Wednesday, January 17, 2024

Stocks Lower into Close on Declining Fed Rate-Cut Odds, China Economy Worries, Earnings Outlook Jitters, Alt Energy/REIT Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.0 +8.5%
  • DJIA Intraday % Swing .49% -26.6%
  • Bloomberg Global Risk On/Risk Off Index 57.4 -.9%
  • Euro/Yen Carry Return Index 173.7 +.7%
  • Emerging Markets Currency Volatility(VXY) 7.6 +1.1%
  • CBOE S&P 500 Implied Correlation Index 21.2 +8.6% 
  • ISE Sentiment Index 114.0 -7.0
  • Total Put/Call .94 -7.8%
  • NYSE Arms 1.45 +6.6% 
  • NYSE Non-Block Money Flow -$293.3M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 57.0 +2.0%
  • US Energy High-Yield OAS 338.65 +1.6%
  • Bloomberg TRACE # Distressed Bonds Traded 313 -15
  • European Financial Sector CDS Index 72.96 +1.9% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 218.87 +1.6%
  • Italian/German 10Y Yld Spread 160.0 basis points +3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 103.6 +3.9%
  • Emerging Market CDS Index 181.8 +1.7%
  • Israel Sovereign CDS 120.12 +.04%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.4 unch.
  • 2-Year SOFR Swap Spread -16.0 basis points +.25 basis point
  • TED Spread 21.75 basis points n/a
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.0 -.75 basis point
  • MBS  5/10 Treasury Spread 147.0 +4.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 950.0 -6.0 basis points
  • Avg. Auto ABS OAS 76.0 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 40.91 -.19%
  • 3-Month T-Bill Yield 5.37% +1.0 basis point
  • China Iron Ore Spot 125.4 USD/Metric Tonne -.30%
  • Dutch TTF Nat Gas(European benchmark) 27.7 euros/megawatt-hour -6.6%
  • Citi US Economic Surprise Index 1.4 +3.8 points
  • Citi Eurozone Economic Surprise Index -13.9 +.45 point
  • Citi Emerging Markets Economic Surprise Index 6.4 +2.1 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(36 of 500 reporting) -1.1% -1.3 percentage points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 243.84 +.14:  Growth Rate +11.9% unch., P/E 19.4 -.2
  • S&P 500 Current Year Estimated Profit Margin 11.76% -4.0 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 292.03 +.49: Growth Rate +36.9% +.2 percentage point, P/E 29.6 -.3
  • Bloomberg US Financial Conditions Index .91 -5.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .80 +49.0 basis points
  • US Yield Curve -25.0 basis points (2s/10s) -8.5 basis points
  • US Atlanta Fed 4Q GDPNow Forecast +2.21% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 67.1% -2.1 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +3.02% unch.: CPI YoY +2.96% -1.0 basis point
  • 10-Year TIPS Spread 2.30 -1.0 basis point
  • Highest target rate probability for March 20th FOMC meeting: 57.6%(-5.5 percentage points) chance of 5.0%-5.25%. Highest target rate probability for May 1st meeting: 45.9%(-12.8 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -32 open in Japan 
  • China A50 Futures: Indicating -51 open in China
  • DAX Futures: Indicating +81 open in Germany
Portfolio:
  • Slightly Lower:  On losses in my tech/biotech/consumer discretionary/utility/industrial sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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