Thursday, June 06, 2024

Stocks Slightly Lower into Final Hour on US Economic Data, Sector Rotation, Technical Selling, Alt Energy/Homebuilding Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.7 +.4%
  • DJIA Intraday % Swing .68 +1.8%
  • Bloomberg Global Risk On/Risk Off Index 62.5 -.8%
  • Euro/Yen Carry Return Index 185.5 unch.
  • Emerging Markets Currency Volatility(VXY) 7.2 +.1%
  • CBOE S&P 500 Implied Correlation Index 11.8 unch. 
  • ISE Sentiment Index 148.0 +20.0
  • Total Put/Call .99 +7.6%
  • NYSE Arms .81 -27.2%
  • NYSE Non-Block Money Flow -$194.8M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 50.4 +1.0%
  • US Energy High-Yield OAS 274.4 +1.1%
  • Bloomberg TRACE # Distressed Bonds Traded 300 +7
  • European Financial Sector CDS Index 58.7 +.2%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 163.3 unch.
  • Italian/German 10Y Yld Spread 132.0 basis points +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 96.5 +.7%
  • Emerging Market CDS Index 166.7 +2.1%
  • Israel Sovereign CDS 121.8 -1.3%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.8 unch.
  • 2-Year SOFR Swap Spread -11.75 basis points -1.0 basis point
  • Treasury Repo 3M T-Bill Spread 7.0 basis points unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -1.75 unch.
  • MBS  5/10 Treasury Spread 142.0 +3.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 732.0 -2.0 basis points
  • Avg. Auto ABS OAS 57.0 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 39.6 +.2%
  • 3-Month T-Bill Yield 5.39% unch.
  • China Iron Ore Spot 111.8 USD/Metric Tonne +2.8%
  • Dutch TTF Nat Gas(European benchmark) 33.7 euros/megawatt-hour +1.0%
  • Citi US Economic Surprise Index -9.9 -2.3 points
  • Citi Eurozone Economic Surprise Index 26.1 -1.4 points
  • Citi Emerging Markets Economic Surprise Index 9.4 -2.4 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(497 of 500 reporting) +7.8% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 258.18 +.09:  Growth Rate +13.2% 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 330.29 +.12: Growth Rate +23.2% +.1 percentage point, P/E 32.2 +.2
  • Bloomberg US Financial Conditions Index 1.00 +6.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .99 +5.0 basis points
  • US Yield Curve -44.0 basis points (2s/10s) +.5 basis point
  • US Atlanta Fed 2Q GDPNow Forecast +2.6% +80.0 basis points
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 53.7% +2.2 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: 79.4%(-1.1 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Sept. 18th meeting: 56.9%(-.3 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -58 open in Japan 
  • China A50 Futures: Indicating -29 open in China
  • DAX Futures: Indicating +23 open in Germany
Portfolio:
  • Slightly Lower:  On losses in my industrial/tech sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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