Thursday, August 17, 2023

Stocks Reversing Lower into Afternoon on Rising Long-Term Rates, Surging China Debt Angst, Technical Selling, Homebuilding/Healthcare 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) 17.0 +1.6%
  • DJIA Intraday % Swing .58%
  • Bloomberg Global Risk On/Risk Off Index 71.6 +2.0%
  • Euro/Yen Carry Return Index 168.1 -.17%
  • Emerging Markets Currency Volatility(VXY) 9.32 -.53%
  • CBOE S&P 500 Implied Correlation Index 24.5 +.8% 
  • ISE Sentiment Index 104.0 -21.0 points
  • Total Put/Call .93 -26.8%
  • NYSE Arms .70 -25.5%
Credit Investor Angst:
  • North American Investment Grade CDS Index 70.2 +2.7%
  • US Energy High-Yield OAS 335.38 +1.8%
  • Bloomberg TRACE # Distressed Bonds Traded 361.0 +10.0
  • European Financial Sector CDS Index 86.6 +2.9% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 249.7 +1.7%
  • Italian/German 10Y Yld Spread 171.0 basis points +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 129.5 +7.7%
  • Emerging Market CDS Index 219.1 +1.7%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.83 -.34%
  • 2-Year SOFR Swap Spread -11.0 basis points +.5 basis point
  • TED Spread 21.25 basis points +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -11.0 -1.0 basis point
  • MBS  5/10 Treasury Spread 180.0 +1.0 basis point
  • Bloomberg CMBS Investment Grade Bbb Average OAS 745.0 unch.
  • Avg. Auto ABS OAS 68.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 42.33 +.09%
  • 3-Month T-Bill Yield 5.44% unch.
  • China Iron Ore Spot 105.7 USD/Metric Tonne unch.
  • Dutch TTF Nat Gas(European benchmark) 36.8 euros/megawatt-hour -2.5%
  • Citi US Economic Surprise Index 78.9 +7.3 points
  • Citi Eurozone Economic Surprise Index -64.9 +1.8 points
  • Citi Emerging Markets Economic Surprise Index 3.3 unch.
  • S&P 500 Current Quarter EPS Growth Rate YoY(466 of 500 reporting) -7.7%  +.3 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 234.77 +.21:  Growth Rate +7.1% unch., P/E 18.7 -.2
  • S&P 500 Current Year Estimated Profit Margin 12.15% +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 233.24 +.36: Growth Rate +42.2% +.3 percentage point, P/E 31.7 -.5
  • Bloomberg US Financial Conditions Index .29 -3.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index -.03 unch.
  • US Yield Curve -67.0 basis points (2s/10s) +5.0 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 unch.
  • Highest target rate probability for Nov. 1st FOMC meeting: 59.7%(-1.0 percentage point) chance of 5.25%-5.5%. Highest target rate probability for  Dec. 13th meeting: 57.7%(-.9 percentage point) chance of 5.25%-5.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +86 open in Japan 
  • China A50 Futures: Indicating -66 open in China
  • DAX Futures: Indicating +32 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my commodity/tech sector longs and index hedges
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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