Thursday, March 14, 2024

Stocks Reversing Lower into Final Hour on US Policy-Induced Stagflation Fears, Surging Long-Term Rates, Technical Selling, Homebuilding/Regional Bank Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 14.3 +4.2%
  • DJIA Intraday % Swing .77 +30.3%
  • Bloomberg Global Risk On/Risk Off Index 69.0 +1.8%
  • Euro/Yen Carry Return Index 175.0 -.2%
  • Emerging Markets Currency Volatility(VXY) 6.2 unch.
  • CBOE S&P 500 Implied Correlation Index 12.9 +9.5% 
  • ISE Sentiment Index 128.0 -23.0
  • Total Put/Call .88 +2.3%
  • NYSE Arms .97 +10.2%
  • NYSE Non-Block Money Flow -$331.5M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 49.2 +2.1%
  • US Energy High-Yield OAS 291.1 +1.1%
  • Bloomberg TRACE # Distressed Bonds Traded 271 unch.
  • European Financial Sector CDS Index 59.5 +1.3% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 178.7 -1.6%
  • Italian/German 10Y Yld Spread 128.0 basis points +5.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 98.7 -.6%
  • Emerging Market CDS Index 164.1 +2.7%
  • Israel Sovereign CDS 115.1 +.93%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.7 unch.
  • 2-Year SOFR Swap Spread -11.0 basis points unch.
  • Treasury Repo 3M T-Bill Spread 9.0 basis points unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.25 +.75 basis point
  • MBS  5/10 Treasury Spread 148.0 +6.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 814.0 -2.0 basis points
  • Avg. Auto ABS OAS 62.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 39.9 -.22%
  • 3-Month T-Bill Yield 5.39% unch.
  • China Iron Ore Spot 101.9 USD/Metric Tonne -1.3%
  • Dutch TTF Nat Gas(European benchmark) 26.0 euros/megawatt-hour +4.6%
  • Citi US Economic Surprise Index 29.2 -.5 point
  • Citi Eurozone Economic Surprise Index 51.2 -.2 point
  • Citi Emerging Markets Economic Surprise Index 19.4 +2.1 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(498 of 500 reporting) +7.9% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 248.22 +.05:  Growth Rate +11.2% unch., P/E 20.7 -.1
  • S&P 500 Current Year Estimated Profit Margin 12.82% unch.
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(10 of 10 reporting) +55.2% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 316.65 +.38: Growth Rate +31.8% +.2 percentage point, P/E 31.0 unch.
  • Bloomberg US Financial Conditions Index 1.17 +5.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index 1.12 +1.0 basis points
  • US Yield Curve -39.5 basis points (2s/10s) +3.5 basis points
  • US Atlanta Fed 1Q GDPNow Forecast +2.3% -20.0 basis points
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 56.5% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.78% unch.: CPI YoY +3.33% unch.
  • 10-Year TIPS Spread 2.30 unch.
  • Highest target rate probability for May 1st FOMC meeting: 95.7%(+7.0 percentage points) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 60.1%(+1.9 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -633 open in Japan 
  • China A50 Futures: Indicating -30 open in China
  • DAX Futures: Indicating -55 open in Germany
Portfolio:
  • Lower:  On losses in my industrial/transport/consumer discretionary/biotech/tech sector longs
  • Disclosed Trades: Added to (IWM)/(QQQ) hedges, added to emerging market shorts  and took profits in biotech longs
  • Market Exposure: Moved to 25% Net Long

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