Monday, July 03, 2023

Stocks Finish Slightly Higher on US Economic "Soft-Landing" Hopes, Loosening US Financial Conditions, Short-Covering, Alt Energy/Financial Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 13.5 -.4%
  • DJIA Intraday % Swing .52%
  • Bloomberg Global Risk On/Risk Off Index 64.3 +1.7%
  • Euro/Yen Carry Return Index 166.2 +.23%
  • Emerging Markets Currency Volatility(VXY) 8.9 +1.3%
  • CBOE S&P 500 Implied Correlation Index 18.8 -.4% 
  • ISE Sentiment Index 139.0 +44.0 points
  • Total Put/Call .75 -12.8%
  • NYSE Arms .63 -28.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.6 -.32%
  • US Energy High-Yield OAS 350.92 -.28%
  • Bloomberg TRACE # Distressed Bonds Traded 385.0 -1.0
  • European Financial Sector CDS Index 84.5 -.94% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 273.3 -2.0%
  • Italian/German 10Y Yld Spread 170.0 basis points +2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 114.9 -2.3%
  • Emerging Market CDS Index 214.8 +.7%
  • China Corp. High-Yield Bond USD ETF(KHYB) 26.0 -.61%
  • 2-Year Swap Spread 20.75 basis points -.5 basis point
  • TED Spread 26.25 basis points unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -13.0 +2.0 basis points
  • MBS  5/10 Treasury Spread 163.0 unch.
  • Bloomberg CMBS Investment Grade Bbb Average OAS 713.0 -2.0 basis points
  • Avg. Auto ABS OAS 78.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 43.59 +.16%
  • 3-Month T-Bill Yield 5.28% unch.
  • China Iron Ore Spot 109.0 USD/Metric Tonne +.6%
  • Dutch TTF Nat Gas(European benchmark) 33.9 euros/megawatt-hour  -8.6%
  • Citi US Economic Surprise Index 57.0 +3.4 points
  • Citi Eurozone Economic Surprise Index -146.5 +1.6 points
  • Citi Emerging Markets Economic Surprise Index -2.0 -4.7 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(16 of 500 reporting) -20.6% n/a
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 231.31 n/a:  Growth Rate +3.5% n/a, P/E 19.2 n/a
  • S&P 500 Current Year Estimated Profit Margin 12.21% n/a
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 213.93 unch.: Growth Rate +41.7% n/a, P/E 36.3 n/a
  • Bloomberg US Financial Conditions Index .36 +3.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index -4.11 -5.0 basis points
  • US Yield Curve -108.75 basis points (2s/10s) -2.5 basis points
  • US Atlanta Fed 2Q GDPNow Forecast +1.94% -23.0 basis points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.35% unch.: CPI YoY +3.22% unch.
  • 10-Year TIPS Spread 2.26 +3.0 basis points
  • Highest target rate probability for Sept. 20th FOMC meeting: 71.6%(+2.5 percentage points) chance of 5.25%-5.5%. Highest target rate probability for  Nov. 1st meeting: 56.3%(+2.3 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -68 open in Japan 
  • China A50 Futures: Indicating -186 open in China
  • DAX Futures: Indicating +143 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my tech/industrial/utility sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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