Mid-Day Market Internals

NYSE Composite Index:

• Volume Running -31.3% Below 100-Day Average 
• 2 Sectors Declining, 9 Sectors Rising
• 63.1% of Issues Advancing, 33.6% Declining
• 38 New 52-Week Highs, 62 New Lows
• 37.8%(+1.9%) of Issues Above 200-day Moving Average
• Average 14-Day RSI 49.0 +6.0
  
• Bloomberg Global Risk-On/Risk-Off Index 54.6 +2.7%
  
• Russell 1000: Growth/Value 14,205.3 -.36%
  
• Vix 21.1 -3.8%
• Total Put/Call .98 -21.6%
• TRIN/Arms 1.03 +30.4% 

Friday Watch

Night Trading 

• Asian equity indices are -1.5% to -1.0% on average.

• Asia Ex-Japan Investment Grade CDS Index 132.75 +1.0 basis point. 

• China Sovereign CDS 76.0 unch. 
• China Iron Ore Spot 109.5 USD/Metric Tonne -1.2%.

• Bloomberg Emerging Markets Currency Index 47.8 -.07%.
• Bloomberg Global Risk-On/Risk Off Index  52.5 -1.2%. 
• Bloomberg US Financial Conditions Index -.57 -8.0 basis points.
  
• Volatility Index(VIX) futures 24.4 +.6%.
• Euro Stoxx 50 futures +.16%.

• S&P 500 futures -.18%.

• NASDAQ 100 futures -.24%.  

Morning Preview Links

Earnings of Note 
Company/Estimate 

 

Before the Open: 

• None of note
  

After the Close:

• None of note
  

Economic Releases

8:30 am EST

• Personal Income for Nov. is estimated to rise +.3% versus a +.7% gain in Oct.
• Personal Spending for Nov. is estimated to rise +.2% versus a +.8% gain in Oct.
• The PCE Core MoM for Nov. is estimated to rise +.1% versus a +.5% gain in Oct.
• The PCE Core YoY for Nov. is estimated to rise +4.6% versus a +5.0% gain in Oct.
• Durable Goods Orders for Nov. is estimated to fall -1.0% versus a +1.1% gain in Oct. 
• Durables Ex Transports for Nov. is estimated unch. versus a +.5% gain in Oct.
• Cap Goods Orders Non-Defense Ex-Air for Nov. is estimated unch. versus a +.6% gain in Oct.
  

10:00 am EST

• New Home Sales for Nov. is estimated to fall to 600K versus 632K .
  

Upcoming Splits

• None of note
  

Other Potential Market Movers

• The Italian Business Confidence report 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 consumer and technology shares in the region. I expect US stocks to open mixed and to weaken into the afternoon, finishing modestly lower. The Portfolio is 25% net long heading into the day.

Stocks Falling Substantially into Final Hour on Senate Passage of Stagflationary Omnibus Spending Bill, Earnings Outlook Worries, China Hard-Landing Fears, Tech/Energy Sector Weakness

Broad Equity Market Tone:

• Advance/Decline Line: Substantially Lower
  

• Sector Performance: Every Sector Declining
  

• Volume:  Below Average

• Market Leading Stocks: Performing In Line
  

Equity Investor Angst:

• Volatility(VIX) 23.7 +17.8%
• DJIA Intraday % Swing 2.02%
  
• Bloomberg Global Risk On/Risk Off Index 52.1 -5.7%

• Euro/Yen Carry Return Index 145.1 -.19%

• Emerging Markets Currency Volatility(VXY) 10.6 +.2%

• CBOE S&P 500 Implied Correlation Index 46.1 +5.6% 

• ISE Sentiment Index 70.0 -28.0 points
  

• Total Put/Call 1.25 -17.8%

• NYSE Arms 1.04 +112.2%

Credit Investor Angst:

• North American Investment Grade CDS Index 83.7 +1.8%
  

• US Energy High-Yield OAS 395.6 +2.6%
• Bloomberg TRACE # Distressed Bonds Traded 384.0 -26.0
  

• European Financial Sector CDS Index 104.63 +.72% 
• Credit Suisse Subordinated 5Y Credit Default Swap 449.09 -.69%
  

• Italian/German 10Y Yld Spread 212.0 basis points unch.
  

