Tuesday, January 30, 2024

Stocks Slightly Lower into Close on Diminished Fed Rate-Cut Odds, Earnings Outlook Worries, Technical Selling, Tech/Alt Energy Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 13.4 -1.7%
  • DJIA Intraday % Swing .57% +45.4%
  • Bloomberg Global Risk On/Risk Off Index 60.2 -.70%
  • Euro/Yen Carry Return Index 172.69 +.22%
  • Emerging Markets Currency Volatility(VXY) 7.3 -.41%
  • CBOE S&P 500 Implied Correlation Index 16.8 -3.9% 
  • ISE Sentiment Index 132.0 -3.0
  • Total Put/Call .88 -4.4%
  • NYSE Arms 1.13 -8.1% 
  • NYSE Non-Block Money Flow +$13.8M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.02 +.03%
  • US Energy High-Yield OAS 317.46 +.57%
  • Bloomberg TRACE # Distressed Bonds Traded 307 +3
  • European Financial Sector CDS Index 67.46 +1.0% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 191.86 -1.8%
  • Italian/German 10Y Yld Spread 153.0 basis points +3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 101.5 +.5%
  • Emerging Market CDS Index 177.69 +.51%
  • Israel Sovereign CDS 129.7 -.7%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.4 +.26%
  • 2-Year SOFR Swap Spread -14.0 basis points +1.0 basis point
  • Treasury Repo 3M T-Bill Spread 5.0 basis points +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.5 -.25 basis point
  • MBS  5/10 Treasury Spread 143.0 -3.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 909.0 -1.0 basis point
  • Avg. Auto ABS OAS 71.0 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 40.8 +.09%
  • 3-Month T-Bill Yield 5.35% -1.0 basis point
  • China Iron Ore Spot 131.5 USD/Metric Tonne -1.0%
  • Dutch TTF Nat Gas(European benchmark) 29.4 euros/megawatt-hour +4.3%
  • Citi US Economic Surprise Index 27.8 -2.2 points
  • Citi Eurozone Economic Surprise Index -1.3 +7.9 points
  • Citi Emerging Markets Economic Surprise Index -3.6 -4.1 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(144 of 500 reporting) -7.3% -5.7 percentage points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 243.72 +.17:  Growth Rate +10.1% +.1 percentage point, P/E 20.2 +.1
  • S&P 500 Current Year Estimated Profit Margin 11.54% +2.0 basis points
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(2 of 10 reporting) -16.6% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 294.60 +.26: Growth Rate +38.1% +.1 percentage point, P/E 31.7 +.2
  • Bloomberg US Financial Conditions Index .94 -3.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .73 -10.0 basis points
  • US Yield Curve -30.25 basis points (2s/10s) -5.25 basis points
  • US Atlanta Fed 1Q GDPNow Forecast +3.0% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 64.7% +.7 percentage point
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.66% unch.: CPI YoY +2.96% unch.
  • 10-Year TIPS Spread 2.26 -3.0 basis points
  • Highest target rate probability for March 20th FOMC meeting: 58.3%(+5.4 percentage points) chance of 5.25%-5.5%. Highest target rate probability for May 1st meeting: 54.5%(+3.1 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -85 open in Japan 
  • China A50 Futures: Indicating -66 open in China
  • DAX Futures: Indicating +101 open in Germany
Portfolio:
  • Higher:  On gains in my consumer discretionary/industrial sector longs, index hedges and emerging market shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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