Thursday, August 29, 2024

Stocks Slightly Higher into Final Hour on US Economic Data, Earnings Outlook Optimism, Short-Covering, Commodity/Alt Energy Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.7 -8.2%
  • DJIA Intraday % Swing 1.20 +49.5%
  • Bloomberg Global Risk On/Risk Off Index 55.9 +4.5%
  • Euro/Yen Carry Return Index 176.8 -.3%
  • Emerging Markets Currency Volatility(VXY) 9.12 +2.2%
  • CBOE S&P 500 Implied Correlation Index 14.9 +2.7% 
  • ISE Sentiment Index 153.0 +15.0
  • Total Put/Call .91 +2.3%
  • NYSE Arms 1.111 -5.9%
  • NYSE Non-Block Money Flow -$243.7M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 49.6 -.7%
  • US Energy High-Yield OAS 296.5 -2.0%
  • Bloomberg TRACE # Distressed Bonds Traded 254 +11
  • European Financial Sector CDS Index 59.8 -.2%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 161.3 +.32%
  • Italian/German 10Y Yld Spread 138.0 basis points -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 92.2 -.5%
  • Emerging Market CDS Index 160.71 +.5%
  • Israel Sovereign CDS 127.7 -7.6%
  • China Corp. High-Yield Bond USD ETF(KHYB) 25.1 unch.
  • 2-Year SOFR Swap Spread -19.5 basis points -1.75 basis points
  • Treasury Repo 3M T-Bill Spread -22.75 basis points +1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -.5 +.25 basis point
  • MBS  5/10 Treasury Spread 134.0 +2.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 695.0 -2.0 basis points
  • Avg. Auto ABS OAS 66.0 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 38.9 -.11%
  • 3-Month T-Bill Yield 5.11% +1.0 basis point
  • China Iron Ore Spot 101.7 USD/Metric Tonne -.03%
  • Dutch TTF Nat Gas(European benchmark) 38.6 euros/megawatt-hour +.21%
  • Citi US Economic Surprise Index -24.8 +2.4 points
  • Citi Eurozone Economic Surprise Index -50.2 +6.4 points
  • Citi Emerging Markets Economic Surprise Index -11.0 +1.7 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(490 of 500 reporting) +11.4% +2.0 percentage points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 265.20 +.17:  Growth Rate +13.5% -2.8 percentage points, P/E 21.3 +.2
  • S&P 500 Current Year Estimated Profit Margin 12.69% +1.0 basis point
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +36.3% +10.0 percentage points
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 344.76 +.27: Growth Rate +22.0% -6.4 percentage points, P/E 32.3 +.6
  • Bloomberg US Financial Conditions Index .77 +3.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .80 +6.0 basis points
  • US Yield Curve -3.0 basis points (2s/10s) unch.
  • US Atlanta Fed 3Q GDPNow Forecast +1.99% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 71.0% +.1 percentage point
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.64% unch.: CPI YoY +2.56% unch.
  • 10-Year TIPS Spread 2.16 +1.0 basis point
  • Highest target rate probability for Nov. 7th FOMC meeting: 46.0%(+4.1 percentage points) chance of 4.75%-5.0%. Highest target rate probability for Dec. 18th meeting: 44.6%(+.5 percentage point) chance of 4.25%-4.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -77 open in Japan 
  • China A50 Futures: Indicating -24 open in China
  • DAX Futures: Indicating -35 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my industrial/tech/utility/biotech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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