• Asia Ex-Japan Investment Grade CDS Index 133.8 +.31%
  

• Emerging Market CDS Index 240.26 +1.6%
  

• China Corp. High-Yield Bond USD ETF(KHYB) 27.33 -.38%

• 2-Year Swap Spread 29.25 basis points -2.25 basis points
  

• TED Spread 47.0 basis points +2.5 basis points
  

• 3-Month EUR/USD Cross-Currency Basis Swap -30.25 basis points -2.5 basis points
  
• MBS  5/10 Treasury Spread  140.0 +7.0 basis points
  
• Bloomberg US Agg CMBS Avg OAS 120.0 +1.0 basis point
  
• Avg. Auto ABS OAS .96 -1.0 basis point
  

Economic Gauges:

• Bloomberg Emerging Markets Currency Index 47.8 +.3%
• 3-Month T-Bill Yield 4.30% unch.
  

• China Iron Ore Spot 109.4 USD/Metric Tonne -1.3%
• Dutch TTF Nat Gas(European benchmark) 92.20 euros/megawatt-hour -5.7%

• Citi US Economic Surprise Index -6.40 +1.5 points

• Citi Eurozone Economic Surprise Index 68.5 +.3 point
  

• Citi Emerging Markets Economic Surprise Index -19.3 +.1 point
  
• S&P 500 Blended Forward 12 Months Mean EPS Estimate 229.73 +.13:  Growth Rate +11.3% -.1 percentage point, P/E 16.6 -.3
  
• Bloomberg US Financial Conditions Index -.49 -5.0 basis points
  
• Yield Curve -59.25 basis points (2s/10s) -5.25 basis points
• US Atlanta Fed GDPNow Forecast +2.73% unch.
  

• Cleveland Fed Inflation Nowcast Core PCE YoY +4.72% unch.: CPI YoY +6.69% unch.
  
• 10-Year TIPS Spread 2.20 -9.0 basis points
  
• Highest target rate probability for March 22nd FOMC meeting: 55.7%(+3.0 percentage points) chance of 4.75%-5.0%. Highest target rate probability for May 3rd meeting: 48.3%(-.1 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 -75.4%(+1.0 percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
  

Overseas Futures:

• Nikkei 225 Futures: Indicating -372 open in Japan 
• China A50 Futures: Indicating -61 open in China

• DAX Futures: Indicating +69 open in Germany

Portfolio:

• Slightly Lower:  On losses in my index hedges and emerging market shorts
  

• Disclosed Trades:  Added to my (IWM)/(QQQ) hedges and to my emerging market shorts, then covered some
  

• Market Exposure: Moved to 25% Net Long
  

Mid-Day Market Internals

NYSE Composite Index:

• Volume Running -14.3% Below 100-Day Average 
• 11 Sectors Declining, 0 Sectors Rising
• 11.6% of Issues Advancing, 85.4% Declining
• 32 New 52-Week Highs, 161 New Lows
• 36.1%(-7.9%) of Issues Above 200-day Moving Average
• Average 14-Day RSI 43.0 -7.0
  
• Bloomberg Global Risk-On/Risk-Off Index 52.3 -5.4%
  
• Russell 1000: Growth/Value 14,256.6 -1.04%
  
• Vix 23.7 +18.0%
• Total Put/Call 1.0 -34.2%
• TRIN/Arms .93 +89.8% 

Thursday Watch

Night Trading 

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

• Asia Ex-Japan Investment Grade CDS Index 131.75 -3.25 basis points. 

• China Sovereign CDS 76.0 -1.75 basis points. 
• China Iron Ore Spot 112.5 USD/Metric Tonne +.24%.

• Bloomberg Emerging Markets Currency Index 47.7 +.06%.
• Bloomberg Global Risk-On/Risk Off Index  55.2 +.07%. 
• Bloomberg US Financial Conditions Index -.44 +1.0 basis point.
  
• Volatility Index(VIX) futures 23.0 -.06%.
• Euro Stoxx 50 futures -.03%.

• S&P 500 futures +.12%.

• NASDAQ 100 futures +.11%.  

Morning Preview Links

Earnings of Note 
Company/Estimate 

 

Before the Open: 

• (APOG)/.97
• (KMX)/.67
• (PAYX)/.96
  

After the Close:

• None of note
  

Economic Releases

8:30 am EST

• 3Q GDP revisions.
• Initial Jobless Claims for last week are estimated to rise to 222K versus 211K the prior week.
• Continuing Claims are estimated to rise to 1678K versus 1671K prior.
  

10:00 am EST

• The Leading Index for Nov. is estimated to fall -.5% versus a -.8% decline in Oct.
  

