Tuesday, August 22, 2023

Stocks Modestly Lower into Final Hour on Earnings Outlook Worries, Bank Credit Downgrades, Technical Selling, Financial/Retail Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.3 +.7%
  • DJIA Intraday % Swing .83%
  • Bloomberg Global Risk On/Risk Off Index 69.6 -.98%
  • Euro/Yen Carry Return Index 167.5 -.66%
  • Emerging Markets Currency Volatility(VXY) 9.0 -1.6%
  • CBOE S&P 500 Implied Correlation Index 23.4 -1.6% 
  • ISE Sentiment Index 114.0 +12.0 points
  • Total Put/Call .97 +6.6%
  • NYSE Arms 1.29 +67.5%
Credit Investor Angst:
  • North American Investment Grade CDS Index 69.45 -.42%
  • US Energy High-Yield OAS 332.13 -.88%
  • Bloomberg TRACE # Distressed Bonds Traded 363.0 +6.0
  • European Financial Sector CDS Index 87.56 -1.84% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 263.17 -1.39%
  • Italian/German 10Y Yld Spread 166.0 basis points -3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 132.0 -3.31%
  • Emerging Market CDS Index 217.79 -1.6%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.6 unch.
  • 2-Year SOFR Swap Spread -12.5 basis points -.75 basis point
  • TED Spread 23.0 basis points +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -13.5 -.75 basis point
  • MBS  5/10 Treasury Spread 183.0 -1.0 basis point
  • Bloomberg CMBS Investment Grade Bbb Average OAS 748.0 unch.
  • Avg. Auto ABS OAS 70.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 42.37 +.01%
  • 3-Month T-Bill Yield 5.41% -3.0 basis points
  • China Iron Ore Spot 110.8 USD/Metric Tonne +.11%
  • Dutch TTF Nat Gas(European benchmark) 42.9 euros/megawatt-hour +5.2%
  • Citi US Economic Surprise Index 69.2 -3.2 points
  • Citi Eurozone Economic Surprise Index -52.2 -2.4 points
  • Citi Emerging Markets Economic Surprise Index 3.0 -.1 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(475 of 500 reporting) -7.3%  unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 235.53 +.77:  Growth Rate +7.3% +.4 percentage point, P/E 18.7 +.1
  • S&P 500 Current Year Estimated Profit Margin 12.18% +8.0 basis points
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(8 of 10 reporting) +17.0% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 234.10 +.51: Growth Rate +42.7% +.3 percentage point, P/E 32.0 +.3
  • Bloomberg US Financial Conditions Index .22 -4.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index -.02 +15.0 basis points
  • US Yield Curve -70.5 basis points (2s/10s) -4.75 basis points
  • US Atlanta Fed 2Q GDPNow Forecast +5.76% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.23% unch.: CPI YoY +3.83% +1.0 basis point
  • 10-Year TIPS Spread 2.35 +1.0 basis point
  • Highest target rate probability for Nov. 1st FOMC meeting: 54.6%(-.8 percentage point) chance of 5.25%-5.5%. Highest target rate probability for Dec. 13th meeting: 53.3%(-2.4 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -52 open in Japan 
  • China A50 Futures: Indicating -107 open in China
  • DAX Futures: Indicating +41 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my industrial/medical sector longs and emerging  market shorts
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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