Thursday, January 25, 2024

Stocks Higher into Close on US Economic Data, Lower Long-Term Rates, Earnings Outlook Optimism, Transport/Homebuilding Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.5 +2.4%
  • DJIA Intraday % Swing .57% +54.3%
  • Bloomberg Global Risk On/Risk Off Index 63.5 -.8%
  • Euro/Yen Carry Return Index 172.7 -.3%
  • Emerging Markets Currency Volatility(VXY) 7.41 -.54%
  • CBOE S&P 500 Implied Correlation Index 17.3 -1.2% 
  • ISE Sentiment Index 133.0 -1.0
  • Total Put/Call .93 -3.1%
  • NYSE Arms 1.04 -29.3% 
  • NYSE Non-Block Money Flow +$135.9M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 55.08 -1.3%
  • US Energy High-Yield OAS 320.53 -.77%
  • Bloomberg TRACE # Distressed Bonds Traded 311 -20
  • European Financial Sector CDS Index 67.72 -.78% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 198.9 +.09%
  • Italian/German 10Y Yld Spread 154.0 basis points -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 99.8 -1.1%
  • Emerging Market CDS Index 179.1 -.47%
  • Israel Sovereign CDS 123.2 -.24%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.49 +.2%
  • 2-Year SOFR Swap Spread -15.0 basis points -1.25 basis points
  • Treasury Repo 3M T-Bill Spread 5.0 basis points -1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.75 -.5 basis point
  • MBS  5/10 Treasury Spread 145.0 -4.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 912.0 -5.0 basis points
  • Avg. Auto ABS OAS 71.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 40.9 -.11%
  • 3-Month T-Bill Yield 5.35% -1.0 basis point
  • China Iron Ore Spot 134.3 USD/Metric Tonne -.8%
  • Dutch TTF Nat Gas(European benchmark) 27.78 euros/megawatt-hour -4.0%
  • Citi US Economic Surprise Index 25.3 +8.7 points
  • Citi Eurozone Economic Surprise Index -10.5 -6.2 points
  • Citi Emerging Markets Economic Surprise Index 1.9 +1.6 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(83 of 500 reporting) -3.6% -2.3 percentage points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 243.94 +.05:  Growth Rate +10.2% unch., P/E 20.0 -.1
  • S&P 500 Current Year Estimated Profit Margin 11.63% -4.0 basis points
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(2 of 10 reporting) -16.6% n/a percentage points
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 294.68 +1.57: Growth Rate +38.1% +.7 percentage point, P/E 31.5 +.7
  • Bloomberg US Financial Conditions Index 1.01 +5.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .77 +53.0 basis points
  • US Yield Curve -18.75 basis points (2s/10s) +1.75 basis points
  • US Atlanta Fed 4Q GDPNow Forecast +2.38% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 64.1% -.9 percentage point
  • Cleveland Fed Inflation Nowcast Core PCE YoY +3.02% unch.: CPI YoY +2.96% unch.
  • 10-Year TIPS Spread 2.29 -1.0 basis point
  • Highest target rate probability for March 20th FOMC meeting: 50.7%(-8.1 percentage points) chance of 5.25%-5.5%. Highest target rate probability for May 1st meeting: 50.3%(-2.9 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -156 open in Japan 
  • China A50 Futures: Indicating -48 open in China
  • DAX Futures: Indicating +103 open in Germany
Portfolio:
  • Higher:  On gains in my tech/industrial/biotech/consumer discretionary/utility sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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