Tuesday, January 23, 2024

Stocks Reversing Higher into Final Hour on More Dovish Fedspeak, Earnings Outlook Optimism, Short-Covering, Transport/Alt Energy Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Slightly Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.8 -2.9%
  • DJIA Intraday % Swing .46% -10.8%
  • Bloomberg Global Risk On/Risk Off Index 62.3 +1.9%
  • Euro/Yen Carry Return Index 173.4 -.15%
  • Emerging Markets Currency Volatility(VXY) 7.43 +.81%
  • CBOE S&P 500 Implied Correlation Index 17.4 -1.6% 
  • ISE Sentiment Index 167.0 +19.0
  • Total Put/Call .94 +10.6%
  • NYSE Arms .60 -68.1% 
  • NYSE Non-Block Money Flow +$18.8M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 55.75 +1.23%
  • US Energy High-Yield OAS 326.35 -.30%
  • Bloomberg TRACE # Distressed Bonds Traded 317 +11
  • European Financial Sector CDS Index 69.64 +1.5% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 202.62 -.19%
  • Italian/German 10Y Yld Spread 157.0 basis points +2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 102.1 +1.1%
  • Emerging Market CDS Index 181.8 +1.6%
  • Israel Sovereign CDS 125.20 +.16%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.37 unch.
  • 2-Year SOFR Swap Spread -16.5 basis points unch.
  • Treasury Repo 3M T-Bill Spread 5.53 basis points +.43 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.5 -1.0 basis point
  • MBS  5/10 Treasury Spread 150.0 +3.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 930.0 -7.0 basis points
  • Avg. Auto ABS OAS 72.0 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 40.8 -.17%
  • 3-Month T-Bill Yield 5.35% unch.
  • China Iron Ore Spot 132.0 USD/Metric Tonne +.05%
  • Dutch TTF Nat Gas(European benchmark) 27.2 euros/megawatt-hour -.14%
  • Citi US Economic Surprise Index 8.3 -2.8 points
  • Citi Eurozone Economic Surprise Index -11.4 -1.9 points
  • Citi Emerging Markets Economic Surprise Index .7 -1.4 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(67 of 500 reporting) -2.7%+.2 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 243.93 -.01:  Growth Rate +10.2% unch., P/E 19.9 unch.
  • S&P 500 Current Year Estimated Profit Margin 11.70% unch.
  • 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 293.11 +.27: Growth Rate +37.4% +.1 percentage point, P/E 30.8 -.1
  • Bloomberg US Financial Conditions Index .94 +3.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .68 -1.0 basis point
  • US Yield Curve -24.75 basis points (2s/10s) +4.0 basis points
  • US Atlanta Fed 4Q GDPNow Forecast +2.38% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 62.3% -1.8 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: 52.6%(-.3 percentage point) chance of 5.25%-5.5%. Highest target rate probability for May 1st meeting: 50.7%(-.2 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -7 open in Japan 
  • China A50 Futures: Indicating +82 open in China
  • DAX Futures: Indicating +150 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my tech/biotech/industrial sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

No comments: