Wednesday, January 10, 2024

Stocks Rising into Final Hour on Rising Fed Rate-Cut Odds, Diminished Mid-East Regional War Fears, Loose US Financial Conditions, Tech/Medical Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.8 unch.
  • DJIA Intraday % Swing .35% -24.3%
  • Bloomberg Global Risk On/Risk Off Index 57.4 -.2%
  • Euro/Yen Carry Return Index 171.9 +1.2%
  • Emerging Markets Currency Volatility(VXY) 7.75 +.13%
  • CBOE S&P 500 Implied Correlation Index 18.1 -3.5% 
  • ISE Sentiment Index 179.0 +34.0
  • Total Put/Call .83 -9.8%
  • NYSE Arms 1.53 +3.4% 
  • NYSE Non-Block Money Flow +$90.6M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 55.4 -2.2%
  • US Energy High-Yield OAS 327.9 -2.2%
  • Bloomberg TRACE # Distressed Bonds Traded 326 +13
  • European Financial Sector CDS Index 69.05 -4.0% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 212.68 -3.3%
  • Italian/German 10Y Yld Spread 163.0 basis points -3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 100.3 -2.0%
  • Emerging Market CDS Index 175.0 -3.2%
  • Israel Sovereign CDS 116.18 -6.9%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.21 unch.
  • 2-Year SOFR Swap Spread -16.5 basis points -.75 basis point
  • TED Spread 21.75 basis points n/a
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.25 -1.0 basis point
  • MBS  5/10 Treasury Spread 145.0 -4.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 966.0 -3.0 basis points
  • Avg. Auto ABS OAS 75.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 41.2 +.03%
  • 3-Month T-Bill Yield 5.38% +1.0 basis point
  • China Iron Ore Spot 132.3 USD/Metric Tonne -.4%
  • Dutch TTF Nat Gas(European benchmark) 30.94 euros/megawatt-hour +.98%
  • Citi US Economic Surprise Index 6.8 +.3 point
  • Citi Eurozone Economic Surprise Index -16.0 +1.5 points
  • Citi Emerging Markets Economic Surprise Index 16.4 -.5 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(21 of 500 reporting) +9.1% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 243.45 -.07:  Growth Rate +11.9% unch., P/E 19.6 +.1
  • S&P 500 Current Year Estimated Profit Margin 12.04% -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 290.58 -.05: Growth Rate +36.2% unch., P/E 30.0 +.2
  • Bloomberg US Financial Conditions Index .84 n/a
  • Bloomberg Euro-Zone Financial Conditions Index .45 +6.0 basis points
  • US Yield Curve -34.0 basis points (2s/10s) +1.25 basis points
  • US Atlanta Fed 4Q GDPNow Forecast +2.21% -2.0 basis points
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 65.4% +1.1 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +3.02% unch.: CPI YoY +3.32% unch.
  • 10-Year TIPS Spread 2.22 unch.
  • Highest target rate probability for March 20th FOMC meeting: 64.5%(+3.7 percentage points) chance of 5.0%-5.25%. Highest target rate probability for May 1st meeting: 55.4%(+6.7 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +424 open in Japan 
  • China A50 Futures: Indicating -10 open in China
  • DAX Futures: Indicating +180 open in Germany
Portfolio:
  • Higher:  On gains in my tech/utility/transport/consumer discretionary sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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