Monday, June 17, 2024

Stocks Reversing Higher into Close on Earnings Outlook Optimism, Technical Buying, Dollar Weakness, Tech/Consumer Discretionary Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Slightly Lower
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.6 -.2%
  • DJIA Intraday % Swing .71 -2.9%
  • Bloomberg Global Risk On/Risk Off Index 59.7 +1.4%
  • Euro/Yen Carry Return Index 185.4 +.47%
  • Emerging Markets Currency Volatility(VXY) 7.6 -1.2%
  • CBOE S&P 500 Implied Correlation Index 9.1 -7.3% 
  • ISE Sentiment Index 132.0 -7.0
  • Total Put/Call .83 -9.8%
  • NYSE Arms .89 -34.1%
  • NYSE Non-Block Money Flow -$157.2M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 53.3 -.9%
  • US Energy High-Yield OAS 278.6 -3.8%
  • Bloomberg TRACE # Distressed Bonds Traded 289 +1
  • European Financial Sector CDS Index 73.0 -2.1%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 191.6 +2.2%
  • Italian/German 10Y Yld Spread 153.0 basis points -4.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 100.9 +2.6%
  • Emerging Market CDS Index 170.9 -.08%
  • Israel Sovereign CDS 124.8 +1.5%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.9 -.04%
  • 2-Year SOFR Swap Spread -16.5 basis points -.25 basis points
  • Treasury Repo 3M T-Bill Spread 8.5 basis points +1.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.75 +2.25 basis points
  • MBS  5/10 Treasury Spread 144.0 -1.0 basis point
  • Bloomberg CMBS Investment Grade Bbb Average OAS 720.0 -4.0 basis points
  • Avg. Auto ABS OAS 58.0 -2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 39.1 unch.
  • 3-Month T-Bill Yield 5.38% unch.
  • China Iron Ore Spot 107.3 USD/Metric Tonne +1.8%
  • Dutch TTF Nat Gas(European benchmark) 34.2 euros/megawatt-hour -3.3%
  • Citi US Economic Surprise Index -21.5 -1.6 points
  • Citi Eurozone Economic Surprise Index 25.1 -.3 point
  • Citi Emerging Markets Economic Surprise Index 6.9 +.7 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(2 of 500 reporting) +2.9% n/a
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 259.43 +.33:  Growth Rate +13.8% +.2 percentage point, P/E 21.0 +.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 334.46 +.50: Growth Rate +24.7% +.2 percentage point, P/E 33.8 +.3
  • Bloomberg US Financial Conditions Index 1.0 -4.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .58 -24.0 basis points
  • US Yield Curve -49.0 basis points (2s/10s) -1.5 basis points
  • US Atlanta Fed 2Q GDPNow Forecast +3.1% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 54.9% -.8 percentage point
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.56% unch.: CPI YoY +3.15% unch.
  • 10-Year TIPS Spread 2.22 +4.0 basis points
  • Highest target rate probability for Sept. 18th FOMC meeting: 57.5%(-4.5 percentage points) chance of 5.0%-5.25%. Highest target rate probability for Nov. 7th meeting: 50.2%(+1.6 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +413 open in Japan 
  • China A50 Futures: Indicating -5 open in China
  • DAX Futures: Indicating +103 open in Germany
Portfolio:
  • Higher:  On gains in my industrial/consumer discretionary/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved 100% Net Long

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