Wednesday, October 11, 2023

Stocks Slightly Higher into Final Hour on Lower Long-Term Rates, Loosening US Financial Conditions, More Massive US Deficit Spending Expectations, REIT/Pharma Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 17.8 +4.2%
  • DJIA Intraday % Swing .69% -21.3%
  • Bloomberg Global Risk On/Risk Off Index 69.7 -2.4%
  • Euro/Yen Carry Return Index 168.5 +.4%
  • Emerging Markets Currency Volatility(VXY) 8.7 -1.5%
  • CBOE S&P 500 Implied Correlation Index 24.5 -.08% 
  • ISE Sentiment Index 110.0 +5.0 points
  • Total Put/Call 1.21 +22.0%
  • NYSE Arms 1.19 +61.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 74.2 -.31%
  • US Energy High-Yield OAS 353.34 +.22%
  • Bloomberg TRACE # Distressed Bonds Traded 338 -42
  • European Financial Sector CDS Index 95.69 +.54% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 301.6 -4.2%
  • Italian/German 10Y Yld Spread 195.0 basis points unch.
  • Asia Ex-Japan Investment Grade CDS Index 128.3 -.93%
  • Emerging Market CDS Index 229.08 +.22%
  • Israel Sovereign CDS 100.9 +3.7%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.8 unch.
  • 2-Year SOFR Swap Spread -10.5 basis points unch.
  • TED Spread 18.75 basis points +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -26.5 +3.75 basis points
  • MBS  5/10 Treasury Spread 179.0 -1.0 basis point
  • Bloomberg CMBS Investment Grade Bbb Average OAS 913.0 +4.0 basis points
  • Avg. Auto ABS OAS 86.0 +4.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 41.4 +.19%
  • 3-Month T-Bill Yield 5.50% +2.0 basis points
  • China Iron Ore Spot 112.1 USD/Metric Tonne  -.36%
  • Dutch TTF Nat Gas(European benchmark) 46.1 euros/megawatt-hour -6.9%
  • Citi US Economic Surprise Index 55.4 -1.4 points
  • Citi Eurozone Economic Surprise Index -39.0 +.3 point
  • Citi Emerging Markets Economic Surprise Index 13.5 +1.2 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(21 of 500 reporting) +4.9% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 240.04 +.09:  Growth Rate +9.2% unch., P/E 18.2 -.1
  • S&P 500 Current Year Estimated Profit Margin 12.18% -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 266.76 +.10: Growth Rate +57.4% +.1 percentage point, P/E 28.9 -.2
  • Bloomberg US Financial Conditions Index .10 +13.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index -.20 +83.0 basis points
  • US Yield Curve -41.75 basis points (2s/10s) -9.0 basis points
  • US Atlanta Fed 2Q GDPNow Forecast +5.15% +29.0 basis points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +3.73% unch.: CPI YoY +3.69% unch.
  • 10-Year TIPS Spread 2.32 unch.
  • Highest target rate probability for Dec. 13th FOMC meeting: 72.1%(-.8 percentage point) chance of 5.25%-5.5%. Highest target rate probability for Jan. 31st meeting: 69.3%(-.6 percentage point) chance of 5.25%-5.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +39 open in Japan 
  • China A50 Futures: Indicating +139 open in China
  • DAX Futures: Indicating +103 open in Germany
Portfolio:
  • Higher:  On gains in my industrial/tech/transport sector longs
  • Disclosed Trades: Took profits in my medical longs and added utility longs
  • Market Exposure: 75% Net Long

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