Wednesday, March 13, 2024

Stocks Reversing Slightly Higher into Afternoon on Earnings Outlook Optimism, Short-Covering, Technical Buying, Commodity/Homebuilding Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 13.8 -.22%
  • DJIA Intraday % Swing .41 -20.1%
  • Bloomberg Global Risk On/Risk Off Index 68.0 +.6%
  • Euro/Yen Carry Return Index 175.1 +.2%
  • Emerging Markets Currency Volatility(VXY) 6.2 -2.7%
  • CBOE S&P 500 Implied Correlation Index 12.0 -2.4% 
  • ISE Sentiment Index 158.0 +30.0
  • Total Put/Call .73 -31.1%
  • NYSE Arms .81 -28.3%
  • NYSE Non-Block Money Flow +$107.6M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 48.0 -1.4%
  • US Energy High-Yield OAS 290.5 -1.8%
  • Bloomberg TRACE # Distressed Bonds Traded 271 -5
  • European Financial Sector CDS Index 58.9 -1.7% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 182.0 -2.6%
  • Italian/German 10Y Yld Spread 123.0 basis points -5.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 99.4 -.5%
  • Emerging Market CDS Index 159.9 -1.9%
  • Israel Sovereign CDS 114.5 +.7%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.7 unch.
  • 2-Year SOFR Swap Spread -11.0 basis points +.5 basis point
  • Treasury Repo 3M T-Bill Spread 9.0 basis points +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.0 unch.
  • MBS  5/10 Treasury Spread 142.0 -4.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 816.0 -3.0 basis points
  • Avg. Auto ABS OAS 62.0 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 40.06 +.20%
  • 3-Month T-Bill Yield 5.39% unch.
  • China Iron Ore Spot 106.0 USD/Metric Tonne +.4%
  • Dutch TTF Nat Gas(European benchmark) 24.9 euros/megawatt-hour +.5%
  • Citi US Economic Surprise Index 29.7 +.7 point
  • Citi Eurozone Economic Surprise Index 51.4 -4.8 points
  • Citi Emerging Markets Economic Surprise Index 17.3 +1.0 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(497 of 500 reporting) +7.9% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 248.17 +.11:  Growth Rate +11.2% +.1 percentage point, P/E 20.8 unch.
  • 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 316.27 +.16: Growth Rate +31.6% unch., P/E 31.1 -.1
  • Bloomberg US Financial Conditions Index 1.12 +20.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index 1.11 +6.0 basis points
  • US Yield Curve -43.0 basis points (2s/10s) +1.75 basis points
  • US Atlanta Fed 1Q GDPNow Forecast +2.5% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 56.5% -4.5 percentage points
  • 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: 87.6%(-2.3 percentage points) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 58.0%(-4.6 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -240 open in Japan 
  • China A50 Futures: Indicating +16 open in China
  • DAX Futures: Indicating +31 open in Germany
Portfolio:
  • Higher:  On gains in my industrial/transport/consumer discretionary/biotech sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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