Wednesday, January 24, 2024

Stocks Higher into Final Hour on Earnings Outlook Optimism, China Stimulus, US Economic "Soft-Landing" Hopes, Tech/Financial Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.9 +2.7%
  • DJIA Intraday % Swing .37% -20.7%
  • Bloomberg Global Risk On/Risk Off Index 62.9 +2.0%
  • Euro/Yen Carry Return Index 173.1 -.27%
  • Emerging Markets Currency Volatility(VXY) 7.5 -.13%
  • CBOE S&P 500 Implied Correlation Index 17.3 +1.4% 
  • ISE Sentiment Index 154.0 -6.0
  • Total Put/Call .90 unch.
  • NYSE Arms 1.24 +73.6% 
  • NYSE Non-Block Money Flow +$55.8M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 55.64 +.47%
  • US Energy High-Yield OAS 321.64 -1.32%
  • Bloomberg TRACE # Distressed Bonds Traded 331 +14
  • European Financial Sector CDS Index 68.25 -2.0% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 198.68 -1.94%
  • Italian/German 10Y Yld Spread 156.0 basis points -1.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 99.5 -2.3%
  • Emerging Market CDS Index 179.7 -.78%
  • Israel Sovereign CDS 123.3 -1.5%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.48 +.33%
  • 2-Year SOFR Swap Spread -13.75 basis points +2.75 basis points
  • Treasury Repo 3M T-Bill Spread 6.25 basis points +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.25 +.25 basis point
  • MBS  5/10 Treasury Spread 149.0 -1.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 917.0 -13.0 basis points
  • Avg. Auto ABS OAS 71.0 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 40.9 +.19%
  • 3-Month T-Bill Yield 5.36% +1.0 basis point
  • China Iron Ore Spot 136.0 USD/Metric Tonne +.6%
  • Dutch TTF Nat Gas(European benchmark) 28.93 euros/megawatt-hour +6.3%
  • Citi US Economic Surprise Index 16.8 +8.5 points
  • Citi Eurozone Economic Surprise Index -4.7 +6.7 points
  • Citi Emerging Markets Economic Surprise Index .3 -.4 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(83 of 500 reporting) -1.3% +1.4 percentage points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 243.89 -.04:  Growth Rate +10.2% unch., P/E 20.1 +.2
  • S&P 500 Current Year Estimated Profit Margin 11.67% -3.0 basis points
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(1 of 10 reporting) +1,629.0% n/a percentage points
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 293.11 +.27: Growth Rate +37.4% +.1 percentage point, P/E 30.8 -.1
  • Bloomberg US Financial Conditions Index .96 +2.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .24 -44.0 basis points
  • US Yield Curve -20.25 basis points (2s/10s) +4.5 basis points
  • US Atlanta Fed 4Q GDPNow Forecast +2.38% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 65.0% +2.7 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +3.02% unch.: CPI YoY +2.96% unch.
  • 10-Year TIPS Spread 2.30 +1.0 basis point
  • Highest target rate probability for March 20th FOMC meeting: 60.4%(+7.5 percentage points) chance of 5.25%-5.5%. Highest target rate probability for May 1st meeting: 54.6%(+3.4 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +163 open in Japan 
  • China A50 Futures: Indicating +234 open in China
  • DAX Futures: Indicating +115 open in Germany
Portfolio:
  • Higher:  On gains in my tech/industrial sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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