Thursday, January 18, 2024

Stocks Surging into Final Hour on US Economic "Soft-Landing" Hopes, Earnings Outlook Optimism, Technical Buying, Consumer Discretionary/Tech Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Most Sectors Gaining
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.4 -2.8%
  • DJIA Intraday % Swing .82% +68.4%
  • Bloomberg Global Risk On/Risk Off Index 59.6 +1.7%
  • Euro/Yen Carry Return Index 173.5 -.13%
  • Emerging Markets Currency Volatility(VXY) 7.5 -1.2%
  • CBOE S&P 500 Implied Correlation Index 20.0 -4.1% 
  • ISE Sentiment Index 137.0 +26.0
  • Total Put/Call .94 -6.0%
  • NYSE Arms 1.54 -.7% 
  • NYSE Non-Block Money Flow +$56.5M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 56.0 -.97%
  • US Energy High-Yield OAS 337.60 +.14%
  • Bloomberg TRACE # Distressed Bonds Traded 326 +13
  • European Financial Sector CDS Index 70.83 -2.9% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 211.79 -3.4%
  • Italian/German 10Y Yld Spread 158.0 basis points -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 102.5 -1.0%
  • Emerging Market CDS Index 179.18 -1.1%
  • Israel Sovereign CDS 120.14 +.02%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.4 unch.
  • 2-Year SOFR Swap Spread -16.75 basis points -.75 basis point
  • Treasury Repo 3M T-Bill Spread 5.0 basis points -2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.0 +1.0 basis point
  • MBS  5/10 Treasury Spread 144.0 -3.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 946.0 -4.0 basis points
  • Avg. Auto ABS OAS 74.0 -2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 40.9 +.02%
  • 3-Month T-Bill Yield 5.35% -2.0 basis points
  • China Iron Ore Spot 127.8 USD/Metric Tonne -1.3%
  • Dutch TTF Nat Gas(European benchmark) 27.9 euros/megawatt-hour +.7%
  • Citi US Economic Surprise Index 4.9 +3.5 points
  • Citi Eurozone Economic Surprise Index -13.2 +.7 point
  • Citi Emerging Markets Economic Surprise Index 6.4 unch.
  • S&P 500 Current Quarter EPS Growth Rate YoY(36 of 500 reporting) -3.9% -2.8 percentage points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 243.70 -.14:  Growth Rate +10.0% -1.9 percentage points, P/E 19.5 +.1
  • S&P 500 Current Year Estimated Profit Margin 11.73% -3.0 basis points
  • 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 292.15 +.12: Growth Rate +37.0% +.1 percentage point, P/E 30.0 +.4
  • Bloomberg US Financial Conditions Index .88 -3.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .81 +1.0 basis point
  • US Yield Curve -21.75 basis points (2s/10s) +3.25 basis points
  • US Atlanta Fed 4Q GDPNow Forecast +2.39% +18.0 basis points
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 65.6% -1.5 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +3.02% unch.: CPI YoY +2.96% unch.
  • 10-Year TIPS Spread 2.35 +5.0 basis points
  • Highest target rate probability for March 20th FOMC meeting: 55.7%(+1.9 percentage points) chance of 5.0%-5.25%. Highest target rate probability for May 1st meeting: 45.4%(-1.5 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +594 open in Japan 
  • China A50 Futures: Indicating -80 open in China
  • DAX Futures: Indicating +141 open in Germany
Portfolio:
  • Higher:  On gains in my tech/biotech/consumer discretionary/industrial sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  • Market Exposure: Moved to 100% Net Long

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