BETWEEN THE HEDGES

Tuesday, January 25, 2022

Morning Market Internals

Posted by Gary .....at 11:50 AM

NYSE Composite Index:

Volume Running +20.6% Above 100-Day Average
10 Sectors Rising, 1 Sector Declining
22.8% of Issues Advancing, 73.4% Declining
4 New 52-Week Highs, 116 New Lows
36.2% of Issues Above 200-day Moving Average
Average 14-Day RSI 38.1%
Bloomberg Global Risk-On/Risk-Off Index 2,387.0 +98.0 points
Russell 1000: Growth/Value 16,443.0 -1.35%
Vix 32.8 +9.5%
Total Put/Call .90 -24.4%
TRIN/Arms .99 +33.8%

Monday, January 24, 2022

Tuesday Watch

Posted by Gary .....at 8:31 PM

Night Trading

Asian equity indices are -1.75% to -1.0% on average.

Asia Ex-Japan Investment Grade CDS Index 89.50 +1.0 basis point.

China Sovereign CDS 48.25 unch.

Bloomberg Emerging Markets Currency Index 54.12 -.02%.
Bloomberg Global Risk-On/Risk Off Index 2,289.0 -480.0 points.
Volatility Index(VIX) futures 29.2 +4.0%.
Euro Stoxx 50 futures +.8%.

S&P 500 futures -1.0%.

NASDAQ 100 futures -1.35%.

Morning Preview Links

Earnings of Note
Company/Estimate

Before the Open:

(MMM)/2.02
(AXP)/1.83
(ADM)/1.36
(CTXS)/1.07
(GE)/.82
(JNJ)/2.12
(LMT)/7.14
(PCAR)/1.31
(PII)/2.03
(RTX)/1.02
(VZ)/1.28

After the Close:

(BXP)/1.53
(CNI)/1.53
(COF)/5.19
(FFIV)/2.78
(MRTN)/.26
(MSFT)/2.32
(TXN)/1.96

Economic Releases

9:00 am EST

The FHFA House Price Index MoM for Nov. is estimated to rise +1.0% versus a +1.1% gain in Oct.
The S&P CoreLogic CS 20-City MoM for Nov. is estimated to rise +.93% versus a +.92% gain in Oct.

10:00 am EST

The Conference Board Consumer Confidence Index for Jan. is estimated to fall to 111.4 versus 115.8 in Dec.
The Richmond Fed Manufacturing Index for Jan. is estimated to fall to 14.0 versus 16.0 in Dec.

Upcoming Splits

None of note

Other Potential Market Movers

The German IFO Guidance, weekly US retail sales reports, 5Y T-Note auction and the RW Baird Vehicle Tech/Mobility Conference could also impact global trading today.

US Equity Market Hours

9:30 am - 4:00 pm EST

BOTTOM LINE: Asian indices are lower, weighed down by technology and commodity shares in the region. I expect US stocks to open lower and to rally into the afternoon, finishing mixed. The Portfolio is 50% net long heading into the day.

Stocks Falling Substantially into Afternoon on Escalating Russia/Ukraine Tensions, US Policy-Induced Stagflation Fears, Technical Selling, Tech/Pharma Sector Weakness

Posted by Gary .....at 2:37 PM

Broad Equity Market Tone:

Advance/Decline Line: Substantially Lower

Sector Performance: Almost Every Sector Declining

Volume: Heavy

Market Leading Stocks: Outperforming

Equity Investor Angst:

Volatility(VIX) 35.3 +21.7%
Bloomberg Global Risk On/Risk Off Index 2,288.0 -480.0 points

Euro/Yen Carry Return Index 132.77 unch.

