Friday, September 06, 2024

Stocks Finish Sharply Lower on US Economic Data, Earnings Outlook Jitters, Yen Strength, Tech/Alt Energy Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 22.8 +14.3%
  • DJIA Intraday % Swing 1.61 +16.8%
  • Bloomberg Global Risk On/Risk Off Index 47.7 -4.7%
  • Euro/Yen Carry Return Index 174.2 -1.0%
  • Emerging Markets Currency Volatility(VXY) 8.9 unch.
  • CBOE S&P 500 Implied Correlation Index 24.6 +18.9% 
  • ISE Sentiment Index 126.0 -9.0 points
  • Total Put/Call 1.15 +36.9%
  • NYSE Arms 1.21 -6.9%
  • NYSE Non-Block Money Flow -$266.7M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 53.3 +3.3%
  • US Energy High-Yield OAS 329.04 +4.2%
  • Bloomberg TRACE # Distressed Bonds Traded 262 +13
  • European Financial Sector CDS Index 64.2 +2.4%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 166.8 +.34%
  • Italian/German 10Y Yld Spread 145.0 basis points +2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 95.7 +.34%
  • Emerging Market CDS Index 168.2 +1.2%
  • Israel Sovereign CDS 134.5 -.43%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.76 -.28%
  • 2-Year SOFR Swap Spread -21.25 basis points -1.0 basis point
  • Treasury Repo 3M T-Bill Spread -27.25 basis points -1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -2.5 -.5 basis point
  • MBS  5/10 Treasury Spread 129.0 -4.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 705.0 +6.0 basis points
  • Avg. Auto ABS OAS 67.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 38.8 -.33%
  • 3-Month T-Bill Yield 5.05% -1.0 basis point
  • China Iron Ore Spot 90.25 USD/Metric Tonne -1.6%
  • Dutch TTF Nat Gas(European benchmark) 36.48 euros/megawatt-hour +.78%
  • Citi US Economic Surprise Index -30.1 -.6 point
  • Citi Eurozone Economic Surprise Index -43.6 +7.2 points
  • Citi Emerging Markets Economic Surprise Index -8.8 -.8
  • S&P 500 Current Quarter EPS Growth Rate YoY(498 of 500 reporting) +11.6% +.2 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 266.18 +.11:  Growth Rate +13.9% unch., P/E 20.3 -.3
  • S&P 500 Current Year Estimated Profit Margin 12.65% -4.0 basis points
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +36.3% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 347.88 +.97: Growth Rate +22.2% -.5 percentage point, P/E 30.1 -1.1
  • Bloomberg US Financial Conditions Index .52 +6.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .61 -9.0 basis points
  • US Yield Curve 5.5 basis point (2s/10s) +7.75 basis points
  • US Atlanta Fed 3Q GDPNow Forecast +2.09% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 73.1% +.8 percentage point
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +2.56% unch.
  • 10-Year TIPS Spread 2.03 -1.0 basis point
  • Highest target rate probability for Nov. 7th FOMC meeting: 52.4%(+3.5 percentage points) chance of 4.5%-4.75%. Highest target rate probability for Dec. 18th meeting: 40.6%(+6.9 percentage points) chance of 4.0%-4.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -1,081 open in Japan 
  • China A50 Futures: Indicating -75 open in China
  • DAX Futures: Indicating +2 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my index hedges and emerging market shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges, then covered some
  • Market Exposure: 25% Net Long

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