Monday, April 08, 2024

Stocks Slightly Lower into Close on Higher Long-Term Rates, US Policy-Induced Stagflation Fears, Technical Selling, Road & Rail/Gambling Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 15.4 -4.1%
  • DJIA Intraday % Swing .35 -68.9%
  • Bloomberg Global Risk On/Risk Off Index 68.4 +.6%
  • Euro/Yen Carry Return Index 179.1 +.34%
  • Emerging Markets Currency Volatility(VXY) 6.6 -.8%
  • CBOE S&P 500 Implied Correlation Index 16.6 -5.3% 
  • ISE Sentiment Index 155.0 +27.0
  • Total Put/Call 1.03 -14.9%
  • NYSE Arms .93 +20.8%
  • NYSE Non-Block Money Flow +$94.1M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.5 -2.2%
  • US Energy High-Yield OAS 264.2 -1.4%
  • Bloomberg TRACE # Distressed Bonds Traded 251 -17
  • European Financial Sector CDS Index 62.4 -1.3%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 184.2 -.52%
  • Italian/German 10Y Yld Spread 139.0 basis points unch.
  • Asia Ex-Japan Investment Grade CDS Index 104.75 -1.1%
  • Emerging Market CDS Index 168.4 -1.0%
  • Israel Sovereign CDS 123.5 -5.0%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.64 -.04%
  • 2-Year SOFR Swap Spread -9.75 basis points -.75 basis point
  • Treasury Repo 3M T-Bill Spread 6.25 basis points +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.5 -.75 basis point
  • MBS  5/10 Treasury Spread 142.0 +5.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 776.0 -6.0 basis points
  • Avg. Auto ABS OAS 58.0 -2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 39.9 +.13%
  • 3-Month T-Bill Yield 5.37% +1.0 basis point
  • China Iron Ore Spot 105.2 USD/Metric Tonne +.9%
  • Dutch TTF Nat Gas(European benchmark) 27.91 euros/megawatt-hour +4.9%
  • Citi US Economic Surprise Index 39.2 +2.6 points
  • Citi Eurozone Economic Surprise Index 36.4 -4.3 points
  • Citi Emerging Markets Economic Surprise Index 27.8 +1.8 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(19 of 500 reporting) +39.5% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 251.30 +.35:  Growth Rate +12.6% +.2 percentage point, P/E 20.7 -.1
  • S&P 500 Current Year Estimated Profit Margin 12.84% unch.
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) +n/a
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 312.53 +.64: Growth Rate +30.1% +.3 percentage point, P/E 32.2 -.1
  • Bloomberg US Financial Conditions Index 1.01 +10.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .95 -5.0 basis points
  • US Yield Curve -37.0 basis points (2s/10s) -2.0 basis points
  • US Atlanta Fed 1Q GDPNow Forecast +2.5% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 48.4% -3.8 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.67% unch.: CPI YoY +3.41% unch.
  • 10-Year TIPS Spread 2.39 +1.0 basis point
  • Highest target rate probability for June 12th FOMC meeting: 51.3%(+.5 percentage point) chance of 5.0%-5.25%. Highest target rate probability for July 31st meeting: 50.3%(+1.2 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +148 open in Japan 
  • China A50 Futures: Indicating +23 open in China
  • DAX Futures: Indicating +169 open in Germany
Portfolio:
  • Slightly Lower:  On losses in my consumer discretionary/tech/financial sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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