Monday, October 30, 2023

Stocks Higher into Final Hour on Diminished Mid-East Regional War Fears, Stable Long-Term Rates, Earnings Outlook Optimism, Transport/Financial Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 19.8 -6.8%
  • DJIA Intraday % Swing .80% -43.5%
  • Bloomberg Global Risk On/Risk Off Index 63.2 +2.0%
  • Euro/Yen Carry Return Index 168.8 +.08%
  • Emerging Markets Currency Volatility(VXY) 8.22 -.72%
  • CBOE S&P 500 Implied Correlation Index 32.2 -7.1% 
  • ISE Sentiment Index 106.0 +23.0
  • Total Put/Call .90 -26.8%
  • NYSE Arms 1.06 -25.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 80.65 -.37%
  • US Energy High-Yield OAS 370.30 -1.4%
  • Bloomberg TRACE # Distressed Bonds Traded 365 +19
  • European Financial Sector CDS Index 101.40 -.86% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 293.19 -.16%
  • Italian/German 10Y Yld Spread 192.0 basis points -5.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 138.7 +.43%
  • Emerging Market CDS Index 233.0 -2.7%
  • Israel Sovereign CDS 142.34 -1.4%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.59 +.16%
  • 2-Year SOFR Swap Spread -12.25 basis points -.75 basis point
  • TED Spread 19.75 basis points -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.75 -.25 basis point
  • MBS  5/10 Treasury Spread 185.0 -2.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 921.0 -5.0 basis points
  • Avg. Auto ABS OAS 96.0 +3.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 41.33 +.21%
  • 3-Month T-Bill Yield 5.46% +1.0 basis point
  • China Iron Ore Spot 120.9 USD/Metric Tonne -.63%
  • Dutch TTF Nat Gas(European benchmark) 50.5 euros/megawatt-hour unch.
  • Citi US Economic Surprise Index 61.4 +2.3 points
  • Citi Eurozone Economic Surprise Index -41.6 +3.5 points
  • Citi Emerging Markets Economic Surprise Index 26.1 -.3 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(252 of 500 reporting) +5.7% -.1 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 240.54 +.39:  Growth Rate +9.4% +.2 percentage point, P/E 17.3 unch.
  • S&P 500 Current Year Estimated Profit Margin 12.15% +4.0 basis points
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(6 of 10 reporting) +51.9% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 272.13 +2.26: Growth Rate +60.5% +1.3 percentage points, P/E 26.7 unch.
  • Bloomberg US Financial Conditions Index -.21 +9.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index -.12 -1.0 basis point
  • US Yield Curve -16.75 basis points (2s/10s) +.25 basis point
  • US Atlanta Fed 3Q GDPNow Forecast +2.26% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +3.63% unch.: CPI YoY +3.32% unch.
  • 10-Year TIPS Spread 2.43 unch.
  • Highest target rate probability for Dec. 13th FOMC meeting: 74.1%(-5.0 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Jan. 31st meeting: 66.6%(-2.9 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -61 open in Japan 
  • China A50 Futures: Indicating +31 open in China
  • DAX Futures: Indicating +109 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my tech/transport/industrial/utility sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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