BETWEEN THE HEDGES

Friday, September 09, 2022

Morning Market Internals

Posted by Gary .....at 10:34 AM

NYSE Composite Index:

Volume Running -5.5% Below 100-Day Average
0 Sectors Declining, 11 Sectors Rising
85.9% of Issues Advancing, 11.0% Declining
27 New 52-Week Highs, 11 New Lows
26.7% of Issues Above 200-day Moving Average
Average 14-Day RSI 40.1%
Bloomberg Global Risk-On/Risk-Off Index 45.8 +2.4%
Russell 1000: Growth/Value 15,522.9 +.33%
Vix 22.9 -3.2%
Total Put/Call .84 -12.5%
TRIN/Arms .42 -30.0%

Thursday, September 08, 2022

Friday Watch

Posted by Gary .....at 8:19 PM

Night Trading

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

Asia Ex-Japan Investment Grade CDS Index 132.50 -1.5 basis points.

China Sovereign CDS 69.75 +1.0 basis point.

Bloomberg Emerging Markets Currency Index 48.5 -.01%.
Bloomberg Global Risk-On/Risk Off Index 45.9 +2.8%.
Bloomberg US Financial Conditions Index -.32 -2.0 basis points
Volatility Index(VIX) futures 25.7 -.2%
Euro Stoxx 50 futures n/a.

S&P 500 futures +.11%.

NASDAQ 100 futures +.24%

Morning Preview Links

Earnings of Note
Company/Estimate

Before the Open:

(ABM)/.90
(KR)/.82

After the Close:

None of note

Economic Releases

9:00 am EST

Bloomberg Sept. US Economic Survey.

10:00 am EST

Wholesale Trade Sales MoM for July is estimated to rise +.8% versus a +1.8% gain in June.

12:00 pm EST

Household Change in Net Worth for 2Q.

Upcoming Splits

None of note

Other Potential Market Movers

The Fed's Waller speaking, UK Industrial Production report and the (TPR) investor day could also impact global trading today.

US Equity Market Hours

9:30 am - 4:00 pm EST

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

Stocks Slightly Higher into Final Hour on Less European/Emerging Markets/US High-Yield Debt Angst, Short-Covering, Technical Buying, Biotech/Financial Sector Strength

Posted by Gary .....at 3:09 PM

Broad Equity Market Tone:

Advance/Decline Line: Higher

Sector Performance: Most Sectors Rising

Volume: Around Average

Market Leading Stocks: Performing In Line

Equity Investor Angst:

Volatility(VIX) 24.1 -2.2%
DJIA Intraday % Swing 2.12% n/a
Bloomberg Global Risk On/Risk Off Index 44.7 +5.7%

Euro/Yen Carry Return Index 148.16 +.02%

Emerging Markets Currency Volatility(VXY) 11.4 -1.6%

CBOE S&P 500 Implied Correlation Index 44.6 -2.0%

ISE Sentiment Index 111.0 +19.0 points

Total Put/Call .95 -4.0%

NYSE Arms .71 +16.4%

Credit Investor Angst:

North American Investment Grade CDS Index 84.53 -2.1%

US Energy High-Yield OAS 418.38 -1.6%
Bloomberg TRACE # Distressed Bonds Traded 367.0 unch.

European Financial Sector CDS Index 122.37 -2.4%

Italian/German 10Y Yld Spread 226.0 basis points -3.0 basis points

Asia Ex-Japan Investment Grade CDS Index 133.75 -3.6%

Emerging Market CDS Index 299.81 -1.6%

China Corp. High-Yield Bond USD ETF(KHYB) 26.60 -.09%

2-Year Swap Spread 36.0 basis points -1.5 basis point

TED Spread 16.0 basis points +2.5 basis points

3-Month EUR/USD Cross-Currency Basis Swap -18.0 basis points +4.75 basis pionts
MBS 5/10 Treasury Spread 142.0 -2.0 basis points
iShares CMBS ETF 47.37 +.17%
Avg. Auto ABS OAS .71 -1.0 basis point

Economic Gauges:

Bloomberg Emerging Markets Currency Index 48.53 +.05%
3-Month T-Bill Yield 3.0% unch.

Yield Curve -20.75 basis points (2s/10s) -1.75 basis points

China Iron Ore Spot 100.5 USD/Metric Tonne +.5%
Dutch TTF Nat Gas(European benchmark) 221.0 euros/megawatt-hour +3.4%

Citi US Economic Surprise Index -14.6 +3.1 points

Citi Eurozone Economic Surprise Index -14.8 +1.1 points

Citi Emerging Markets Economic Surprise Index 2.6 -.5 point
S&P 500 Blended Forward 12 Months Mean EPS Estimate 237.42 -.01: Growth Rate +15.9% -.1 percentage point, P/E 16.9 +.2
Bloomberg US Financial Conditions Index -.34 +6.0 basis points
US Atlanta Fed GDPNow Forecast +1.36% unch.

Cleveland Fed Inflation Nowcast Core PCE YoY +4.62% unch.: CPI YoY +8.24% unch.
10-Year TIPS Spread 2.43 -1.0 basis point
Highest target rate probability for November 2nd FOMC meeting: 84.6%(+8.7 percentage points) chance of 3.5%-3.75%. Highest target rate probability for December 14th meeting: 84.6%(+8.7 percentage points) chance of 3.75%-4.0%.

US Covid-19:

147 new infections/100K people(last 7 days total). 8.4%(-0.0 percentage points) of 1/14/22 peak(1,740) -0/100K people from prior report.
New Covid-19 patient hospital admissions per 100K population -78.5%(-1.0 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22

Overseas Futures:

Nikkei 225 Futures: Indicating -240 open in Japan
China A50 Futures: Indicating -14 open in China

DAX Futures: Indicating -83 open in Germany

Portfolio:

Higher: On gains in my tech/commodity/medical sector longs and emerging market shorts

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

Market Exposure: Moved to 50% Net Long

Bear Radar

Posted by Gary .....at 1:40 PM

Style Underperformer:

Large-Cap Growth unch.

Sector Underperformers:

1) Airlines -1.5% 2) Foods -1.3% 3) Telecom -1.2%

Stocks Falling on Unusual Volume:

KFY, CPB, WIRE, GIII, ARRY, W, KTB, HCP, SKYW, VRNT, CFVI, MKC, CFVI, MKC, SLVM, LOVE, AEO and PLAY

Stocks With Unusual Put Option Activity:

1) PLAY 2) GSAT 3) ITB 4) RH 5) BIIB

Stocks With Most Negative News Mentions:

1) BILI 2) AEOS 3) PLAY 4) MKC 5) FCEL

Charts:

Bull Radar

Posted by Gary .....at 1:26 PM

Style Outperformer:

Mid-Cap Growth +.4%

Sector Outperformers:

1) Biotech +2.5% 2) Banks +2.3% 3) Steel +2.1%

Stocks Rising on Unusual Volume:

AMLX, ASAN, RLAY, REGN, RVNC, PHR, AVAV, LYFT, AGIO, ISEE, PEN, TASK, RIVN, SLAB, AXNX, GME, CCOI and TEN

Stocks With Unusual Call Option Activity:

1) R 2) MET 3) PLAY 4) CLR 5) ICLN

Stocks With Most Positive News Mentions:

1) PIXY 2) RLAY 3) ASAN 4) AMLX 5) RVNC