Friday, September 13, 2024

Stocks Higher into Afternoon on US Economic Data, Earnings Outlook Optimism, Short-Covering, Consumer Discretionary/Metals & Mining Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 16.3 -4.5%
  • DJIA Intraday % Swing .99 -8.8%
  • Bloomberg Global Risk On/Risk Off Index 50.8 +1.6%
  • Euro/Yen Carry Return Index 172.5 -.57%
  • Emerging Markets Currency Volatility(VXY) 8.56 +.59%
  • CBOE S&P 500 Implied Correlation Index 17.4 -.8% 
  • ISE Sentiment Index 137.0 +5.0 points
  • Total Put/Call .90 -4.3%
  • NYSE Arms 1.09 -16.2%
  • NYSE Non-Block Money Flow +$242.0M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 50.0 -1.7%
  • US Energy High-Yield OAS 338.44 -.27%
  • Bloomberg TRACE # Distressed Bonds Traded 287 -3
  • European Financial Sector CDS Index 61.2 -3.8%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 163.3 -1.7%
  • Italian/German 10Y Yld Spread 136.0 basis points -3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 97.0 -1.1%
  • Emerging Market CDS Index 163.3 -1.4%
  • Israel Sovereign CDS 131.0 -.43%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.75 +.26%
  • 2-Year SOFR Swap Spread -20.75 basis points +1.0 basis point
  • 3M T-Bill Treasury Repo Spread -41.5 basis points -6.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -1.75 -.25 basis point
  • MBS  5/10 Treasury Spread 126.0 -1.0 basis point
  • Bloomberg CMBS Investment Grade Bbb Average OAS 707.0 unch.
  • Avg. Auto ABS OAS 66.0 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 39.0 +.19%
  • 3-Month T-Bill Yield 4.90% -7.0 basis points
  • China Iron Ore Spot 92.9 USD/Metric Tonne +.05%
  • Dutch TTF Nat Gas(European benchmark) 35.7 euros/megawatt-hour +1.3%
  • Citi US Economic Surprise Index -21.8 +.8 point
  • Citi Eurozone Economic Surprise Index -37.3 +1.7 points
  • Citi Emerging Markets Economic Surprise Index -4.4 +.4
  • S&P 500 Current Quarter EPS Growth Rate YoY(498 of 500 reporting) +11.6% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 266.64 +.08:  Growth Rate +14.1% +.1 percentage point, P/E 21.1 +.3
  • S&P 500 Current Year Estimated Profit Margin 12.67% -1.0 basis point
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +36.3% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 349.13 +.16: Growth Rate +22.6% unch., P/E 32.1 +.1
  • Bloomberg US Financial Conditions Index .64 -6.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .72 +6.0 basis points
  • US Yield Curve 7.0 basis point (2s/10s) +6.25 basis points
  • US Atlanta Fed 3Q GDPNow Forecast +2.47% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 72.7% -.3 percentage point
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.77% unch.: CPI YoY +2.29% unch.
  • 10-Year TIPS Spread 2.08 +2.0 basis points
  • Highest target rate probability for Nov. 7th FOMC meeting: 50.7%(-.4 percentage point) chance of 4.5%-4.75%. Highest target rate probability for Dec. 18th meeting: 42.0%(+6.9 percentage points) chance of 4.0%-4.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -189 open in Japan 
  • China A50 Futures: Indicating -8 open in China
  • DAX Futures: Indicating +3 open in Germany
Portfolio:
  • Higher:  On gains in my tech/biotech/industrial/consumer discretionary/utility sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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