Monday, September 09, 2024

Stocks Higher into Final Hour on US Economic Data, Yen Weakness, Technical Buying, Tech/Transport Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 19.8 -11.4%
  • DJIA Intraday % Swing 1.20 -25.9%
  • Bloomberg Global Risk On/Risk Off Index 49.0 +5.8%
  • Euro/Yen Carry Return Index 174.1 +.04%
  • Emerging Markets Currency Volatility(VXY) 8.7 -1.0%
  • CBOE S&P 500 Implied Correlation Index 22.4 -9.9% 
  • ISE Sentiment Index 111.0 -10.0 points
  • Total Put/Call 1.10 -3.5%
  • NYSE Arms .84 -32.3%
  • NYSE Non-Block Money Flow +$204.7M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.9 -3.8%
  • US Energy High-Yield OAS 332.60 +.71%
  • Bloomberg TRACE # Distressed Bonds Traded 259 -3
  • European Financial Sector CDS Index 63.3 -1.4%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 166.9 +.05%
  • Italian/German 10Y Yld Spread 145.0 basis points unch.
  • Asia Ex-Japan Investment Grade CDS Index 97.6 +2.1%
  • Emerging Market CDS Index 167.0 -.71%
  • Israel Sovereign CDS 133.95 -.43%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.74 -.12%
  • 2-Year SOFR Swap Spread -21.25 basis points -1.0 basis point
  • Treasury Repo 3M T-Bill Spread -30.0 basis points -2.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -2.25 +.25 basis point
  • MBS  5/10 Treasury Spread 130.0 +1.0 basis point
  • Bloomberg CMBS Investment Grade Bbb Average OAS 704.0 -1.0 basis point
  • Avg. Auto ABS OAS 66.0 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 38.7 -.30%
  • 3-Month T-Bill Yield 5.02% -3.0 basis points
  • China Iron Ore Spot 92.65 USD/Metric Tonne +.96%
  • Dutch TTF Nat Gas(European benchmark) 37.3 euros/megawatt-hour +2.3%
  • Citi US Economic Surprise Index -26.8 +3.3 points
  • Citi Eurozone Economic Surprise Index -41.9 +1.7 points
  • Citi Emerging Markets Economic Surprise Index -7.8 +1.0
  • 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 266.42 +.23:  Growth Rate +14.0% +.1 percentage point, P/E 20.5 +.2
  • S&P 500 Current Year Estimated Profit Margin 12.68% +3.0 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 348.58 +.70: Growth Rate +22.4% +.2 percentage point, P/E 30.2 +.1
  • Bloomberg US Financial Conditions Index .44 -8.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .50 -11.0 basis points
  • US Yield Curve 2.25 basis point (2s/10s) -2.25 basis points
  • US Atlanta Fed 3Q GDPNow Forecast +2.47% +38.0 basis points
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 73.7% +.6 percentage point
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +2.56% unch.
  • 10-Year TIPS Spread 2.04 +1.0 basis point
  • Highest target rate probability for Nov. 7th FOMC meeting: 53.2%(-.3 percentage points) chance of 4.5%-4.75%. Highest target rate probability for Dec. 18th meeting: 40.2%(+3.9 percentage points) chance of 4.0%-4.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -85 open in Japan 
  • China A50 Futures: Indicating -28 open in China
  • DAX Futures: Indicating +41 open in Germany
Portfolio:
  • Slightly Lower:  On losses in my index hedges and emerging market shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  • Market Exposure: Moved to 75% Net Long

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