Friday, August 30, 2024

Stocks Rising into Final Hour on Earnings Outlook Optimism, US Economic Data, Technical Buying, Tech/Transport Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Around Even
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.1 -3.6%
  • DJIA Intraday % Swing .80 -32.7%
  • Bloomberg Global Risk On/Risk Off Index 57.1 +2.5%
  • Euro/Yen Carry Return Index 178.2 +.6%
  • Emerging Markets Currency Volatility(VXY) 9.0 -.11%
  • CBOE S&P 500 Implied Correlation Index 14.2 -3.5% 
  • ISE Sentiment Index 140.0 -2.0
  • Total Put/Call .71 -23.7%
  • NYSE Arms .82 -24.8%
  • NYSE Non-Block Money Flow -$125.2M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 49.6 -.07%
  • US Energy High-Yield OAS 294.53 -.11%
  • Bloomberg TRACE # Distressed Bonds Traded 249 -5
  • European Financial Sector CDS Index 60.41 +1.1%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 162.75 +.92%
  • Italian/German 10Y Yld Spread 140.0 basis points +2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 91.4 -.94%
  • Emerging Market CDS Index 162.0 +.6%
  • Israel Sovereign CDS 127.2 -.33%
  • China Corp. High-Yield Bond USD ETF(KHYB) 25.1 unch.
  • 2-Year SOFR Swap Spread -19.75 basis points -.25 basis point
  • Treasury Repo 3M T-Bill Spread -20.75 basis points +2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -.75 -.25 basis point
  • MBS  5/10 Treasury Spread 136.0 +2.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 692.0 -3.0 basis points
  • Avg. Auto ABS OAS 66.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 38.9 -.06%
  • 3-Month T-Bill Yield 5.11% unch.
  • China Iron Ore Spot 100.8 USD/Metric Tonne -.23%
  • Dutch TTF Nat Gas(European benchmark) 39.82 euros/megawatt-hour +2.49%
  • Citi US Economic Surprise Index -24.2 +.6 point
  • Citi Eurozone Economic Surprise Index -50.9 -.7 point
  • Citi Emerging Markets Economic Surprise Index -11.4 -.4 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(493 of 500 reporting) +11.4% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 265.53 +.33:  Growth Rate +13.7% +.2 percentage point, P/E 21.1 -.2
  • S&P 500 Current Year Estimated Profit Margin 12.69% unch.
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +36.3% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 345.75 +.99: Growth Rate +22.3% +.3 percentage point, P/E 31.8 -.5
  • Bloomberg US Financial Conditions Index .78 +1.0 basis point
  • Bloomberg Euro-Zone Financial Conditions Index .74 -6.0 basis points
  • US Yield Curve -2.0 basis points (2s/10s) +1.0 basis point
  • US Atlanta Fed 3Q GDPNow Forecast +2.53% +54.0 basis points
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 69.4% -1.6 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% +10.0 basis points: CPI YoY +2.56% unch.
  • 10-Year TIPS Spread 2.16 unch.
  • Highest target rate probability for Nov. 7th FOMC meeting: 50.3%(+4.3 percentage points) chance of 4.75%-5.0%. Highest target rate probability for Dec. 18th meeting: 44.8%(+.1 percentage point) chance of 4.25%-4.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +336 open in Japan 
  • China A50 Futures: Indicating -59 open in China
  • DAX Futures: Indicating +70 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my industrial/tech/utility sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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