Friday, February 16, 2024

Stocks Reversing Slightly Higher into Afternoon on Earnings Outlook Optimism, China Stimulus Hopes, Technical Buying, Commodity/Pharma Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 14.0 +.1%
  • DJIA Intraday % Swing .52 -24.8%
  • Bloomberg Global Risk On/Risk Off Index 73.3 +1.8%
  • Euro/Yen Carry Return Index 175.0 +.24%
  • Emerging Markets Currency Volatility(VXY) 6.7 -.6%
  • CBOE S&P 500 Implied Correlation Index 16.3 +.4% 
  • ISE Sentiment Index 124.0 -18.0
  • Total Put/Call .96 +6.7%
  • NYSE Arms .90 -15.1% 
  • NYSE Non-Block Money Flow -$123.2M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.7 +.04%
  • US Energy High-Yield OAS 303.88 -.53%
  • Bloomberg TRACE # Distressed Bonds Traded 294 -12
  • European Financial Sector CDS Index 67.3 -1.5% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 211.3 -.3%
  • Italian/German 10Y Yld Spread 148.0 basis points -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 99.9 -1.7%
  • Emerging Market CDS Index 176.14 unch.
  • Israel Sovereign CDS 115.4 +.8%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.6 -.12%
  • 2-Year SOFR Swap Spread -13.5 basis points -1.75 basis points
  • Treasury Repo 3M T-Bill Spread 7.5 basis points +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.75 +.5 basis point
  • MBS  5/10 Treasury Spread 159.0 +5.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 833.0 -9.0 basis points
  • Avg. Auto ABS OAS 66.0 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 40.4 -.06%
  • 3-Month T-Bill Yield 5.37% unch.
  • China Iron Ore Spot 130.8 USD/Metric Tonne -.4%
  • Dutch TTF Nat Gas(European benchmark) 24.8 euros/megawatt-hour -.6%
  • Citi US Economic Surprise Index 40.4 -5.4 points
  • Citi Eurozone Economic Surprise Index 34.7 +.1
  • Citi Emerging Markets Economic Surprise Index -2.1 +.3 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(396 of 500 reporting) +5.0% +.1 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 245.81 -.03:  Growth Rate +11.0% -.1 percentage point, P/E 20.5 +.1
  • S&P 500 Current Year Estimated Profit Margin 11.20% -3.0 basis points
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +44.2% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 306.94 +.20: Growth Rate +43.9% +.1 percentage point, P/E 32.2 +.2
  • Bloomberg US Financial Conditions Index 1.08 unch.
  • Bloomberg Euro-Zone Financial Conditions Index .89 +4.0 basis points
  • US Yield Curve -36.0 basis points (2s/10s) -3.25 basis points
  • US Atlanta Fed 1Q GDPNow Forecast +2.9% -.5 percentage point
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 54.3% -1.9 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.06% unch.
  • 10-Year TIPS Spread 2.33 +3.0 basis points
  • Highest target rate probability for May 1st FOMC meeting: 66.2%(+4.6 percentage points) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 52.2%(-1.5 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +73 open in Japan 
  • China A50 Futures: Indicating +142 open in China
  • DAX Futures: Indicating +63 open in Germany
Portfolio:
  • Slightly Lower:  On losses in my tech/industrial/transport sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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