Emerging Markets Currency Volatility(VXY) 9.9 +3.3%

CBOE S&P 500 Implied Correlation Index 47.3 +4.9%

ISE Sentiment Index 78.0 -17.0 points

Total Put/Call 1.26 -4.6%

NYSE Arms 1.2 -19.9%

Credit Investor Angst:

North American Investment Grade CDS Index 59.11 +1.47%

US Energy High-Yield OAS 408.32 +4.2%

European Financial Sector CDS Index 66.63 +4.6%

Italian/German 10Y Yld Spread 139.0 +4.0 basis points

Asia Ex-Japan Investment Grade CDS Index 89.40 +1.94%

Emerging Market CDS Index 219.0 +2.5%

China Corp. High-Yield Bond USD ETF(KHYB) 32.10 +.31%

2-Year Swap Spread 18.25 unch.

TED Spread 9.75 +.25 basis point

3-Month EUR/USD Cross-Currency Basis Swap -12.25 -.75 basis point
MBS 5/10 Treasury Spread 86.75 unch.
IHS Markit CMBX BBB- 6 75.0 +2.0 basis points

Economic Gauges:

Bloomberg Emerging Markets Currency Index 54.05 -.61%
3-Month T-Bill Yield .16% -1.0 basis point

Yield Curve 73.25 -2.5 basis points

China Iron Ore Spot 132.30 USD/Metric Tonne -3.1%

Citi US Economic Surprise Index -22.10 -18.7 points

Citi Eurozone Economic Surprise Index 58.2 +17.8 points

Citi Emerging Markets Economic Surprise Index 20.9 +2.1 points

10-Year TIPS Spread 2.38 +3.0 basis points
13.9%(+7.3 percentage points) chance of no change at March 16th FOMC meeting, 7.1%(+3.7 percentage points) chance of no change at May 4th meeting

US Covid-19:

1,485 new infections/100K people(last 7 days total). 86%(-6.0 percentage points) of 1/14 peak -88/100K people from prior report.
New Covid-19 patient hospital admissions per 100K population -8.0%(-5.2 percentage points) from peak 7-day avg. of 1/9/21 - 1/15/22

Overseas Futures:

Nikkei 225 Futures: Indicating -588 open in Japan
China A50 Futures: Indicating -144 open in China

DAX Futures: Indicating +67 open in Germany

Portfolio:

Slightly Higher: On gains in my consumer discretionary longs, emerging market shorts and index hedges

Disclosed Trades: Added to my emerging market shorts

Market Exposure: Moved to 25% Net Long

Bear Radar

Posted by Gary .....at 1:44 PM

Style Underperformer:

Large-Cap Growth -2.2%

Sector Underperformers:

1) Alt Energy -4.2% 2) Video Gaming -4.0% 3) Airlines -3.7%

Stocks Falling on Unusual Volume:

DIS, HTGC, BLK, ISRG, SUN, OKTA, BX, TVTX, PFLT, SIL, HOOD, ECC, FTNT, CSQ, MSTR, RA, MAIN, CLM, RQI, USAC, NOTV, AWI, PECO, ETV, LMND, CLMT, CRF, SIVB, SSSS, AFRM, NVDA, DISH, TSP, PACK, EXPI, ENVX, SQ, ACVA, AB, SNAP, PLTR, FLGT, PLUG, SBNY, RDFN, NFLX, COIN, HAYW, FSR, UPST, ADPT, LAZR, AMPL, INBX, TTCF, SOFI, ABNB, CRSR, NVAX, GME and NVRO

Stocks With Unusual Put Option Activity:

1) ARCC 2) INDA 3) EWY 4) BBWI 5) REM

Stocks With Most Negative News Mentions:

1) AMC 2) OPK 3) GME 4) COIN 5) RIVN

Charts:

Bull Radar

Posted by Gary .....at 1:18 PM

Style Outperformer:

Small-Cap Value -1.5%

Sector Outperformers:

1) Homebuilding +1.2% 2) Retail +.9% 3) Telecom -.5%

Stocks Rising on Unusual Volume:

KSS, ATGE, M, BKE, URBN, CVNA, SNBR, WSM, KURA, EXEL, AEO, PTON, CWAN, CHWY and SAIA

Stocks With Unusual Call Option Activity:

1) RGS 2) LNC 3) TGNA 4) MAR 5) SH

Stocks With Most Positive News Mentions:

1) M 2) KSS 3) JWN 4) CWH 5) FOXA