11:00 am EST

• The Kansas City Fed Manufacturing Activity Index for Dec. is estimated to fall to -7.0 versus -6.0 in Nov.

Upcoming Splits

• None of note
  

Other Potential Market Movers

• The UK GDP report and the weekly EIA natural gas inventory report 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 consumer and commodity shares in the region. I expect US stocks to open mixed and to strengthen into the afternoon, finishing modestly higher. The Portfolio is 50% net long heading into the day.

Stocks Substantially Higher into Final Hour on Earnings Outlook Optimism, Technical Buying, Seasonality, Commodity/Consumer Discretionary Sector Strength

Broad Equity Market Tone:

• Advance/Decline Line: Substantially Higher
  

• Sector Performance: Every Sector Rising
  

• Volume:  Below Average

• Market Leading Stocks: Performing In Line
  

Equity Investor Angst:

• Volatility(VIX) 20.1 -6.3%
• DJIA Intraday % Swing 1.23%
  
• Bloomberg Global Risk On/Risk Off Index 55.4 +5.2%

• Euro/Yen Carry Return Index 145.2 +.3%

• Emerging Markets Currency Volatility(VXY) 10.6 -.2%

• CBOE S&P 500 Implied Correlation Index 44.1 -2.8% 

• ISE Sentiment Index 89.0 -21.0 points
  

• Total Put/Call 1.6 +63.3%

• NYSE Arms .52 -29.7%

Credit Investor Angst:

• North American Investment Grade CDS Index 82.0 -4.9%
  

• US Energy High-Yield OAS 386.93 -2.0%
• Bloomberg TRACE # Distressed Bonds Traded 410.0 +2.0
  

• European Financial Sector CDS Index 103.88 -4.0% 
• Credit Suisse Subordinated 5Y Credit Default Swap 452.2 -.73%
  

• Italian/German 10Y Yld Spread 212.0 basis points -5.0 basis points
  

• Asia Ex-Japan Investment Grade CDS Index 133.8 +.31%
  

• Emerging Market CDS Index 236.5 -4.5%
  

• China Corp. High-Yield Bond USD ETF(KHYB) 27.4 +.05%

• 2-Year Swap Spread 31.5 basis points +.75 basis point
  

• TED Spread 44.5 basis points -3.25 basis points
  

• 3-Month EUR/USD Cross-Currency Basis Swap -27.75 basis points -3.5 basis points
  
• MBS  5/10 Treasury Spread  133.0 -8.0 basis points
  
• Bloomberg US Agg CMBS Avg OAS 119.0 unch.
  
• Avg. Auto ABS OAS .97 -3.0 basis points
  

Economic Gauges:

• Bloomberg Emerging Markets Currency Index 47.7 +.03%
• 3-Month T-Bill Yield 4.30% +5.0 basis points
  

• China Iron Ore Spot 112.0 USD/Metric Tonne -.3%
• Dutch TTF Nat Gas(European benchmark) 97.90 euros/megawatt-hour -7.4%

• Citi US Economic Surprise Index -7.90 +2.4 points

• Citi Eurozone Economic Surprise Index 68.2 +.8 point
  

• Citi Emerging Markets Economic Surprise Index -19.4 +.8 point
  
• S&P 500 Blended Forward 12 Months Mean EPS Estimate 229.60 +.09:  Growth Rate +11.4% +.1 percentage point, P/E 16.9 +.2
  
• Bloomberg US Financial Conditions Index -.44 +9.0 basis points
  
• Yield Curve -54.0 basis points (2s/10s) +4.25 basis points
• US Atlanta Fed GDPNow Forecast +2.73% unch.
  

• Cleveland Fed Inflation Nowcast Core PCE YoY +4.72% unch.: CPI YoY +6.69% unch.
  
• 10-Year TIPS Spread 2.29 +5.0 basis points
  
• Highest target rate probability for March 22nd FOMC meeting: 52.7%(-2.1 percentage points) chance of 4.75%-5.0%. Highest target rate probability for May 3rd meeting: 48.0%(-.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 -76.4%(+2.6 percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
  

Overseas Futures:

• Nikkei 225 Futures: Indicating +83 open in Japan 
• China A50 Futures: Indicating +107 open in China

• DAX Futures: Indicating +47 open in Germany

Portfolio:

• Slightly Higher:  On gains in my tech/medical/commodity/utility/industrial sector longs 
  

• Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  

• Market Exposure: Moved to 75% Net Long