Tuesday, March 19, 2024

Stocks Reversing Higher into Final Hour on Lower Long-Term Rates, Nvidia AI Conference, Technical Buying, Energy/Homebuilding Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 14.0 -2.0%
  • DJIA Intraday % Swing .87 +163.6%
  • Bloomberg Global Risk On/Risk Off Index 68.6 -2.0%
  • Euro/Yen Carry Return Index 177.8 +1.1%
  • Emerging Markets Currency Volatility(VXY) 6.2 +.3%
  • CBOE S&P 500 Implied Correlation Index 14.3 +5.8% 
  • ISE Sentiment Index 127.0 -13.0
  • Total Put/Call 1.02 +14.6%
  • NYSE Arms 1.76 +93.4%
  • NYSE Non-Block Money Flow -$39.3M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 48.5 -1.5%
  • US Energy High-Yield OAS 284.68 -.61%
  • Bloomberg TRACE # Distressed Bonds Traded 264 +9
  • European Financial Sector CDS Index 59.0 -1.0% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 179.4 +.11%
  • Italian/German 10Y Yld Spread 125.0 basis points +3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 100.5 +.4%
  • Emerging Market CDS Index 165.75 +.18%
  • Israel Sovereign CDS 114.9 +.6%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.7 +.11%
  • 2-Year SOFR Swap Spread -9.75 basis points +.25 basis point
  • Treasury Repo 3M T-Bill Spread 6.5 basis points -2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.75 +.5 basis point
  • MBS  5/10 Treasury Spread 148.0 -3.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 809.0 +1.0 basis point
  • Avg. Auto ABS OAS 61.0 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 39.7 -.18%
  • 3-Month T-Bill Yield 5.37% -1.0 basis point
  • China Iron Ore Spot 106.2 USD/Metric Tonne -.4%
  • Dutch TTF Nat Gas(European benchmark) 28.9 euros/megawatt-hour +.2%
  • Citi US Economic Surprise Index 25.0 +2.0 points
  • Citi Eurozone Economic Surprise Index 54.3 +4.3 points
  • Citi Emerging Markets Economic Surprise Index 20.5 +.4 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(5 of 500 reporting) +16.5% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 249.09 +.41:  Growth Rate +11.6% +.2 percentage point, P/E 20.7 -.1
  • S&P 500 Current Year Estimated Profit Margin 12.83% +1.0 basis point
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(10 of 10 reporting) +55.2% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 310.17 -6.81: Growth Rate +29.1% -2.8 percentage points, P/E 31.6 +.4
  • Bloomberg US Financial Conditions Index 1.16 +3.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index 1.08 -4.0 basis points
  • US Yield Curve -39.5 basis points (2s/10s) +.75 basis point
  • US Atlanta Fed 1Q GDPNow Forecast +2.1% -20.0 basis points
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 51.7% -.2 percentage point
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.78% unch.: CPI YoY +3.37% +4.0 basis points
  • 10-Year TIPS Spread 2.30 -1.0 basis point
  • Highest target rate probability for May 1st FOMC meeting: 92.8%(+.6 percentage point) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 55.4%(+4.6 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -139 open in Japan 
  • China A50 Futures: Indicating +15 open in China
  • DAX Futures: Indicating +270 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my industrial/consumer discretionary sector longs and emerging market shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and emerging market shorts
  • Market Exposure: Moved to 75% Net Long

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