BETWEEN THE HEDGES

Wednesday, December 21, 2022

Mid-Day Market Internals

Posted by Gary .....at 11:59 AM

NYSE Composite Index:

Volume Running -14.3% Below 100-Day Average
0 Sectors Declining, 11 Sectors Rising
82.5% of Issues Advancing, 15.3% Declining
33 New 52-Week Highs, 50 New Lows
39.3%(+7.9%) of Issues Above 200-day Moving Average
Average 14-Day RSI 50.0 +6.0
Bloomberg Global Risk-On/Risk-Off Index 556.3 +5.0%
Russell 1000: Growth/Value 14,407.6 +.23%
Vix 20.2 -6.0%
Total Put/Call .86 -12.2%
TRIN/Arms .58 -21.6%

Tuesday, December 20, 2022

Wednesday Watch

Posted by Gary .....at 8:30 PM

Night Trading

Asian equity indices are unch. to +.5% on average.

Asia Ex-Japan Investment Grade CDS Index 135.0 +2.0 basis points.

China Sovereign CDS 77.75 +.5 basis point.
China Iron Ore Spot 109.9 USD/Metric Tonne +.59%.

Bloomberg Emerging Markets Currency Index 47.6 -.08%.
Bloomberg Global Risk-On/Risk Off Index 53.2 +1.0%.
Bloomberg US Financial Conditions Index -.57 -4.0 basis points.
Volatility Index(VIX) futures 23.8 -.6%.
Euro Stoxx 50 futures +.55%.

S&P 500 futures +.38%.

NASDAQ 100 futures +.42%.

Morning Preview Links

Earnings of Note
Company/Estimate

Before the Open:

(CCL)/-.89
(CTAS)/3.03
(RAD)/-.31
(TTC)/1.08

After the Close:

(MU)/-.02
(MLKN)/.42

Economic Releases

8:30 am EST

The Current Account Deficit for 3Q is estimated at -$222.0B versus -$251.1B in 2Q.

10:00 am EST

Existing Home Sales MoM for Nov. is estimated to fall to 4.2M versus 4.43M in Oct.
The Conference Board Consumer Confidence report for Dec. is estimated to rise to 101.0 versus 100.2 in Nov.

Upcoming Splits

None of note

Other Potential Market Movers

The Eurozone Services PMI report, 20Y T-Bond auction and the weekly MBA Mortgage Applications report could also impact global trading today.

US Equity Market Hours

9:30 am - 4:00 pm EST

BOTTOM LINE: Asian indices are mostly lower, weighed down by consumer and technology shares in the region. I expect US stocks to open modestly higher and to weaken into the afternoon, finishing mixed. The Portfolio is 25% net long heading into the day.

Stocks Reversing Slightly Higher into Final Hour on Technical Buying, Seasonality, Commodity/Biotech Sector Strength

Posted by Gary .....at 2:57 PM

Broad Equity Market Tone:

Advance/Decline Line: Higher

Sector Performance: Most Sectors Rising

Volume: Below Average

Market Leading Stocks: Performing In Line

Equity Investor Angst:

Volatility(VIX) 23.7 -3.3%
DJIA Intraday % Swing 1.04%
Bloomberg Global Risk On/Risk Off Index 52.8 +6.0%

Euro/Yen Carry Return Index 144.3 -4.0%

Emerging Markets Currency Volatility(VXY) 10.7 +1.1%

CBOE S&P 500 Implied Correlation Index 45.6 -2.7%

ISE Sentiment Index 106.0 +10.0 points

Total Put/Call .99 -5.7%

NYSE Arms .66 -32.0%

Credit Investor Angst:

North American Investment Grade CDS Index 85.5 +.89%

US Energy High-Yield OAS 394.3 -.02%
Bloomberg TRACE # Distressed Bonds Traded 408.0 -11.0

European Financial Sector CDS Index 108.2 +1.5%
Credit Suisse Subordinated 5Y Credit Default Swap 455.6 +.97%

Italian/German 10Y Yld Spread 217.0 basis points -1.0 basis point

Asia Ex-Japan Investment Grade CDS Index 133.4 +1.3%

Emerging Market CDS Index 248.2 +.23%

China Corp. High-Yield Bond USD ETF(KHYB) 27.4 +.56%

2-Year Swap Spread 30.75 basis points +1.0 basis point

TED Spread 47.75 basis points -1.75 basis points

3-Month EUR/USD Cross-Currency Basis Swap -31.25 basis points +.25 basis point
MBS 5/10 Treasury Spread 141.0 +5.0 basis points
Bloomberg US Agg CMBS Avg OAS 119.0 -2.0 basis points
Avg. Auto ABS OAS 1.0 -2.0 basis points

Economic Gauges:

Bloomberg Emerging Markets Currency Index 47.66 +.10%
3-Month T-Bill Yield 4.25% +1.0 basis point

China Iron Ore Spot 109.5 USD/Metric Tonne +.2%
Dutch TTF Nat Gas(European benchmark) 105.55 euros/megawatt-hour -2.8%

Citi US Economic Surprise Index -10.3 -16.0 points

Citi Eurozone Economic Surprise Index 67.4 +.7 point

Citi Emerging Markets Economic Surprise Index -20.2 -.5 point
S&P 500 Blended Forward 12 Months Mean EPS Estimate 229.51 -.29: Growth Rate +11.3% +.2 percentage point, P/E 16.7 +.1
Bloomberg US Financial Conditions Index -.55 -3.0 basis points
Yield Curve -58.25 basis points (2s/10s) +8.75 basis points
US Atlanta Fed GDPNow Forecast +2.73% -5.0 basis points

Cleveland Fed Inflation Nowcast Core PCE YoY +4.72% -15.0 basis points: CPI YoY +6.69% -80.0 basis points
10-Year TIPS Spread 2.24 +8.0 basis points
Highest target rate probability for March 22nd FOMC meeting: 54.3%(+1.6 percentage points) chance of 4.75%-5.0%. Highest target rate probability for May 3rd meeting: 48.0%(+1.3 percentage point) chance of 4.75%-5.0%.

US Covid-19:

140 new infections/100K people(last 7 days total). 8.0%(+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 -79.0%(-0.0 percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22

Overseas Futures:

Nikkei 225 Futures: Indicating -208 open in Japan
China A50 Futures: Indicating +25 open in China

DAX Futures: Indicating +13 open in Germany

Portfolio:

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

Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back

Market Exposure: 25% Net Long

Morning Market Interals

Posted by Gary .....at 11:50 AM