Monday, August 21, 2023

Stocks Reversing Higher into Final Hour on Earnings Outlook Optimism, Less Dovish Fed "Priced In" Hopes, Technical Buying, Tech/Biotech Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Around Even
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.2 -.6%
  • DJIA Intraday % Swing .83%
  • Bloomberg Global Risk On/Risk Off Index 70.1 +1.2%
  • Euro/Yen Carry Return Index 168.6 +.79%
  • Emerging Markets Currency Volatility(VXY) 9.18 +.33%
  • CBOE S&P 500 Implied Correlation Index 24.0 -4.3% 
  • ISE Sentiment Index 97.0 +13.0 points
  • Total Put/Call .87 -26.3%
  • NYSE Arms .78 +16.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 70.31 -.49%
  • US Energy High-Yield OAS 337.41 -.97%
  • Bloomberg TRACE # Distressed Bonds Traded 357.0 -10.0
  • European Financial Sector CDS Index 89.2 +.68% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 266.87 +1.52%
  • Italian/German 10Y Yld Spread 169.0 basis points -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 136.7 +2.0%
  • Emerging Market CDS Index 220.8 -.6%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.6 -.65%
  • 2-Year SOFR Swap Spread -11.75 basis points -.5 basis point
  • TED Spread 21.5 basis points +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -12.75 -.75 basis point
  • MBS  5/10 Treasury Spread 184.0 +3.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 748.0 +3.0 basis points
  • Avg. Auto ABS OAS 70.0 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 42.3 -.03%
  • 3-Month T-Bill Yield 5.44% +1.0 basis point
  • China Iron Ore Spot 108.3 USD/Metric Tonne +.77%
  • Dutch TTF Nat Gas(European benchmark) 40.78 euros/megawatt-hour +12.0%
  • Citi US Economic Surprise Index 72.4 -5.2 points
  • Citi Eurozone Economic Surprise Index -54.6 +8.3 points
  • Citi Emerging Markets Economic Surprise Index 3.1 -1.2 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(472 of 500 reporting) -7.3%  +.2 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 234.76 -.16:  Growth Rate +6.9% -.2 percentage point, P/E 18.6 unch.
  • S&P 500 Current Year Estimated Profit Margin 12.10% -4.0 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 233.59 +.06: Growth Rate +42.4% +.1 percentage point, P/E 31.7 +.5
  • Bloomberg US Financial Conditions Index .27 +6.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index -.17 -8.0 basis points
  • US Yield Curve -65.75 basis points (2s/10s) +2.0 basis points
  • US Atlanta Fed 2Q GDPNow Forecast +5.76% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.23% unch.: CPI YoY +3.82% unch.
  • 10-Year TIPS Spread 2.34 +2.0 basis points
  • Highest target rate probability for Nov. 1st FOMC meeting: 57.8%(-6.1 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Dec. 13th meeting: 56.0%(-3.7 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +240 open in Japan 
  • China A50 Futures: Indicating -6 open in China
  • DAX Futures: Indicating +82 open in Germany
Portfolio:
  • Higher:  On gains in my industrial/tech/medical sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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