Monday, May 13, 2024

Stocks Slightly Higher into Close on Stable Long-Term Rates, Earnings Outlook Optimism, Meme Stock Frenzy, Retail/Alt Energy Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 13.6 +8.0%
  • DJIA Intraday % Swing .62 -15.5%
  • Bloomberg Global Risk On/Risk Off Index 64.9 -1.3%
  • Euro/Yen Carry Return Index 183.9 +.48%
  • Emerging Markets Currency Volatility(VXY) 6.98 +1.5%
  • CBOE S&P 500 Implied Correlation Index 16.4 +.12% 
  • ISE Sentiment Index 152.0 +7.0
  • Total Put/Call .89 -3.3%
  • NYSE Arms .74 -40.0%
  • NYSE Non-Block Money Flow +$20.1M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 50.64 +.08%
  • US Energy High-Yield OAS 258.72 +.18%
  • Bloomberg TRACE # Distressed Bonds Traded 290 +10
  • European Financial Sector CDS Index 59.69 +.13%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 177.15 -1.05%
  • Italian/German 10Y Yld Spread 135.0 basis points +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 99.0 -.5%
  • Emerging Market CDS Index 162.5 -.61%
  • Israel Sovereign CDS 129.8 -.03%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.67 +.28%
  • 2-Year SOFR Swap Spread -8.5 basis points -.25 basis points
  • Treasury Repo 3M T-Bill Spread 9.5 basis points unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.75 -.25 basis point
  • MBS  5/10 Treasury Spread 140.0 unch.
  • Bloomberg CMBS Investment Grade Bbb Average OAS 745.0 -8.0 basis points
  • Avg. Auto ABS OAS 58.0 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 39.7 +.2%
  • 3-Month T-Bill Yield 5.39% -1.0 basis point
  • China Iron Ore Spot 116.7 USD/Metric Tonne -.3%
  • Dutch TTF Nat Gas(European benchmark) 29.6 euros/megawatt-hour -1.5%
  • Citi US Economic Surprise Index -17.9 -6.4
  • Citi Eurozone Economic Surprise Index 19.8 -5.2 points
  • Citi Emerging Markets Economic Surprise Index 25.7 -1.7 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(459 of 500 reporting) +5.5% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 255.41 +.28:  Growth Rate +14.5% +.1 percentage point, P/E 20.5 +.1
  • S&P 500 Current Year Estimated Profit Margin 12.88% -3.0 basis points
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +37.2% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 326.42 +.67: Growth Rate +35.9% +.3 percentage point, P/E 31.2 +.1
  • Bloomberg US Financial Conditions Index 1.16 +3.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index 1.04 +1.0 basis point
  • US Yield Curve -37.75 basis points (2s/10s) -1.75 basis points
  • US Atlanta Fed 2Q GDPNow Forecast +4.2% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 47.4% +.9 percentage point
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.50% unch.
  • 10-Year TIPS Spread 2.34 unch.
  • Highest target rate probability for July 31st FOMC meeting: 76.4%(+1.8 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Sept. 18th meeting: 49.6%(+1.0 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +56 open in Japan 
  • China A50 Futures: Indicating +25 open in China
  • DAX Futures: Indicating +105 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my financial/consumer discretionary/biotech/tech sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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