Wednesday, February 14, 2024

Stocks Rising into Final Hour on Lower Long-Term Rates, Earnings Outlook Optimism, Short-Covering, Transport/Alt Energy Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Gaining
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 14.6 -7.7%
  • DJIA Intraday % Swing .59 -49.3%
  • Bloomberg Global Risk On/Risk Off Index 59.8 +6.2%
  • Euro/Yen Carry Return Index 174.5 +.02%
  • Emerging Markets Currency Volatility(VXY) 6.8 -.6%
  • CBOE S&P 500 Implied Correlation Index 17.0 -5.7% 
  • ISE Sentiment Index 154.0 +29.0
  • Total Put/Call .96 +9.1%
  • NYSE Arms 1.11 +3.7% 
  • NYSE Non-Block Money Flow +$129.0M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.2 -1.1%
  • US Energy High-Yield OAS 310.62 +.75%
  • Bloomberg TRACE # Distressed Bonds Traded 300 -9
  • European Financial Sector CDS Index 68.2 -.24% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 211.9 +1.0%
  • Italian/German 10Y Yld Spread 152.0 basis points -3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 102.0 +1.8%
  • Emerging Market CDS Index 180.9 -1.5%
  • Israel Sovereign CDS 116.4 +1.6%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.4 -.29%
  • 2-Year SOFR Swap Spread -11.0 basis points +.75 basis point
  • Treasury Repo 3M T-Bill Spread 7.25 basis points -1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -6.0 unch.
  • MBS  5/10 Treasury Spread 159.0 unch.
  • Bloomberg CMBS Investment Grade Bbb Average OAS 843.0 +4.0 basis points
  • Avg. Auto ABS OAS 65.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 40.4 -.01%
  • 3-Month T-Bill Yield 5.37% -1.0 basis point
  • China Iron Ore Spot 129.2 USD/Metric Tonne +.05%
  • Dutch TTF Nat Gas(European benchmark) 24.9 euros/megawatt-hour -2.3%
  • Citi US Economic Surprise Index 47.2 +2.5 points
  • Citi Eurozone Economic Surprise Index 34.6 +12.3 points
  • Citi Emerging Markets Economic Surprise Index -.3 -.5 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(369 of 500 reporting) +5.7% +.4 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 245.70 +.15:  Growth Rate +11.0% +.1 percentage point, P/E 20.2 unch.
  • S&P 500 Current Year Estimated Profit Margin 11.24% -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 306.39 +.46: Growth Rate +43.6% +.2 percentage point, P/E 31.7 unch.
  • Bloomberg US Financial Conditions Index 1.05 -4.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .89 +6.0 basis points
  • US Yield Curve -30.75 basis points (2s/10s) +3.0 basis points
  • US Atlanta Fed 1Q GDPNow Forecast +3.4% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 55.1% -4.7 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.06% unch.
  • 10-Year TIPS Spread 2.30 +1.0 basis point
  • Highest target rate probability for May 1st FOMC meeting: 61.5%(-4.0 percentage points) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 53.7%(+1.6 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +317 open in Japan 
  • China A50 Futures: Indicating -65 open in China
  • DAX Futures: Indicating +86 open in Germany
Portfolio:
  • Higher:  On gains in my tech/consumer discretionary/industrial/biotech/transport sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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