Tuesday, January 16, 2024

Stocks Lower into Final Hour on Declining Fed Rate-Cut Odds, US Policy-Induced Stagflation Fears, China/Taiwan Tensions, Alt Energy/Airline Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.0 +6.0%
  • DJIA Intraday % Swing .66% -29.7%
  • Bloomberg Global Risk On/Risk Off Index 57.9 -.08%
  • Euro/Yen Carry Return Index 172.5 +.4%
  • Emerging Markets Currency Volatility(VXY) 7.5 +2.3%
  • CBOE S&P 500 Implied Correlation Index 19.7 +7.0% 
  • ISE Sentiment Index 127.0 +14.0
  • Total Put/Call .92 +2.2%
  • NYSE Arms 1.44 -4.0% 
  • NYSE Non-Block Money Flow -$302.0M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 55.90 +1.9%
  • US Energy High-Yield OAS 334.02 -.78%
  • Bloomberg TRACE # Distressed Bonds Traded 328 -21
  • European Financial Sector CDS Index 71.58 +.69% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 215.36 +.80%
  • Italian/German 10Y Yld Spread 157.0 basis points +2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 99.7 +3.9%
  • Emerging Market CDS Index 178.8 +2.8%
  • Israel Sovereign CDS 120.08 +.33%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.4 -.01%
  • 2-Year SOFR Swap Spread -16.25 basis points +.25 basis point
  • TED Spread 21.75 basis points n/a
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.25 unch.
  • MBS  5/10 Treasury Spread 143.0 +4.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 956.0 -2.0 basis points
  • Avg. Auto ABS OAS 75.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 40.98 -.60%
  • 3-Month T-Bill Yield 5.36% +1.0 basis point
  • China Iron Ore Spot 128.6 USD/Metric Tonne -.59%
  • Dutch TTF Nat Gas(European benchmark) 29.7 euros/megawatt-hour -.9%
  • Citi US Economic Surprise Index -2.4 -9.9 points
  • Citi Eurozone Economic Surprise Index -14.4 +.4 point
  • Citi Emerging Markets Economic Surprise Index 8.5 -1.4 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(32 of 500 reporting) +.2% +7.4 percentage points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 243.70 +.18:  Growth Rate +11.9% unch., P/E 19.6 unch.
  • S&P 500 Current Year Estimated Profit Margin 11.80% -24.0 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 291.54 +.70: Growth Rate +36.7% +.4 percentage point, P/E 29.9 -.2
  • Bloomberg US Financial Conditions Index .96 unch.
  • Bloomberg Euro-Zone Financial Conditions Index .31 -25.0 basis points
  • US Yield Curve -16.5 basis points (2s/10s) +3.5 basis points
  • US Atlanta Fed 4Q GDPNow Forecast +2.21% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 69.2% +2.1 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +3.02% unch.: CPI YoY +2.97% unch.
  • 10-Year TIPS Spread 2.31 +4.0 basis points
  • Highest target rate probability for March 20th FOMC meeting: 63.3%(-13.6 percentage points) chance of 5.0%-5.25%. Highest target rate probability for May 1st meeting: 60.9%(-10.1 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +236 open in Japan 
  • China A50 Futures: Indicating -74 open in China
  • DAX Futures: Indicating +71 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my tech sector longs, index hedges and emerging market shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  • Market Exposure: Moved to 50% Net Long

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