 2.21 -5.0 basis points
  • Highest target rate probability for July 26th FOMC meeting: 52.0%(+1.1 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Sept. 20th meeting: 48.3%(+.3 percentage point) chance of 5.25%-5.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +280 open in Japan 
  • China A50 Futures: Indicating -30 open in China
  • DAX Futures: Indicating +35 open in Germany
Portfolio:
  • Higher:  On gains in my utility/industrial/tech/medical sector longs a
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 575% Net Long

No comments: