Tuesday, January 09, 2024

Stocks Slightly Lower into Final Hour on China Economy Worries, Mid-East Regional War Fears, Dollar Strength, Commodity/Financial Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.9 -1.3%
  • DJIA Intraday % Swing .46% -19.8%
  • Bloomberg Global Risk On/Risk Off Index 57.0 -.8%
  • Euro/Yen Carry Return Index 169.88 unch.
  • Emerging Markets Currency Volatility(VXY) 7.71 -1.3%
  • CBOE S&P 500 Implied Correlation Index 18.7 -2.8% 
  • ISE Sentiment Index 149.0 +40.0
  • Total Put/Call .90 +7.1%
  • NYSE Arms 1.25 -3.9% 
  • NYSE Non-Block Money Flow -$309.3M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 56.70 -.95%
  • US Energy High-Yield OAS 336.5 -.05%
  • Bloomberg TRACE # Distressed Bonds Traded 313 +15
  • European Financial Sector CDS Index 71.9 -1.4% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 219.8 -1.2%
  • Italian/German 10Y Yld Spread 166.0 basis points -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 102.4 -1.5%
  • Emerging Market CDS Index 181.45 +.41%
  • Israel Sovereign CDS 124.74 +9.7%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.24 +.04%
  • 2-Year SOFR Swap Spread -15.75 basis points -.75 basis point
  • TED Spread 21.75 basis points -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.25 +.25 basis point
  • MBS  5/10 Treasury Spread 149.0 +4.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 969.0 +3.0 basis points
  • Avg. Auto ABS OAS 75.0 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 41.2 -.22%
  • 3-Month T-Bill Yield 5.37% unch.
  • China Iron Ore Spot 135.5 USD/Metric Tonne -1.7%
  • Dutch TTF Nat Gas(European benchmark) 30.6 euros/megawatt-hour -3.0%
  • Citi US Economic Surprise Index 6.5 +.6 point
  • Citi Eurozone Economic Surprise Index -17.5 -.1 point
  • Citi Emerging Markets Economic Surprise Index 16.9 -.6 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 243.52 -.11:  Growth Rate +11.9% -.1 percentage point, P/E 19.5 +.1
  • S&P 500 Current Year Estimated Profit Margin 12.05% 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 290.63 +.26: Growth Rate +36.2% +.1 percentage point, P/E 29.8 +.3
  • Bloomberg US Financial Conditions Index n/a
  • Bloomberg Euro-Zone Financial Conditions Index .39 -1.0 basis point
  • US Yield Curve -35.25 basis points (2s/10s) +.25 basis point
  • US Atlanta Fed 4Q GDPNow Forecast +2.23% -28.0 basis points
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 64.3% +.1 percentage point
  • Cleveland Fed Inflation Nowcast Core PCE YoY +3.02% unch.: CPI YoY +3.32% unch.
  • 10-Year TIPS Spread 2.22 -1.0 basis point
  • Highest target rate probability for March 20th FOMC meeting: 62.7%(+.1 percentage point) chance of 5.0%-5.25%. Highest target rate probability for May 1st meeting: 52.5%(-1.3 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +122 open in Japan 
  • China A50 Futures: Indicating -52 open in China
  • DAX Futures: Indicating +131 open in Germany
Portfolio:
  • Higher:  On gains in my tech/biotech sector longs, index hedges and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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