BETWEEN THE HEDGES

Wednesday, June 01, 2022

Morning Market Internals

Posted by Gary .....at 11:37 AM

NYSE Composite Index:

Volume Running -6.8% Below 100-Day Average
10 Sectors Declining, 1 Sector Rising
26.4% of Issues Advancing, 70.0% Declining
25 New 52-Week Highs, 30 New Lows
33.5% of Issues Above 200-day Moving Average
Average 14-Day RSI 49.8%
Bloomberg Global Risk-On/Risk-Off Index 4,471.0 +30.0 points
Russell 1000: Growth/Value 15,034.0 +.7%
Vix 26.8 +2.%
Total Put/Call 1.02 +7.4%
TRIN/Arms 1.20 -22.1%

Tuesday, May 31, 2022

Wednesday Watch

Posted by Gary .....at 8:23 PM

Night Trading

Asian equity indices are -.25% to +.25% on average.

Asia Ex-Japan Investment Grade CDS Index 109.75 +1.0 basis point.

China Sovereign CDS 70.5 +3.0 basis points.

Bloomberg Emerging Markets Currency Index 52.25 -.02%.
Bloomberg Global Risk-On/Risk Off Index 3,994.0 - points.
Volatility Index(VIX) futures 28.2 +.%.
Euro Stoxx 50 futures n/a.

S&P 500 futures +.44%.

NASDAQ 100 futures +.38%.

Morning Preview Links

Earnings of Note
Company/Estimate

Before the Open:

(CONN)/.17
(DCI)/.72
(WB)/.46

After the Close:

(AI)/-.29
(CHWY)/-.13
(GME)/-1.22
(HPE)/.45
(MDB)/-.10
(NTAP)/1.28
(PVH)/1.60
(SMTC)/.76

Economic Releases

10:00 am EST

Construction Spending MoM for April is estimated to rise +.5% versus a +.1% gain in March.
ISM Manufacturing for May is estimated to fall to 54.5 versus 55.4 in April.
ISM Prices Paid for May is estimated to fall to 80.5 versus 84.6 in April.
JOLTS Job Openings for April is estimated to fall to 11300K versus 11549K in March.

2:00 pm EST

US Fed Beige Book release.

Upcoming Splits

None of note

Other Potential Market Movers

The Fed's Bullard speaking, Fed's Williams speaking, Eurozone PMI report, weekly MBA Mortgage Applications report, weekly US retail sales reports, Cowen Tech/Media/Telecom Conference, Wells Fargo Energy Conference, Loop Capital Investor Conference, RBC Consumer/Retail Conference, (LEVI) investor day and the (PCAR) analyst day could also impact global trading today.

US Equity Market Hours

9:30 am - 4:00 pm EST

BOTTOM LINE: Asian indices are modestly higher, boosted by industrial and financial shares in the region. I expect US stocks to open mixed and to weaken into the afternoon, finishing modestly lower. The Portfolio is 50% net long heading into the day.

Stocks Slightly Lower into Afternoon on More Hawkish Fed Commentary, Higher Long-Term Rates, Technical Selling, Biotech/Retail Sector Weakness

Posted by Gary .....at 2:44 PM

Broad Equity Market Tone:

Advance/Decline Line: Lower

Sector Performance: Most Sectors Declining

Volume: Around Average

Market Leading Stocks: Underperforming

Equity Investor Angst:

Volatility(VIX) 26.3 -1.0%
Bloomberg Global Risk On/Risk Off Index 4,430.0 +240.0 points

Euro/Yen Carry Return Index 142.13 +.42%

Emerging Markets Currency Volatility(VXY) 12.1 -1.3%

CBOE S&P 500 Implied Correlation Index 45.9 -1.3%

ISE Sentiment Index 97.0 +9.0 points

Total Put/Call .91 +62.5%

NYSE Arms .75 -14.8%

Credit Investor Angst:

