BETWEEN THE HEDGES

Friday, November 10, 2023

Weekly Scoreboard*

Posted by Gary .....at 3:44 PM

S&P 500 4,410.1 +1.1%

Weekly Market Wrap by Edward Jones.

Indices

DJIA 34,271.5 +.45%

NASDAQ 13,789.5 +2.3%

Russell 2000 1,706.3 -3.0%

NYSE FANG+ 7,990.6 +4.4%
Roundhill Meme Stock ETF 29.74 -4.4%

Goldman 50 Most Shorted 119.5 -9.9%

Wilshire 5000 43,706.4 +.77%

Russell 1000 Growth 2,832.8 +2.76%

Russell 1000 Value 1,477.4 -1.2%

S&P 500 Consumer Staples 727.76 +.1%

MSCI Cyclicals-Defensives Spread 1,291.59 +2.4%

NYSE Technology 3,861.5 +3.8%

Transports 14,438.9 -.76%

Utilities 837.0 -2.7%

Bloomberg European Bank/Financial Services 83.41 -.32%

MSCI Emerging Markets 38.36 -.1%

Credit Suisse AllHedge Long/Short Equity Index 187.19 +.39%

Credit Suisse AllHedge Equity Market Neutral Index 105.41 +.57%

Sentiment/Internals

NYSE Cumulative A/D Line 448,994 -.34%
Nasdaq/NYSE Volume Ratio 8.9 +1.8

Bloomberg New Highs-Lows Index -382 -201

Crude Oil Commercial Bullish % Net Position -34.4 +9.9%

CFTC Oil Net Speculative Position 262,258 -12.8%

CFTC Oil Total Open Interest 1,671,255 +2.7%

Total Put/Call .98 +3.3%

OEX Put/Call 1.36 +18.2%

ISE Sentiment 111.0 +2.0 points

NYSE Arms 1.31 +6.6%
Bloomberg Global Risk-On/Risk-Off Index 65.8 +1.4%
Bloomberg US Financial Conditions Index .16 +21.0 basis points
Bloomberg European Financial Conditions Index .24 -42.0 basis points

Volatility(VIX) 14.4 -2.8%
DJIA Intraday % Swing .95% +40.8%

CBOE S&P 500 3M Implied Correlation Index 22.4 -10.6%

G7 Currency Volatility (VXY) 7.55 -.53%

Emerging Markets Currency Volatility (EM-VXY) 7.75 -.77%

Smart Money Flow Index 11,919.3 +1.90%
NAAIM Exposure Index 61.8 +32.6

ICI Money Mkt Mutual Fund Assets $5.712 Trillion +.3%

ICI Domestic Equity Long-Term Mutual Fund/ETFs Weekly Flows -$4.935 Million

AAII % Bulls 42.6 +75.3%

AAII % Bears 27.2 -45.9%

Futures Spot Prices

CRB Index 273.36 -3.0%

Crude Oil 77.32/bbl. -4.6%

Reformulated Gasoline 218.75 -.69%

Natural Gas 3.03 -12.3%
Dutch TTF Nat Gas(European benchmark) 46.6 euros/megawatt-hour -2.8%

Heating Oil 274.9 -5.9%
Newcastle Coal 130.0 (1,000/metric ton) -3.6%

Gold 1,936.1 -2.9%
Silver 22.22 -4.2%

S&P GSCI Industrial Metals Index 408.1 -.17%

Copper 359.30 -2.1%

US No. 1 Heavy Melt Scrap Steel 381.0 USD/Metric Tonne 2.4%

China Iron Ore Spot 128.3 USD/Metric Tonne +3.6%

CME Lumber 536.50 +2.2%

UBS-Bloomberg Agriculture 1,588.45 -.88%
US Gulf NOLA Potash Spot 340.0 USD/Short Ton -1.45%

Economy

Atlanta Fed GDPNow 3Q Forecast +2.06% +.82 percentage point

ECRI Weekly Leading Economic Index Growth Rate (graph)
US Recession Within 3 Months Probability(3M/18M Forward Yld Curve Spread) 24.5% -1.3 percentage points

NY Fed Real-Time Weekly Economic Index 2.07 +13.1%

US Economic Policy Uncertainty Index 236.06 +569.7%
S&P 500 Current Quarter EPS Growth Rate YoY(458 of 500 reporting) +2.8% +.6 percentage point

