Portfolio Manager's Commentary on Investing and Trading in the U.S. Financial Markets
Tuesday, July 02, 2024
Stocks Rising into Close on Lower Long-Term Rates, Earnings Outlook Optimism, Technical Buying, Tech/Financial Sector Strength
Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.9 -3.0%
- DJIA Intraday % Swing .31 -69.4%
- Bloomberg Global Risk On/Risk Off Index 62.1 +2.5%
- Euro/Yen Carry Return Index 190.2 +.03%
- Emerging Markets Currency Volatility(VXY) 7.9 +1.3%
- CBOE S&P 500 Implied Correlation Index 8.0 -4.9%
- ISE Sentiment Index 153.0 +21.0
- Total Put/Call .90 -1.1%
- NYSE Arms 1.41 +28.2%
- NYSE Non-Block Money Flow -$143.7M
Credit Investor Angst:
- North American Investment Grade CDS Index 51.2 -2.4%
- US Energy High-Yield OAS 270.6 +1.3%
- Bloomberg TRACE # Distressed Bonds Traded 270 +10
- European Financial Sector CDS Index 66.8 -.9%
- Deutsche Bank Subordinated 5Y Credit Default Swap 174.7 -.7%
- Italian/German 10Y Yld Spread 145.0 basis points -5.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 97.3 -.9%
- Emerging Market CDS Index 172.4 -1.0%
- Israel Sovereign CDS 145.4 +.4%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.8 +.36%
- 2-Year SOFR Swap Spread -14.5 basis points -.75 basis point
- Treasury Repo 3M T-Bill Spread 4.75 basis points +2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -2.5 +.5 basis point
- MBS 5/10 Treasury Spread 151.0 -3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 720.0 +1.0 basis point
- Avg. Auto ABS OAS 61.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.0 +.01%
- 3-Month T-Bill Yield 5.38% +2.0 basis points
- China Iron Ore Spot 109.0 USD/Metric Tonne -.9%
- Dutch TTF Nat Gas(European benchmark) 33.7 euros/megawatt-hour +.6%
- Citi US Economic Surprise Index -30.4 +2.0 points
- Citi Eurozone Economic Surprise Index -10.4 +3.6 points
- Citi Emerging Markets Economic Surprise Index 7.7 -1.4 points
- S&P 500 Current Quarter EPS Growth Rate YoY(17 of 500 reporting) +4.1% n/a
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 260.89 n/a: Growth Rate +14.3% n/a, P/E 21.0 n/a
- S&P 500 Current Year Estimated Profit Margin 12.85% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 329.65 n/a: Growth Rate +22.9% n/a, P/E 35.4 n/a
- Bloomberg US Financial Conditions Index .99 -4.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .65 +19.0 basis points
- US Yield Curve -31.25 basis points (2s/10s) +1.5 basis points
- US Atlanta Fed 2Q GDPNow Forecast +1.7% -50.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 51.1% +.7 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.61% +5.0 basis points: CPI YoY +3.12% unch.
- 10-Year TIPS Spread 2.30 -2.0 basis points
- Highest target rate probability for Sept. 18th FOMC meeting: 63.2%(+3.4 percentage points) chance of 5.0%-5.25%. Highest target rate probability for Nov. 7th meeting: 52.7%(+2.0 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +235 open in Japan
- China A50 Futures: Indicating -154 open in China
- DAX Futures: Indicating +182 open in Germany
Portfolio:
- Higher: On gains in my industrial/consumer discretionary/tech/financial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
Bear Radar
Style Underperformer:
- Small-Cap Growth +.1%
- 1) Homebuilding -1.1% 2) Biotech -1.0% 3) Telecom -1.0%
- FLNC, BLBD, RDUS, RCM and PCRX
- 1) CPNG 2) AAP 3) MTUM 4) ANVS 5) CONN
- 1) CONN 2) RDUS 3) CMBM 4) RCM 5) ALT
- 1) XLU 2) XLI 3) KBWB 4) ITB 5) IYJ
Bull Radar
Style Outperformer:
- Large-Cap Growth +.7%
- 1) Semis +1.0% 2) Regional Banks +.9% 3) Shipping +.9%
Stocks Rising on Unusual Volume:
- CENX, IREN, VSAT, TSLA, RIVN, RDDT, EVH, NOAH, ALKT, HDB, CORZ, BTDR, VIST, LOAR, BJRI and SPHR
Stocks With Unusual Call Option Activity:
- 1) CRH 2) NKLA 3) ON 4) DISH 5) XHB
Stocks With Most Positive News Mentions:
- 1) RDZN 2) VS 3) BEEM 4) LBPH 5) SMCI
Sector ETFs With Most Positive Money Flow:
- 1) XLF 2) XLV 3) SMH 4) XLK 5) XLC
Charts:
Tomorrow's Earnings/Economic Releases of Note; Market Movers
Earnings of Note
Company/Estimate
Before the Open:
- (STZ)/3.46
After the Close:
- None of note
7:30 am EST
- Challenger Job Cuts report.
8:15 am EST
- ADP Employment Change for June is estimated to rise to 165K versus 152K in May.
8:30 am EST
- Initial Jobless Claims for last week is estimated to rise to 235K versus 233K the prior week.
- Continuing Claims is estimated to rise to 1841K versus 1839K prior.
10:00 am EST
- Factory Orders for May is estimated to rise +.2% versus a +.7% gain in April.
- ISM Services Index for June is estimated to fall to 52.6 versus 53.8 in May.
- ISM Services Prices Paid for June is estimated to fall to 56.5 versus 58.1 in May.
2:00 pm EST
- FOMC Meeting Minutes.
Upcoming Splits
- None of note
Other Potential Market Movers
- The Fed's Williams speaking, weekly MBA Mortgage Applications report and the Atlanta Fed GDPNow Q2 update could also impact global trading tomorrow.
- 9:30 am - 1:00 pm EST
Mid-Day Market Internals
NYSE Composite Index:
- Volume Running -20.6% Below 100-Day Average
- Nasdaq/NYSE Volume Ratio 11.8 +.3
- 3 Sectors Declining, 8 Sectors Rising
- 59.5% of Issues Advancing, 37.6% Declining
- TRIN/Arms 1.45 +31.8%
- Non-Block Money Flow -$93.7M
- 47 New 52-Week Highs, 49 New Lows
- 52.5% (+.9%) of Issues Above 200-day Moving Average
- Average 14-Day RSI 48.0 -2.0
- Bloomberg Global Risk-On/Risk-Off Index 61.3 +1.2%
- Bloomberg Cyclicals/Defensives Index 241.0 +.1%
- Russell 1000: Growth/Value 21,283.0 +.3%
- CNN Fear & Greed Index 49.0 (NEUTRAL) +2.0
- 1-Day Vix 8.1 -.4%
- Vix 12.1 -.9%
- Total Put/Call .86 -5.5%
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