Tuesday, June 18, 2024

Stocks Modestly Higher into Final Hour on Lower Long-Term Rates, Declining Eurozone Debt Angst, Earnings Outlook Optimism, Tech/Gambling Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Around Even
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 12.5 -1.7%
  • DJIA Intraday % Swing .54 -24.1%
  • Bloomberg Global Risk On/Risk Off Index 59.0 -1.3%
  • Euro/Yen Carry Return Index 185.5 +.1%
  • Emerging Markets Currency Volatility(VXY) 7.6 -.7%
  • CBOE S&P 500 Implied Correlation Index 8.8 -3.8% 
  • ISE Sentiment Index 171.0 +39.0
  • Total Put/Call .82 -6.8%
  • NYSE Arms 1.14 +35.7%
  • NYSE Non-Block Money Flow -$214.2M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.3 -1.4%
  • US Energy High-Yield OAS 279.5 +.63%
  • Bloomberg TRACE # Distressed Bonds Traded 277 -12
  • European Financial Sector CDS Index 70.5 -3.5%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 182.4 -4.8%
  • Italian/German 10Y Yld Spread 150.0 basis points -3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 100.0 -.6%
  • Emerging Market CDS Index 167.0 -2.1%
  • Israel Sovereign CDS 127.2 +.4%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.9 +.16%
  • 2-Year SOFR Swap Spread -16.25 basis points +.25 basis points
  • Treasury Repo 3M T-Bill Spread 6.25 basis points -2.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.75 unch.
  • MBS  5/10 Treasury Spread 145.0 +1.0 basis point
  • Bloomberg CMBS Investment Grade Bbb Average OAS 720.0 unch.
  • Avg. Auto ABS OAS 60.0 +2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 39.3 +.6%
  • 3-Month T-Bill Yield 5.38% unch.
  • China Iron Ore Spot 108.0 USD/Metric Tonne +1.6%
  • Dutch TTF Nat Gas(European benchmark) 34.7 euros/megawatt-hour +1.4%
  • Citi US Economic Surprise Index -22.4 -.9 point
  • Citi Eurozone Economic Surprise Index 25.1 unch.
  • Citi Emerging Markets Economic Surprise Index 7.0 +.1 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(3 of 500 reporting) +3.8% +.9 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 259.52 +.09:  Growth Rate +13.8% unch., P/E 21.1 +.1
  • S&P 500 Current Year Estimated Profit Margin 12.83% unch.
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 334.63 +.17: Growth Rate +24.7% unch., P/E 33.9 +.1
  • Bloomberg US Financial Conditions Index 1.05 +5.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .58 unch.
  • US Yield Curve -49.0 basis points (2s/10s) unch.
  • US Atlanta Fed 2Q GDPNow Forecast +3.1% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 54.9% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.56% unch.: CPI YoY +3.13% -2.0 basis points
  • 10-Year TIPS Spread 2.22 unch.
  • Highest target rate probability for Sept. 18th FOMC meeting: 61.7%(+5.0 percentage points) chance of 5.0%-5.25%. Highest target rate probability for Nov. 7th meeting: 50.6%(+.6 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +108 open in Japan 
  • China A50 Futures: Indicating +2 open in China
  • DAX Futures: Indicating +30 open in Germany
Portfolio:
  • Higher:  On gains in my industrial/consumer discretionary/tech sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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