S&P 500 Blended Forward 12 Months Mean EPS Estimate 239.86 -.70: Growth Rate +8.6% -.3 percentage point, P/E 18.1 +.1
S&P 500 Current Year Estimated Profit Margin 12.12% -8.0 basis points
NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +38.4% unch.
NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 275.01 +1.59: Growth Rate +62.2% +.9 percentage point, P/E 28.8 +1.3

Citi US Economic Surprise Index 51.2 -12.5 points

Citi Eurozone Economic Surprise Index -47.9 -3.8 points

Citi Emerging Markets Economic Surprise Index 24.3 -2.1 points

Fed Fund Futures imply .00%(-.5 percentage point) chance of -25.0 basis point cut to 5.0-5.25%, 90.9%(-4.3 percentage points) chance of no change, 9.1%(+4.3 percentage points) chance of +25.0 basis point hike to 5.5-5.75% on 12/13

US Dollar Index 105.8 +.7%

MSCI Emerging Markets Currency Index 1,689.5 +.25%

Bitcoin/USD 37,237.8 +7.7%

Euro/Yen Carry Return Index 173.06 +1.11%

Yield Curve(2s/10s) -43.75 -15.75 basis points

10-Year US Treasury Yield 4.63% +7.0 basis points

Federal Reserve's Balance Sheet $7.825 Trillion -.08%
Federal Reserve's Discount Window Usage $2.371 Billion -24.2%

U.S. Sovereign Debt Credit Default Swap 56.34 +6.5%

Illinois Municipal Debt Credit Default Swap 202.71 +2.1%

Italian/German 10Y Yld Spread 186.0 -1.0 basis point
UK Sovereign Debt Credit Default Swap 32.94 +1.0%

China Sovereign Debt Credit Default Swap 72.86 -.88%

Brazil Sovereign Debt Credit Default Swap 165.46 +1.39%

Israel Sovereign Debt Credit Default Swap 122.37 -13.6%

South Korea Sovereign Debt Credit Default Swap 35.94 -6.6%

China Corp. High-Yield Bond USD ETF(KHYB) 24.85 +.08%
China High-Yield Real Estate Total Return Index 71.8 +5.3%

Atlanta Fed Low Skill Wage Growth Tracker YoY +5.9% -10.0 basis points
Zillow US All Homes Rent Index YoY +3.2% unch.
US Urban Consumers Food CPI YoY +3.7% unch.
CPI Core Services Ex-Shelter YoY +3.7% unch.
Cleveland Fed Inflation Nowcast Core PCE YoY +3.63% unch.: CPI YoY +3.28% unch.
10-Year TIPS Spread 2.34% -4.0 basis points

TED Spread 23.25 -1.25 basis points
2-Year SOFR Swap Spread -17.25 -4.0 basis points

3-Month EUR/USD Cross-Currency Basis Swap -17.5 +2.5 basis points

N. America Investment Grade Credit Default Swap Index 68.57 -3.1%

America Energy Sector High-Yield Credit Default Swap Index 180.0 +5.2%
Bloomberg TRACE # Distressed Bonds Traded 350.0 -41.0

European Financial Sector Credit Default Swap Index 87.21 -5.3%
Deutsche Bank Subordinated 5Y Credit Default Swap 273.07 +4.7%

Emerging Markets Credit Default Swap Index 211.72 +2.4%

MBS 5/10 Treasury Spread 170.0 unch.
Bloomberg CMBS Investment Grade Bbb Average OAS 910.0 -13.0 basis points
Avg. Auto ABS OAS .98 +1.0 basis point

M2 Money Supply YoY % Change -3.6% unch.

Commercial Paper Outstanding 1,240.90 +1.9%

4-Week Moving Average of Jobless Claims 212,250 +.71%

Continuing Claims Unemployment Rate 1.2% unch.
Kastle Back-to-Work Barometer(entries in secured buildings) 49.58 -.88%

Average 30-Year Fixed Home Mortgage Rate 7.87% -7.0 basis points

Weekly Mortgage Applications 165,900 +2.5%

Weekly Retail Sales +3.1% -160.0 basis points
OpenTable US Seated Diners % Change YoY -3.0% +100.0 basis points
Box Office Weekly Gross $120.1M -8.7%

