Friday, October 06, 2023

Stocks Reversing Sharply Higher into Afternoon on US Economic "Soft-Landing" Hopes, Loosening US Financial Conditions, Earnings Outlook Optimism, Tech/Commodity Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.5 -5.2%
  • DJIA Intraday % Swing 1.88% +185.5%
  • Bloomberg Global Risk On/Risk Off Index 71.3 +1.0%
  • Euro/Yen Carry Return Index 168.3 +.9%
  • Emerging Markets Currency Volatility(VXY) 8.82 -.68%
  • CBOE S&P 500 Implied Correlation Index 25.5 -6.1% 
  • ISE Sentiment Index 100.0 +1.0 point
  • Total Put/Call 1.01 -22.3%
  • NYSE Arms .70 -17.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 76.5 -1.8%
  • US Energy High-Yield OAS 357.93 -2.4%
  • Bloomberg TRACE # Distressed Bonds Traded 383 +7
  • European Financial Sector CDS Index 100.3 -.96% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 329.7 +1.3%
  • Italian/German 10Y Yld Spread 203.0 basis points +2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 135.7 -.2%
  • Emerging Market CDS Index 234.11 -1.1%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.64 unch.
  • 2-Year SOFR Swap Spread -9.5 basis points -.25 basis point
  • TED Spread 16.0 basis points -3.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -28.25 +1.25 basis points
  • MBS  5/10 Treasury Spread 177.0 -4.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 910.0 -3.0 basis points
  • Avg. Auto ABS OAS 84.0 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 41.23 +.09%
  • 3-Month T-Bill Yield 5.51% +2.0 basis points
  • China Iron Ore Spot 115.4 USD/Metric Tonne  +.49%
  • Dutch TTF Nat Gas(European benchmark) 38.2 euros/megawatt-hour +5.6%
  • Citi US Economic Surprise Index 59.7 +9.2 points
  • Citi Eurozone Economic Surprise Index -43.3 +4.5 points
  • Citi Emerging Markets Economic Surprise Index 15.5 -.9 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(20 of 500 reporting) +3.4% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 240.01 +.03:  Growth Rate +9.2% unch., P/E 17.9 +.2
  • S&P 500 Current Year Estimated Profit Margin 12.20% +1.0 basis point
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 265.33 +.27: Growth Rate +60.0% +.1 percentage point, P/E 28.6 +.6
  • Bloomberg US Financial Conditions Index .12 +19.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index -.13 +7.0 basis points
  • US Yield Curve -30.5 basis points (2s/10s) +.25 basis point
  • US Atlanta Fed 2Q GDPNow Forecast +4.87% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +3.73% unch.: CPI YoY +3.69% unch.
  • 10-Year TIPS Spread 2.31 unch.
  • Highest target rate probability for Dec. 13th FOMC meeting: 57.4%(-9.6 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Jan. 31st meeting: 57.0%(-6.9 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +296 open in Japan 
  • China A50 Futures: Indicating -12 open in China
  • DAX Futures: Indicating +160 open in Germany
Portfolio:
  • Higher:  On gains in my transport/industrial/tech/medical/commodity sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  • Market Exposure: Moved to 100% Net Long

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