Wednesday, May 08, 2024

Stocks Reversing Slightly Higher into Final Hour on US Economic Growth Prospects, Earnings Outlook Optimism, Technical Buying, Tech/Financial Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 13.0 -1.4%
  • DJIA Intraday % Swing .43 +41.9%
  • Bloomberg Global Risk On/Risk Off Index 64.5 +.3%
  • Euro/Yen Carry Return Index 182.3 +.5%
  • Emerging Markets Currency Volatility(VXY) 6.92 +.44%
  • CBOE S&P 500 Implied Correlation Index 16.5 -2.3% 
  • ISE Sentiment Index 133.0 +4.0
  • Total Put/Call .93 -6.1%
  • NYSE Arms .84 -42.5%
  • NYSE Non-Block Money Flow -$183.9M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 50.5 +.6%
  • US Energy High-Yield OAS 257.4 +1.6%
  • Bloomberg TRACE # Distressed Bonds Traded 279 +6
  • European Financial Sector CDS Index 59.48 -.18%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 182.5 -.21%
  • Italian/German 10Y Yld Spread 134.0 basis points unch.
  • Asia Ex-Japan Investment Grade CDS Index 102.7 +1.8%
  • Emerging Market CDS Index 162.5 +.72%
  • Israel Sovereign CDS 123.3 -5.6%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.6 unch.
  • 2-Year SOFR Swap Spread -8.5 basis points +.25 basis points
  • Treasury Repo 3M T-Bill Spread 8.5 basis points +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.0 -.25 basis point
  • MBS  5/10 Treasury Spread 144.0 +1.0 basis point
  • Bloomberg CMBS Investment Grade Bbb Average OAS 758.0 -2.0 basis points
  • Avg. Auto ABS OAS 57.0 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 39.6 -.08%
  • 3-Month T-Bill Yield 5.39% unch.
  • China Iron Ore Spot 116.7 USD/Metric Tonne +1.7%
  • Dutch TTF Nat Gas(European benchmark) 30.6 euros/megawatt-hour -1.5%
  • Citi US Economic Surprise Index -7.4 +.1
  • Citi Eurozone Economic Surprise Index 25.7 -.1 point
  • Citi Emerging Markets Economic Surprise Index 27.8 -1.9 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(439 of 500 reporting) +5.4% -.2 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 254.93 +.11:  Growth Rate +14.3% +.1 percentage point, P/E 20.3 -.1
  • S&P 500 Current Year Estimated Profit Margin 12.89% unch.
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +37.2% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 325.49 +.01: Growth Rate +35.5% unch., P/E 31.3 unch.
  • Bloomberg US Financial Conditions Index 1.13 unch.
  • Bloomberg Euro-Zone Financial Conditions Index 1.07 +7.0 basis points
  • US Yield Curve -35.0 basis points (2s/10s) +2.0 basis points
  • US Atlanta Fed 2Q GDPNow Forecast +4.2% +90.0 basis points
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 47.0% -.8 percentage point
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.50% unch.
  • 10-Year TIPS Spread 2.33 +1.0 basis points
  • Highest target rate probability for July 31st FOMC meeting: 68.6%(+.1 percentage point) chance of 5.25%-5.5%. Highest target rate probability for Sept. 18th meeting: 48.9%(+.1 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +223 open in Japan 
  • China A50 Futures: Indicating +21 open in China
  • DAX Futures: Indicating +154 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my financial/tech sector longs and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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