Thursday, October 12, 2023

Stocks Reverse Lower into Close on Surging Long-Term Rates, Rising Fed Rate-Hike Odds, Technical Selling, Consumer Discretionary/Alt Energy Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 18.0 +12.1%
  • DJIA Intraday % Swing .62% -9.5%
  • Bloomberg Global Risk On/Risk Off Index 70.5 -.14%
  • Euro/Yen Carry Return Index 167.9 -.4%
  • Emerging Markets Currency Volatility(VXY) 8.6 -1.2%
  • CBOE S&P 500 Implied Correlation Index 246.2 +15.0% 
  • ISE Sentiment Index 81.0 -37.0 points
  • Total Put/Call 1.01 -19.8%
  • NYSE Arms 1.39 +13.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 74.5 +1.1%
  • US Energy High-Yield OAS 356.41 +.72%
  • Bloomberg TRACE # Distressed Bonds Traded 338 unch.
  • European Financial Sector CDS Index 94.4 -1.4% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 298.1 -1.2%
  • Italian/German 10Y Yld Spread 198.0 basis points +3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 124.5 -2.9%
  • Emerging Market CDS Index 231.3 +2.6%
  • Israel Sovereign CDS 111.0 +10.0%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.89 unch.
  • 2-Year SOFR Swap Spread -10.75 basis points -.25 basis point
  • TED Spread 16.0 basis points -2.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -26.5 unch.
  • MBS  5/10 Treasury Spread 182.0 +3.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 914.0 +1.0 basis point
  • Avg. Auto ABS OAS 87.0 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 41.3 -.3%
  • 3-Month T-Bill Yield 5.50% unch.
  • China Iron Ore Spot 113.1 USD/Metric Tonne  -1.3%
  • Dutch TTF Nat Gas(European benchmark) 53.0 euros/megawatt-hour +15.0%
  • Citi US Economic Surprise Index 55.9 +.5 point
  • Citi Eurozone Economic Surprise Index -38.7 +.3 point
  • Citi Emerging Markets Economic Surprise Index 16.9 +3.4 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(25 of 500 reporting) +5.8% +.9 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 240.02 -.02:  Growth Rate +9.2% unch., P/E 18.2 unch.
  • S&P 500 Current Year Estimated Profit Margin 12.18% unch.
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 266.96 +.20: Growth Rate +57.5% +.1 percentage point, P/E 29.3 +.4
  • Bloomberg US Financial Conditions Index .18 +5.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index -.07 +13.0 basis points
  • US Yield Curve -37.0 basis points (2s/10s) +4.75 basis points
  • US Atlanta Fed 2Q GDPNow Forecast +5.15% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +3.70% -3.0 basis points: CPI YoY +3.42% -27.0 basis points
  • 10-Year TIPS Spread 2.34 +2.0 basis points
  • Highest target rate probability for Dec. 13th FOMC meeting: 65.6%(-6.2 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Jan. 31st meeting: 64.2%(-5.7 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -204 open in Japan 
  • China A50 Futures: Indicating -115 open in China
  • DAX Futures: Indicating +69 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my commodity sector longs, index hedges and emerging market shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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