Wednesday, June 05, 2024

Stocks Surging into Final Hour on Falling Long-Term Rates, Earnings Outlook Optimism, Short-Covering, Tech/Construction Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 12.8 -2.9%
  • DJIA Intraday % Swing .67 -33.7%
  • Bloomberg Global Risk On/Risk Off Index 63.1 -.9%
  • Euro/Yen Carry Return Index 185.5 +.7%
  • Emerging Markets Currency Volatility(VXY) 7.2 -1.0%
  • CBOE S&P 500 Implied Correlation Index 12.2 -6.9% 
  • ISE Sentiment Index 127.0 +34.0
  • Total Put/Call .87 -8.4%
  • NYSE Arms 1.14 -29.6%
  • NYSE Non-Block Money Flow +$235.7M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 49.9 -1.4%
  • US Energy High-Yield OAS 271.6 +.35%
  • Bloomberg TRACE # Distressed Bonds Traded 293 +17
  • European Financial Sector CDS Index 58.6 -.15%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 163.3 -.17%
  • Italian/German 10Y Yld Spread 131.0 basis points -3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 95.9 +1.0%
  • Emerging Market CDS Index 163.4 -1.2%
  • Israel Sovereign CDS 123.3 -1.6%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.8 unch.
  • 2-Year SOFR Swap Spread -10.75 basis points -.25 basis point
  • Treasury Repo 3M T-Bill Spread 7.0 basis points -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -1.75 +.25 basis point
  • MBS  5/10 Treasury Spread 139.0 -4.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 734.0 unch.
  • Avg. Auto ABS OAS 58.0 +3.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 39.6 +.3%
  • 3-Month T-Bill Yield 5.39% -1.0 basis point
  • China Iron Ore Spot 107.4 USD/Metric Tonne +.6%
  • Dutch TTF Nat Gas(European benchmark) 33.4 euros/megawatt-hour -1.3%
  • Citi US Economic Surprise Index -7.6 +4.2 points
  • Citi Eurozone Economic Surprise Index 27.5 +.4 point
  • Citi Emerging Markets Economic Surprise Index 11.8 -1.1 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(495 of 500 reporting) +7.8% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 258.09 +.15:  Growth Rate +13.2% +.1 percentage point, P/E 20.7 +.3
  • S&P 500 Current Year Estimated Profit Margin 12.85% -2.0 basis points
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +52.9% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 330.17 +.30: Growth Rate +23.1% +.1 percentage point, P/E 32.0 +.6
  • Bloomberg US Financial Conditions Index .94 -3.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .94 -7.0 basis points
  • US Yield Curve -44.5 basis points (2s/10s) -.75 basis point
  • US Atlanta Fed 2Q GDPNow Forecast +1.8% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 51.5% +2.4 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.69% unch.: CPI YoY +3.36% unch.
  • 10-Year TIPS Spread 2.31 -1.0 basis point
  • Highest target rate probability for July 31st FOMC meeting: 81.2%(-1.2 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Sept. 18th meeting: 58.7%(+2.3 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +455 open in Japan 
  • China A50 Futures: Indicating -34 open in China
  • DAX Futures: Indicating +101 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my tech/biotech/financial/consumer discretionary/industrial sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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