Monday, February 24, 2025

Stocks Slightly Lower into Final Hour on Global Growth Worries, Earnings Outlook Jitters, Technical Selling, Tech/Alt Energy Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.9 -1.7%
  • S&P 500 Intraday % Swing 1.10 -37.7%.
  • Bloomberg Global Risk On/Risk Off Index 77.7 +.4%
  • Euro/Yen Carry Return Index 175.5 +.4%
  • Emerging Markets Currency Volatility(VXY) 7.9 +.8%
  • CBOE S&P 500 Implied Correlation Index 14.9 +.7% 
  • ISE Sentiment Index 150.0 -10.0 points
  • Total Put/Call .97 +9.0%
  • NYSE Arms 1.17 unch.
  • NYSE Non-Block Money Flow -$2.0M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 48.2 -.7%
  • US Energy High-Yield OAS 303.2 +.7%
  • Bloomberg TRACE # Distressed Bonds Traded 170.0 +8
  • European Financial Sector CDS Index 56.6 +.9%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 134.9 +.1%
  • Italian/German 10Y Yld Spread 114.0 basis points +5.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 68.9 -.3%
  • Emerging Market CDS Index 155.2 +.5%
  • Israel Sovereign CDS 86.8 -.7%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.23 +.17%
  • 2-Year SOFR Swap Spread -16.0 basis points -1.5 basis points
  • 3M T-Bill Treasury Repo Spread -3.0 basis point -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap 0.0 +.5 basis point
  • MBS  5/10 Treasury Spread 131.0 unch.
  • Bloomberg CMBS Investment Grade Bbb Average OAS 592.0 -2.0 basis points
  • Avg. Auto ABS OAS 47.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 37.3 +.08%
  • 3-Month T-Bill Yield 4.29% -1.0 basis point
  • China Iron Ore Spot 107.0 USD/Metric Tonne -1.2%
  • Dutch TTF Nat Gas(European benchmark) 47.1 euros/megawatt-hour -.1%
  • Citi US Economic Surprise Index -5.5 +2.3 points
  • Citi Eurozone Economic Surprise Index 19.2 -2.1 points
  • Citi Emerging Markets Economic Surprise Index 1.4 +.3 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(431 of 500 reporting) +11.8% +1.0 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 275.54 +.24:  Growth Rate +16.3% +.1 percentage point, P/E 21.9 -.2
  • S&P 500 Current Year Estimated Profit Margin 11.79% -7.0 basis points
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +26.6% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 406.89 +.43: Growth Rate +31.6% +.2 percentage point, P/E 32.5 -1.0
  • Bloomberg US Financial Conditions Index .65 -17.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index 1.51 +12.0 basis points
  • US Yield Curve 23.0 basis points (2s/10s) +.5 basis point
  • US Atlanta Fed GDPNow Q1 Forecast +2.34% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 25.5% +.5 percentage point
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.66% unch.: CPI YoY +2.82% unch.
  • 10-Year TIPS Spread 2.42 -1.0 basis point
  • Highest target rate probability for May 7th FOMC meeting: 73.5% (+5.7 percentage points) chance of 4.25%-4.5%. Highest target rate probability for June 18th meeting: 49.0%(+1.6 percentage points) chance of 4.0%-4.25%. (current target rate is 4.25-4.5%)
Overseas Futures:
  • Nikkei 225 Futures: Indicating -621 open in Japan 
  • China A50 Futures: Indicating -103 open in China
  • DAX Futures: Indicating -29 open in Germany
Portfolio:
  • Higher: On gains in my consumer discretionary sector longs, index hedges and emerging market shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges, then covered some 
  • Market Exposure: 50% Net Long

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