Monday, January 22, 2024

Stocks Modestly Higher into Final Hour on Lower Long-Term Rates, Earnings Outlook Optimism, Short-Covering, Tech/Transport Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Gaining
  • Volume: Above Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 13.4 +.5%
  • DJIA Intraday % Swing .52% -6.9%
  • Bloomberg Global Risk On/Risk Off Index 60.6 -1.2%
  • Euro/Yen Carry Return Index 173.6 -.19%
  • Emerging Markets Currency Volatility(VXY) 7.32 -1.4%
  • CBOE S&P 500 Implied Correlation Index 17.9 -2.6% 
  • ISE Sentiment Index 142.0 +19.0
  • Total Put/Call .85 -5.6%
  • NYSE Arms 1.84 +106.7% 
  • NYSE Non-Block Money Flow +$98.2M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.88 +.21%
  • US Energy High-Yield OAS 327.74 -1.4%
  • Bloomberg TRACE # Distressed Bonds Traded 306 -9
  • European Financial Sector CDS Index 68.62 -1.6% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 203.01 -1.6%
  • Italian/German 10Y Yld Spread 155.0 basis points +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 101.60 +1.0%
  • Emerging Market CDS Index 178.97 +.79%
  • Israel Sovereign CDS 124.99 +.81%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.37 -.05%
  • 2-Year SOFR Swap Spread -16.5 basis points -.75 basis point
  • Treasury Repo 3M T-Bill Spread 5.1 basis points +.1 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.5 +.25 basis point
  • MBS  5/10 Treasury Spread 147.0 +2.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 937.0 -7.0 basis points
  • Avg. Auto ABS OAS 73.0 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 40.88 -.24%
  • 3-Month T-Bill Yield 5.35% unch.
  • China Iron Ore Spot 130.8 USD/Metric Tonne +1.4%
  • Dutch TTF Nat Gas(European benchmark) 27.3 euros/megawatt-hour -4.1%
  • Citi US Economic Surprise Index 11.1 -2.4 points
  • Citi Eurozone Economic Surprise Index -9.5 +2.9 points
  • Citi Emerging Markets Economic Surprise Index 2.1 -2.4 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(52 of 500 reporting) -2.9% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 243.94 +.21:  Growth Rate +10.2% +.2 percentage point, P/E 19.9 +.2
  • S&P 500 Current Year Estimated Profit Margin 11.70% -1.0 basis point
  • 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 292.84 +.49: Growth Rate +37.3% +.2 percentage point, P/E 30.9 +.8
  • Bloomberg US Financial Conditions Index .91 unch.
  • Bloomberg Euro-Zone Financial Conditions Index .69 +8.0 basis points
  • US Yield Curve -28.75 basis points (2s/10s) -3.25 basis points
  • US Atlanta Fed 4Q GDPNow Forecast +2.38% -1.0 basis point
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 64.1% -.1 percentage point
  • Cleveland Fed Inflation Nowcast Core PCE YoY +3.02% unch.: CPI YoY +2.96% unch.
  • 10-Year TIPS Spread 2.30 -4.0 basis points
  • Highest target rate probability for March 20th FOMC meeting: 58.4%(+5.5 percentage points) chance of 5.25%-5.5%. Highest target rate probability for May 1st meeting: 54.0%(+3.1 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +123 open in Japan 
  • China A50 Futures: Indicating +1 open in China
  • DAX Futures: Indicating +101 open in Germany
Portfolio:
  • Higher:  On gains in my tech/biotech/consumer discretionary/industrial sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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