Thursday, March 21, 2024

Stocks Higher into Final Hour on Stable Long-Term Rates, Earnings Outlook Optimism, Short-Covering, Tech/Financial Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 13.0 -.5%
  • DJIA Intraday % Swing .76 +59.5%
  • Bloomberg Global Risk On/Risk Off Index 69.2 -.7%
  • Euro/Yen Carry Return Index 178.7 -.3%
  • Emerging Markets Currency Volatility(VXY) 6.3 unch.
  • CBOE S&P 500 Implied Correlation Index 12.9 -4.5% 
  • ISE Sentiment Index 144.0 +41.0
  • Total Put/Call .93 -5.1%
  • NYSE Arms 1.42 +73.2%
  • NYSE Non-Block Money Flow +$145.2M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 50.9 -1.2%
  • US Energy High-Yield OAS 276.3 -2.9%
  • Bloomberg TRACE # Distressed Bonds Traded 288 -2
  • European Financial Sector CDS Index 62.4 -3.6%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 187.27 -2.9%
  • Italian/German 10Y Yld Spread 127.0 basis points -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 100.8 -3.6%
  • Emerging Market CDS Index 166.5 -2.6%
  • Israel Sovereign CDS 119.96 -1.8%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.7 -.16%
  • 2-Year SOFR Swap Spread -10.75 basis points -2.0 basis points
  • Treasury Repo 3M T-Bill Spread 7.75 basis points -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -2.75 +.75 basis point
  • MBS  5/10 Treasury Spread 142.0 -2.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 787.0 -16.0 basis points
  • Avg. Auto ABS OAS 61.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 39.9 +.4%
  • 3-Month T-Bill Yield 5.38% -1.0 basis point
  • China Iron Ore Spot 108.5 USD/Metric Tonne -1.2%
  • Dutch TTF Nat Gas(European benchmark) 26.4 euros/megawatt-hour -4.8%
  • Citi US Economic Surprise Index 31.8 +7.2 points
  • Citi Eurozone Economic Surprise Index 40.5 -13.3 points
  • Citi Emerging Markets Economic Surprise Index 18.5 -.8 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(10 of 500 reporting) +50.8% +34.3 percentage points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 249.32 +.11:  Growth Rate +11.7% unch., P/E 21.1 +.3
  • S&P 500 Current Year Estimated Profit Margin 12.83% unch.
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) +n/a
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 310.73 +.28: Growth Rate +29.3% +.1 percentage point, P/E 32.7 +.7
  • Bloomberg US Financial Conditions Index 1.18 +2.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index 1.08 +1.0 basis point
  • US Yield Curve -36.5 basis points (2s/10s) -2.5 basis points
  • US Atlanta Fed 1Q GDPNow Forecast +2.1% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 57.9% +2.5 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.78% unch.: CPI YoY +3.37% unch.
  • 10-Year TIPS Spread 2.36 +4.0 basis points
  • Highest target rate probability for June 12th FOMC meeting: 69.6%(+2.2 percentage points) chance of 5.0%-5.25%. Highest target rate probability for July 31st meeting: 49.7%(+3.3 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +40 open in Japan 
  • China A50 Futures: Indicating -20 open in China
  • DAX Futures: Indicating +272 open in Germany
Portfolio:
  • Higher:  On gains in my industrial/consumer discretionary/transport/tech/financial sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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