Tuesday, June 11, 2024

Stocks Reversing Higher into Final Hour on Falling Long-Term Rates, Earnings Outlook Optimism, Technical Buying, Tech/Retail Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.78 +.8%
  • DJIA Intraday % Swing .90 +89.2%
  • Bloomberg Global Risk On/Risk Off Index 63.2 -4.2%
  • Euro/Yen Carry Return Index 184.6 -.2%
  • Emerging Markets Currency Volatility(VXY) 7.6 -.4%
  • CBOE S&P 500 Implied Correlation Index 12.4 +.7% 
  • ISE Sentiment Index 143.0 +8.0
  • Total Put/Call .85 -5.6%
  • NYSE Arms 1.20 +29.4%
  • NYSE Non-Block Money Flow -$396.3M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 50.7 +1.3%
  • US Energy High-Yield OAS 271.1 +2.6%
  • Bloomberg TRACE # Distressed Bonds Traded 293 -5
  • European Financial Sector CDS Index 64.1 +5.5%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 173.6 +3.5%
  • Italian/German 10Y Yld Spread 145.0 basis points +5.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 96.1 -.2%
  • Emerging Market CDS Index 166.4 +.75%
  • Israel Sovereign CDS 123.4 +2.3%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.9 +.1%
  • 2-Year SOFR Swap Spread -12.5 basis points +.5 basis point
  • Treasury Repo 3M T-Bill Spread 4.5 basis points -1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.25 -.75 basis point
  • MBS  5/10 Treasury Spread 144.0 unch.
  • Bloomberg CMBS Investment Grade Bbb Average OAS 724.0 -1.0 basis point
  • Avg. Auto ABS OAS 57.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 39.4 -.07%
  • 3-Month T-Bill Yield 5.36% -2.0 basis points
  • China Iron Ore Spot 104.5 USD/Metric Tonne +.71%
  • Dutch TTF Nat Gas(European benchmark) 34.3 euros/megawatt-hour +.08%
  • Citi US Economic Surprise Index -6.1 +.5 point
  • Citi Eurozone Economic Surprise Index 28.1 -.1 point
  • Citi Emerging Markets Economic Surprise Index 6.2 +1.3 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(498 of 500 reporting) +7.8% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 258.73 +.22:  Growth Rate +13.4% unch., P/E 20.7 unch.
  • S&P 500 Current Year Estimated Profit Margin 12.85% unch.
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +52.9% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 331.74 +.83: Growth Rate +23.7% +.3 percentage point, P/E 32.1 -.1
  • Bloomberg US Financial Conditions Index 1.08 -2.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index 1.01 -5.0 basis points
  • US Yield Curve -43.25 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) 48.7% +1.6 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.69% unch.: CPI YoY +3.36% unch.
  • 10-Year TIPS Spread 2.29 -2.0 basis points
  • Highest target rate probability for July 31st FOMC meeting: 91.1%(+1.9 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Sept. 18th meeting: 48.3%(+3.2 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -124 open in Japan 
  • China A50 Futures: Indicating -60 open in China
  • DAX Futures: Indicating +68 open in Germany
Portfolio:
  • Slightly Lower:  On losses in my industrial/consumer discretionary/financial sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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