Friday, October 13, 2023

Stocks Reversing Lower into Afternoon on Mid-East Regional War Worries, Rising US Consumer Inflation Fears, Oil Surge, Tech/Regional Bank Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 19.9 +19.4%
  • DJIA Intraday % Swing 1.08% +73.3%
  • Bloomberg Global Risk On/Risk Off Index 68.3 -5.3%
  • Euro/Yen Carry Return Index 167.3 -.4%
  • Emerging Markets Currency Volatility(VXY) 8.5 -.9%
  • CBOE S&P 500 Implied Correlation Index 27.7 +16.8% 
  • ISE Sentiment Index 108.0 +18.0 points
  • Total Put/Call .97 -9.4%
  • NYSE Arms .85 -25.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 76.1 +2.1%
  • US Energy High-Yield OAS 356.05 +.43%
  • Bloomberg TRACE # Distressed Bonds Traded 356 +18
  • European Financial Sector CDS Index 98.02 +3.9% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 300.95 +.95%
  • Italian/German 10Y Yld Spread 204.0 basis points +6.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 125.99 +1.12%
  • Emerging Market CDS Index 237.54 +4.1%
  • Israel Sovereign CDS 123.68 +11.4%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.89 unch.
  • 2-Year SOFR Swap Spread -11.25 basis points -.5 basis point
  • TED Spread 17.5 basis points +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -28.25 -1.75 basis points
  • MBS  5/10 Treasury Spread 185.0 +3.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 912.0 -2.0 basis points
  • Avg. Auto ABS OAS 85.0 -2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 41.2 -.18%
  • 3-Month T-Bill Yield 5.48% -2.0 basis points
  • China Iron Ore Spot 114.7 USD/Metric Tonne  +.31%
  • Dutch TTF Nat Gas(European benchmark) 54.0 euros/megawatt-hour +1.9%
  • Citi US Economic Surprise Index 51.2 -4.7 points
  • Citi Eurozone Economic Surprise Index -42.5 -3.8 points
  • Citi Emerging Markets Economic Surprise Index 19.4 +2.5 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(32 of 500 reporting) +14.3% +8.5 percentage points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 239.98 -.04:  Growth Rate +9.2% unch., P/E 18.1 -.1
  • 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 267.10 +.14: Growth Rate +57.6% +.1 percentage point, P/E 28.5 -.8
  • Bloomberg US Financial Conditions Index -.03 -19.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index -.07 unch.
  • US Yield Curve -43.0 basis points (2s/10s) -6.0 basis points
  • US Atlanta Fed 2Q GDPNow Forecast +5.15% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +3.70% unch.: CPI YoY +3.42% unch.
  • 10-Year TIPS Spread 2.35 +1.0 basis point
  • Highest target rate probability for Dec. 13th FOMC meeting: 68.5%(+4.0 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Jan. 31st meeting: 68.5%(+5.7 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -161 open in Japan 
  • China A50 Futures: Indicating -41 open in China
  • DAX Futures: Indicating +78 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 25% Net Long

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