Wednesday, August 28, 2024

Stocks Lower into Final Hour on China Economy Worries, Earnings Outlook Jitters, Technical Selling, Tech/Alt Energy Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.8 +15.2%
  • DJIA Intraday % Swing .80 +117.9%
  • Bloomberg Global Risk On/Risk Off Index 53.6 -1.5%
  • Euro/Yen Carry Return Index 177.2 -.2%
  • Emerging Markets Currency Volatility(VXY) 8.9 +.8%
  • CBOE S&P 500 Implied Correlation Index 14.7 +16.4% 
  • ISE Sentiment Index 137.0 +10.0
  • Total Put/Call .92 -7.1%
  • NYSE Arms 1.53 +24.4%
  • NYSE Non-Block Money Flow -$222.2M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 50.2 +1.99%
  • US Energy High-Yield OAS 303.3 +2.0%
  • Bloomberg TRACE # Distressed Bonds Traded 243 -1
  • European Financial Sector CDS Index 59.9 +1.2%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 160.8 -.11%
  • Italian/German 10Y Yld Spread 139.0 basis points +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 92.7 -.01%
  • Emerging Market CDS Index 161.4 +1.7%
  • Israel Sovereign CDS 138.2 -.04%
  • China Corp. High-Yield Bond USD ETF(KHYB) 25.1 unch.
  • 2-Year SOFR Swap Spread -17.75 basis points +4.0 basis points
  • Treasury Repo 3M T-Bill Spread -24.0 basis points -1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -.75 unch.
  • MBS  5/10 Treasury Spread 132.0 unch.
  • Bloomberg CMBS Investment Grade Bbb Average OAS 697.0 +1.0 basis point
  • Avg. Auto ABS OAS 67.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 38.9 -.23%
  • 3-Month T-Bill Yield 5.10% unch.
  • China Iron Ore Spot 101.9 USD/Metric Tonne +.04%
  • Dutch TTF Nat Gas(European benchmark) 38.5 euros/megawatt-hour -.44%
  • Citi US Economic Surprise Index -27.2 +.9 point
  • Citi Eurozone Economic Surprise Index -56.6 -.3 point
  • Citi Emerging Markets Economic Surprise Index -12.7 unch.
  • S&P 500 Current Quarter EPS Growth Rate YoY(479 of 500 reporting) +9.4% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 265.03 +.11:  Growth Rate +16.3% unch., P/E 21.1 -.1
  • S&P 500 Current Year Estimated Profit Margin 12.68% unch.
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(8 of 10 reporting) +26.3% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 344.49 +.25: Growth Rate +28.4% +.1 percentage point, P/E 31.7 -.6
  • Bloomberg US Financial Conditions Index .74 +1.0 basis point
  • Bloomberg Euro-Zone Financial Conditions Index .74 +1.0 basis point
  • US Yield Curve -3.0 basis points (2s/10s) +4.0 basis points
  • US Atlanta Fed 3Q GDPNow Forecast +1.99% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 70.9% +1.6 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.64% unch.: CPI YoY +2.56% unch.
  • 10-Year TIPS Spread 2.15 unch.
  • Highest target rate probability for Nov. 7th FOMC meeting: 45.8%(unch.) chance of 4.5%-4.75%. Highest target rate probability for Dec. 18th meeting: 44.0%(+.1 percentage point) chance of 4.25%-4.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -216 open in Japan 
  • China A50 Futures: Indicating -18 open in China
  • DAX Futures: Indicating +11 open in Germany
Portfolio:
  • Slightly Lower:  On losses in my consumer discretionary/industrial/tech sector longs and index hedges
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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