Friday, December 08, 2023

Stocks Rising into Afternoon on US Economic "Soft-Landing" Hopes, Loose US Financial Conditions, Earnings Outlook Optimism, Tech/Financial Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 12.6 -3.9%
  • DJIA Intraday % Swing .55% +54.9%
  • Bloomberg Global Risk On/Risk Off Index 60.7 +3.1%
  • Euro/Yen Carry Return Index 167.25 +.24%
  • Emerging Markets Currency Volatility(VXY) 7.92 -.25%
  • CBOE S&P 500 Implied Correlation Index 20.4 -2.4% 
  • ISE Sentiment Index 108.0 -14.0
  • Total Put/Call .86 -10.4%
  • NYSE Arms .66 -40.5% 
  • NYSE Non-Block Money Flow -$30.8M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 60.9 -1.0%
  • US Energy High-Yield OAS 356.17 -.7%
  • Bloomberg TRACE # Distressed Bonds Traded 377 -5.0
  • European Financial Sector CDS Index 75.79 -.49% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 221.90 -4.1%
  • Italian/German 10Y Yld Spread 180.0 basis points +5.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 99.92 +.2%
  • Emerging Market CDS Index 185.45 +.02%
  • Israel Sovereign CDS 109.38 -3.3%
  • China Corp. High-Yield Bond USD ETF(KHYB) 25.5 -.1%
  • 2-Year SOFR Swap Spread -19.5 basis points +.25 basis point
  • TED Spread 25.25 basis points unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -9.0 +.5 basis point
  • MBS  5/10 Treasury Spread 149.0 -1.0 basis point
  • Bloomberg CMBS Investment Grade Bbb Average OAS 952.0 unch.
  • Avg. Auto ABS OAS 83.0 -2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 41.54 -.13%
  • 3-Month T-Bill Yield 5.39% unch.
  • China Iron Ore Spot 134.7 USD/Metric Tonne -.6%
  • Dutch TTF Nat Gas(European benchmark) 38.6 euros/megawatt-hour -3.4%
  • Citi US Economic Surprise Index 20.3 +8.6 points
  • Citi Eurozone Economic Surprise Index -21.0 +.2 point
  • Citi Emerging Markets Economic Surprise Index 26.2 +.7 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(498 of 500 reporting) +4.4% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 242.35 -.08:  Growth Rate +9.4% -10.0 basis points, P/E 18.9 unch.
  • S&P 500 Current Year Estimated Profit Margin 12.11% -1.0 basis point
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(10 of 10 reporting) +47.7% -2.9 percentage points
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 285.80 +.29: Growth Rate +34.0% -.3 percentage point, P/E 28.9 +.1
  • Bloomberg US Financial Conditions Index .63 +8.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .32 +5.0 basis points
  • US Yield Curve -48.75 basis points (2s/10s) -3.25 basis points
  • US Atlanta Fed 4Q GDPNow Forecast +1.25% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 57.5% -.3 percentage point
  • Cleveland Fed Inflation Nowcast Core PCE YoY +3.46% unch.: CPI YoY +3.04% unch.
  • 10-Year TIPS Spread 2.21 +4.0 basis points
  • Highest target rate probability for Jan. 31st FOMC meeting: 94.4%(+10.0 percentage points) chance of 5.25%-5.5%. Highest target rate probability for March 20th meeting: 53.5%(+18.1 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +277 open in Japan 
  • China A50 Futures: Indicating -62 open in China
  • DAX Futures: Indicating +41 open in Germany
Portfolio:
  • Higher:  On gains in my industrial/tech sector longs and emerging market shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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