Friday, August 18, 2023

Stocks Slightly Lower into Afternoon on China Economy Worries, Earnings Outlook Concerns, Technical Selling, Metals & Mining/Medical Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.7 -.9%
  • DJIA Intraday % Swing .83%
  • Bloomberg Global Risk On/Risk Off Index 69.1 -2.2%
  • Euro/Yen Carry Return Index 166.99 -.46%
  • Emerging Markets Currency Volatility(VXY) 9.16 -.87%
  • CBOE S&P 500 Implied Correlation Index 25.7 -.39% 
  • ISE Sentiment Index 84.0 -12.0 points
  • Total Put/Call 1.15 +1.77%
  • NYSE Arms 1.07 +64.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 70.99 +1.14%
  • US Energy High-Yield OAS 340.9 +.13%
  • Bloomberg TRACE # Distressed Bonds Traded 367.0 +6.0
  • European Financial Sector CDS Index 88.6 +2.2% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 262.9 +5.3%
  • Italian/German 10Y Yld Spread 171.0 basis points unch.
  • Asia Ex-Japan Investment Grade CDS Index 134.8 +4.0%
  • Emerging Market CDS Index 221.94 +1.1%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.73 -.62%
  • 2-Year SOFR Swap Spread -11.25 basis points -.25 basis point
  • TED Spread 20.75 basis points -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -12.25 -1.25 basis points
  • MBS  5/10 Treasury Spread 181.0 +1.0 basis point
  • Bloomberg CMBS Investment Grade Bbb Average OAS 745.0 unch.
  • Avg. Auto ABS OAS 69.0 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 42.4 +.12%
  • 3-Month T-Bill Yield 5.43% -1.0 basis point
  • China Iron Ore Spot 104.9 USD/Metric Tonne -1.8%
  • Dutch TTF Nat Gas(European benchmark) 36.4 euros/megawatt-hour -1.1%
  • Citi US Economic Surprise Index 77.6 -1.3 points
  • Citi Eurozone Economic Surprise Index -62.9 +2.0 points
  • Citi Emerging Markets Economic Surprise Index 4.3 +1.0 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(471 of 500 reporting) -7.5%  +.2 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 234.92 +.15:  Growth Rate +7.1% unch., P/E 18.6 -.1
  • S&P 500 Current Year Estimated Profit Margin 12.14% -1.0 basis point
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(8 of 10 reporting) +17.0% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 233.53 +.29: Growth Rate +42.3% +.1 percentage point, P/E 31.2 -.5
  • Bloomberg US Financial Conditions Index .19 +1.0 basis point
  • Bloomberg Euro-Zone Financial Conditions Index -.09 -6.0 basis points
  • US Yield Curve -67.75 basis points (2s/10s) -.75 basis point
  • 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 2.32 -2.0 basis points
  • Highest target rate probability for Nov. 1st FOMC meeting: 65.0%(+7.1 percentage points) chance of 5.25%-5.5%. Highest target rate probability for  Dec. 13th meeting: 60.7%(+5.5 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +20 open in Japan 
  • China A50 Futures: Indicating -94 open in China
  • DAX Futures: Indicating +46 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my industrial/tech sector longs and emerging market shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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