Nationwide Gas $3.44/gallon -.08/gallon

Baltic Dry Index 1,598.0 +9.3%

China (Export) Containerized Freight Index 1002.47 +5.0%

Oil Tanker Rate(Arabian Gulf to U.S. Gulf Coast) 37.50 unch.
Truckstop.com Market Demand Index 39.4 +11.1%

Rail Freight Carloads 260,342 -4.2%
TSA Total Traveler Throughput 2,202,871 -12.0%

Best Performing Style

Large-Cap Growth +2.8%

Worst Performing Style

Small-Cap Value -3.7%

Leading Sectors

Software +4.3%

Disk Drives +4.1%
Semis +4.0%

Video Gaming +3.1%

Computer Hardware +2.4%

Lagging Sectors

Regional Banks -5.0%

Oil Service -5.3%

Digital Health -6.2%

Gold & Silver -7.8%

Alt Energy -8.7%

Weekly High-Volume Stock Gainers (49)

DOCS, GDHG, SYNA, TARS, CBAY, FORM, PAR, LNW, APP, PLTR, CAMT, RGNX, DV, HOLX, EYE, BMBL, DUOL, TSM, RXST, CERT, YOU, PD, YOU, CECO, ALTG, CPRT, AVGO, QRVO, VRRM, CLDX, CCCS, UPWK, AMD, TWLO, RGA, USFD, METC, CTRE, BUR, PDFS, VNOM, MSTR, CRSP, MNDY and HUBS

Weekly High-Volume Stock Losers (23)

CP, MODG, AXSM, DNLI, OR, NBIX, NTLA, LMND, TH, BEW, IRDM, WYNN, ELF, TKO, FLO, ILMN, RBA, ESTA, AFRM, DEO, RILY, MODN and TTD

ETFs

High-Volume Gainers

High-Volume Losers

Stocks

High-Volume Gainers

High-Volume Losers

*5-Day Change

Stocks Surging into Afternoon on Stable Long-Term Rates, Less Hawkish Fed Hopes, Technical Buying, Tech/Homebuilding Sector Strength

Posted by Gary .....at 2:15 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) 14.4 -6.0%
DJIA Intraday % Swing .50% -31.9%
Bloomberg Global Risk On/Risk Off Index 66.2 +4.6%

Euro/Yen Carry Return Index 173.0 +.30%

Emerging Markets Currency Volatility(VXY) 7.76 +.39%

CBOE S&P 500 Implied Correlation Index 22.4 -8.9%

ISE Sentiment Index 110.0 +4.0

Total Put/Call .96 -13.5%

NYSE Arms 1.39 +19.8%
NYSE Non-Block Money Flow +$250.6M

Credit Investor Angst:

North American Investment Grade CDS Index 68.28 -2.8%

US Energy High-Yield OAS 342.79 -1.0%
Bloomberg TRACE # Distressed Bonds Traded 350 -18

European Financial Sector CDS Index 87.46 +.26%
Deutsche Bank Subordinated 5Y Credit Default Swap 273.12 +2.6%

Italian/German 10Y Yld Spread 186.0 basis points -1.0 basis point

Asia Ex-Japan Investment Grade CDS Index 115.5 +.67%

Emerging Market CDS Index 211.24 -1.7%
Israel Sovereign CDS 123.14 +.3%

China Corp. High-Yield Bond USD ETF(KHYB) 24.8 unch.

2-Year SOFR Swap Spread -17.0 basis points -.75 basis point

TED Spread 22.75 basis points +1.25 basis points

3-Month EUR/USD Cross-Currency Basis Swap -17.5 unch.
MBS 5/10 Treasury Spread 172.0 -1.0 basis point
Bloomberg CMBS Investment Grade Bbb Average OAS 910.0 +1.0 basis point
Avg. Auto ABS OAS 98.0 -1.0 basis point

Economic Gauges:

Bloomberg Emerging Markets Currency Index 41.47 -.13%
3-Month T-Bill Yield 5.41% -1.0 basis point

China Iron Ore Spot 128.2 USD/Metric Tonne +1.1%
Dutch TTF Nat Gas(European benchmark) 46.6 euros/megawatt-hour -3.11%

