Tuesday, December 12, 2023

Stocks Rising into Final Hour on Long-Term Rate Reversal Lower, Loosening US Financial Conditions, Earnings Outlook Optimism, Tech/Biotech Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 11.9 -6.0%
  • DJIA Intraday % Swing .51% +32.2%
  • Bloomberg Global Risk On/Risk Off Index 60.3 -2.5%
  • Euro/Yen Carry Return Index 168.5 -.1%
  • Emerging Markets Currency Volatility(VXY) 7.81 -.5%
  • CBOE S&P 500 Implied Correlation Index 18.8 -3.9% 
  • ISE Sentiment Index 152.0 +12.0
  • Total Put/Call .93 -2.1%
  • NYSE Arms 1.55 +74.2% 
  • NYSE Non-Block Money Flow +$74.3M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 60.5 -1.5%
  • US Energy High-Yield OAS 366.67 +1.6%
  • Bloomberg TRACE # Distressed Bonds Traded 370 +9.0
  • European Financial Sector CDS Index 75.87 +.22% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 212.69 -.19%
  • Italian/German 10Y Yld Spread 178.0 basis points -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 98.4 -1.3%
  • Emerging Market CDS Index 184.0 -.23%
  • Israel Sovereign CDS 114.61 +.07%
  • China Corp. High-Yield Bond USD ETF(KHYB) 25.55 -.08%
  • 2-Year SOFR Swap Spread -19.75 basis points unch.
  • TED Spread 26.5 basis points +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -10.25 +.25 basis point
  • MBS  5/10 Treasury Spread 148.0 unch.
  • Bloomberg CMBS Investment Grade Bbb Average OAS 962.0 +2.0 basis points
  • Avg. Auto ABS OAS 82.0 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 41.5 -.22%
  • 3-Month T-Bill Yield 5.38% -1.0 basis point
  • China Iron Ore Spot 134.3 USD/Metric Tonne -1.3%
  • Dutch TTF Nat Gas(European benchmark) 34.7 euros/megawatt-hour -3.9%
  • Citi US Economic Surprise Index 16.0 -1.2 points
  • Citi Eurozone Economic Surprise Index -17.8 +1.6 points
  • Citi Emerging Markets Economic Surprise Index 27.3 +2.5 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(2 of 500 reporting) +13.1% +2.0 percentage points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 242.94 +.06:  Growth Rate +11.6% +.1 percentage point, P/E 19.1 +.1
  • S&P 500 Current Year Estimated Profit Margin 12.09% -2.0 basis points
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) +0.0% -0.0 percentage points
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 285.80 +7.10: Growth Rate +37.3% +.1 percentage point, P/E 28.5 +.1
  • Bloomberg US Financial Conditions Index .64 +4.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .34 unch.
  • US Yield Curve -52.5 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) 54.5% +2.3 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +3.43% -3.0 basis points: CPI YoY +3.38% +34.0 basis points
  • 10-Year TIPS Spread 2.18 -2.0 basis points
  • Highest target rate probability for Jan. 31st FOMC meeting: 94.4%(-3.4 percentage points) chance of 5.25%-5.5%. Highest target rate probability for March 20th meeting: 57.2%(+.4 percentage point) chance of 5.25%-5.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +70 open in Japan 
  • China A50 Futures: Indicating -20 open in China
  • DAX Futures: Indicating +31 open in Germany
Portfolio:
  • Higher:  On gains in my industrial/tech/transport sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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