Tuesday, June 04, 2024

Stocks Slightly Higher into Final Hour on Lower Long-Term Rates, Earnings Outlook Optimism, Technical Buying, REIT/Utility 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) 13.3 +1.2%
  • DJIA Intraday % Swing .73 -42.5%
  • Bloomberg Global Risk On/Risk Off Index 64.4 -.8%
  • Euro/Yen Carry Return Index 184.0 -1.0%
  • Emerging Markets Currency Volatility(VXY) 7.24 +.28%
  • CBOE S&P 500 Implied Correlation Index 13.2 +6.4% 
  • ISE Sentiment Index 98.0 -32.0
  • Total Put/Call .99 +12.5%
  • NYSE Arms 1.71 +11.0%
  • NYSE Non-Block Money Flow -$400.3M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 50.3 +1.6%
  • US Energy High-Yield OAS 270.5 +2.9%
  • Bloomberg TRACE # Distressed Bonds Traded 276 +14
  • European Financial Sector CDS Index 58.7 +1.4%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 163.6 +1.2%
  • Italian/German 10Y Yld Spread 134.0 basis points +4.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 95.1 -.87%
  • Emerging Market CDS Index 165.39 +2.0%
  • Israel Sovereign CDS 125.4 -.98%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.8 +.12%
  • 2-Year SOFR Swap Spread -10.5 basis points -.75 basis point
  • Treasury Repo 3M T-Bill Spread 7.25 basis points -1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -2.0 unch.
  • MBS  5/10 Treasury Spread 143.0 +1.0 basis point
  • Bloomberg CMBS Investment Grade Bbb Average OAS 734.0 +1.0 basis point
  • Avg. Auto ABS OAS 55.0 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 39.4 -.80%
  • 3-Month T-Bill Yield 5.39% -1.0 basis point
  • China Iron Ore Spot 108.5 USD/Metric Tonne +.99%
  • Dutch TTF Nat Gas(European benchmark) 33.8 euros/megawatt-hour -6.2%
  • Citi US Economic Surprise Index -11.8 -2.9 points
  • Citi Eurozone Economic Surprise Index 27.1 +.4 point
  • Citi Emerging Markets Economic Surprise Index 12.9 +1.4 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(491 of 500 reporting) +7.8% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 257.94 +.12:  Growth Rate +13.1% unch., P/E 20.4 unch.
  • S&P 500 Current Year Estimated Profit Margin 12.87% 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 329.87 +.16: Growth Rate +23.0% unch., P/E 31.4 -.1
  • Bloomberg US Financial Conditions Index .97 -5.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index 1.01 unch.
  • US Yield Curve -43.75 basis points (2s/10s) -2.0 basis points
  • US Atlanta Fed 2Q GDPNow Forecast +1.8% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 49.1% +1.6 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.69% unch.: CPI YoY +3.36% unch.
  • 10-Year TIPS Spread 2.32 -1.0 basis point
  • Highest target rate probability for July 31st FOMC meeting: 81.2%(-3.1 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Sept. 18th meeting: 54.9%(+3.6 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -430 open in Japan 
  • China A50 Futures: Indicating -60 open in China
  • DAX Futures: Indicating +101 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my tech/biotech sector longs and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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