Citi US Economic Surprise Index 45.1 -4.5 points

Citi Eurozone Economic Surprise Index -44.5 +.4 point

Citi Emerging Markets Economic Surprise Index 21.0 -1.5 point
S&P 500 Current Quarter EPS Growth Rate YoY(458 of 500 reporting) +2.8% +.1 percentage point
S&P 500 Blended Forward 12 Months Mean EPS Estimate 239.86 +.06: Growth Rate +8.6% +.1 percentage point, P/E 18.1 -.2
S&P 500 Current Year Estimated Profit Margin 12.12% -2.0 basis points
NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +38.4% unch.
NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 275.01 +.27: Growth Rate +62.2% +.1 percentage point, P/E 28.8 unch.
Bloomberg US Financial Conditions Index .17 unch.
Bloomberg Euro-Zone Financial Conditions Index .24 unch.
US Yield Curve -43.0 basis points (2s/10s) -4.0 basis points
US Atlanta Fed 3Q GDPNow Forecast +2.06% unch.

Cleveland Fed Inflation Nowcast Core PCE YoY +3.63% unch.: CPI YoY +3.28% unch.
10-Year TIPS Spread 2.34 -2.0 basis points
Highest target rate probability for Jan. 31st FOMC meeting: 77.7%(+1.2 percentage points) chance of 5.25%-5.5%. Highest target rate probability for March 20th meeting: 68.6%(+.8 percentage point) chance of 5.25%-5.5%.

Overseas Futures:

Nikkei 225 Futures: Indicating +304 open in Japan
China A50 Futures: Indicating +12 open in China

DAX Futures: Indicating +130 open in Germany

Portfolio:

Higher: On gains in my tech/industrial/utility/transport sector longs

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

Market Exposure: Moved to 100% Net Long

Monday's Earnings/Economic Releases of Note; Market Movers

Posted by Gary .....at 12:23 PM

Earnings of Note
Company/Estimate

Before the Open:

(HSIC)/1.32
(TSEM)/.47
(TSN)/.29

After the Close:

(FSR)/-.23

Economic Releases

11:00 am EST

The NY Fed 1-Year Inflation Expectations Index for Oct.

2:00 pm EST

The Monthly Budget Statement for Oct. is estimated at -$65.0B versus -$171.0B in Sept.

Upcoming Splits

None of note

Other Potential Market Movers

The Fed's Cook speaking, OPEC Monthly report, Morgan Stanley Materials Conference, Stephens Investment Conference, Jefferies Healthcare Conference, Stifel Healthcare Conference, RBC Capital Markets Tech/Internet/Media/Telecom Conference and the American College of Rheumatology Conference could also impact global trading on Monday.

US Equity Market Hours

9:30 am - 4:00 pm EST

Mid-Day Market Internals

Posted by Gary .....at 12:07 PM

NYSE Composite Index:

Volume Running -3.6% Below 100-Day Average
Nasdaq/NYSE Volume Ratio 9.5 -.6
1 Sector Declining, 10 Sectors Rising
57.5% of Issues Advancing, 39.9% Declining
TRIN/Arms 1.48 +27.6%
Non-Block Money Flow +$121.7M
25 New 52-Week Highs, 89 New Lows
32.3%(+2.2%) of Issues Above 200-day Moving Average
Average 14-Day RSI 50.0 -4.0

Other:

Bloomberg Global Risk-On/Risk-Off Index 65.9 +4.3%
Russell 1000: Growth/Value 18,710.1 +.64%
1-Day Vix 10.0 -25.2%
Vix 14.6 -4.8%
Total Put/Call .95 -14.4%

Thursday, November 09, 2023

Friday Watch

Posted by Gary .....at 9:07 PM

Night Trading

Asian equity indices are -1.25% to -.25% on average.

Asia Ex-Japan Investment Grade CDS Index 116.5 +.5 basis point.

China Sovereign CDS 73.25 +2.5 basis points.
China Iron Ore Spot 126.2 USD/Metric Tonne +.8%.

Bloomberg Emerging Markets Currency Index 41.5 -.11%.
Bloomberg Global Risk-On/Risk Off Index 66.5 +5.1%
Bloomberg US Financial Conditions Index .11 -6.0 basis points.
Volatility Index(VIX) futures 16.6 -.6%.
Euro Stoxx 50 futures -.80%.

S&P 500 futures +.03%.

NASDAQ 100 futures -.07%.

Morning Preview Links

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

Stocks Reversing Lower into Final Hour on Less Dovish FOMC Commentary, Surging Long-Term Rates, European/Emerging Markets/US High-Yield Debt Angst, Financial/Healthcare Sector Weakness

Posted by Gary .....at 2:55 PM