North American Investment Grade CDS Index 79.52 +.6%

US Energy High-Yield OAS 379.40 -2.7%

European Financial Sector CDS Index 97.2 +3.5%

Italian/German 10Y Yld Spread 200.0 basis points +6.0 basis point

Asia Ex-Japan Investment Grade CDS Index 110.75 +2.3%

Emerging Market CDS Index 270.07 +1.7%

China Corp. High-Yield Bond USD ETF(KHYB) 28.7 -.42%
Russia Sovereign Debt Credit Default Swap 9,643.46 -20.6%

2-Year Swap Spread 34.0 basis points +3.0 basis points

TED Spread 54.75 basis points +1.25 basis points

3-Month EUR/USD Cross-Currency Basis Swap -15.5 basis points unch.
MBS 5/10 Treasury Spread 117.0 +2.0 basis points
iShares CMBS ETF 48.62 -.4%

Economic Gauges:

Bloomberg Emerging Markets Currency Index 52.25 -.03%
3-Month T-Bill Yield 1.04% +1.0 basis point

Yield Curve 29.0 basis points (2s/10s) +3.25 basis points

China Iron Ore Spot 131.0 USD/Metric Tonne -1.6%

Citi US Economic Surprise Index -37.8 +5.9 points

Citi Eurozone Economic Surprise Index 19.6 +8.3 points

Citi Emerging Markets Economic Surprise Index 19.2 +7.2 points

10-Year TIPS Spread 2.70 +4.0 basis points
0.0%(unch.) chance of no change at July 27th FOMC meeting, 0.0%(unch.) chance of no change at September 21st meeting

US Covid-19:

219 new infections/100K people(last 7 days total). 13.0%(unch.) of 1/14 peak +0/100K people from prior report.
New Covid-19 patient hospital admissions per 100K population -83.7%(n/a) from peak 7-day avg. of 1/9/21 - 1/15/22

Overseas Futures:

Nikkei 225 Futures: Indicating +6 open in Japan
China A50 Futures: Indicating -73 open in China

DAX Futures: Indicating +53 open in Germany

Portfolio:

Slightly Lower: On losses in my tech/consumer discretionary/industrial sector longs

Disclosed Trades: Added to my (IWM)/(QQQ) hedges

Market Exposure: Moved to 50% Net Long

Bear Radar

Posted by Gary .....at 1:55 PM

Style Underperformer:

Mid-Cap Growth -1.4%

Sector Underperformers:

1) Biotech -2.1% 2) Retail -1.9% 3) Shipping -1.7%

Stocks Falling on Unusual Volume:

SD, DKS, SIX, MDB, ALB, NTNX, LUNG, PGNY, MLM, TRIP, ARLP, PINS, BCC, LESL, FLYW, EVH, REGN, X, CDNA, HALO, RADI, IVT, BMRN, GPS, SCVL, METC, TDW, ILMN, QDEL, BIG, PCH, ZEN, RELY, DKNG, SNAP, AMR, LTHM, MOV, ARCH, AEO, RNA, ANF, GME, NTCT, PODD, UDMY, MYGN, SIGA and PMVP

Stocks With Unusual Put Option Activity:

1) AMRS 2) MULN 3) MAT 4) JEF 5) CRM

Stocks With Most Negative News Mentions:

1) KIRK 2) PODD 3) FRO 4) GME 5) SNAP

Charts:

Bull Radar

Posted by Gary .....at 1:44 PM

Style Outperformer:

Large-Cap Growth -.3%

Sector Outperformers:

1) Energy +1.4% 2) Restaurants -.6% 3) Agriculture +.4%

Stocks Rising on Unusual Volume:

SAVA, MSTR, COIN, CLAR, DXCM, HDSN, FPI and SWTX

Stocks With Unusual Call Option Activity:

1) GSAT 2) FLR 3) HUSA 4) NOG 5) AMRS

Stocks With Most Positive News Mentions:

1) MULN 2) DXCM 3) MRO 4) DISH 5) GRAB