BETWEEN THE HEDGES

Wednesday, July 26, 2023

Thursday Watch

Posted by Gary .....at 9:51 PM

Night Trading

Asian equity indices are +.25% to +.75% on average.

Asia Ex-Japan Investment Grade CDS Index 104.5 -1.5 basis points.

China Sovereign CDS 58.0 -.25 basis point.
China Iron Ore Spot 112.5 USD/Metric Tonne -.65%.

Bloomberg Emerging Markets Currency Index 43.4 +.07%.
Bloomberg Global Risk-On/Risk Off Index 67.2 +.06%.
Bloomberg US Financial Conditions Index .46 -2.0 basis points.
Volatility Index(VIX) futures 14.9 +.08%.
Euro Stoxx 50 futures +.27%.

S&P 500 futures +.17%.

NASDAQ 100 futures +.46%.

Morning Preview Links

BOTTOM LINE: Asian indices are mostly higher, boosted by financial and commodity shares in the region. I expect US stocks to open modestly higher and to weaken into the afternoon, finishing modestly mixed. The Portfolio is 75% net long heading into the day.

Stocks Finish Mostly Higher on Fed Pause Hopes, Loosening US Financial Conditions, Earnings Outlook Optimism, Transport/Financial Sector Strength

Posted by Gary .....at 4:32 PM

Broad Equity Market Tone:

Advance/Decline Line: Modestly Higher

Sector Performance: Mixed

Volume: Around Average

Market Leading Stocks: Outperforming

Equity Investor Angst:

Volatility(VIX) 13.6 -2.2%
DJIA Intraday % Swing .57%
Bloomberg Global Risk On/Risk Off Index 66.5 +.98%

Euro/Yen Carry Return Index 164.1 -.22%

Emerging Markets Currency Volatility(VXY) 8.7 -.6%

CBOE S&P 500 Implied Correlation Index 17.9 +7.7%

ISE Sentiment Index 127.0 +25.0 points

Total Put/Call .89 +2.3%

NYSE Arms .98 -26.9%

Credit Investor Angst:

North American Investment Grade CDS Index 64.1 -1.1%

US Energy High-Yield OAS 330.70 -.88%
Bloomberg TRACE # Distressed Bonds Traded 365.0 -4.0

European Financial Sector CDS Index 80.0 -.95%
Deutsche Bank Subordinated 5Y Credit Default Swap 261.12 -1.0%

Italian/German 10Y Yld Spread 162.0 basis points -2.0 basis points

Asia Ex-Japan Investment Grade CDS Index 105.5 -1.4%

Emerging Market CDS Index 198.32 -.84%

China Corp. High-Yield Bond USD ETF(KHYB) 25.6 +.09%

2-Year Swap Spread 21.25 basis points unch.

TED Spread 19.0 basis points -2.0 basis points

3-Month EUR/USD Cross-Currency Basis Swap -11.0 +.75 basis point
MBS 5/10 Treasury Spread 160.0 -3.0 basis points
Bloomberg CMBS Investment Grade Bbb Average OAS 731.0 unch.
Avg. Auto ABS OAS 73.0 -2.0 basis points

Economic Gauges:

Bloomberg Emerging Markets Currency Index 43.5 +.15%
3-Month T-Bill Yield 5.42% +1.0 basis point

China Iron Ore Spot 112.9 USD/Metric Tonne -.3%
Dutch TTF Nat Gas(European benchmark) 29.3 euros/megawatt-hour -10.3%

Citi US Economic Surprise Index 68.2 -2.1 points

Citi Eurozone Economic Surprise Index -136.7 +2.2 points

Citi Emerging Markets Economic Surprise Index -8.3 -.8 point
S&P 500 Current Quarter EPS Growth Rate YoY(149 of 500 reporting) +4.0% +1.5 percentage points
S&P 500 Blended Forward 12 Months Mean EPS Estimate 231.54 +.05: Growth Rate +3.7% unch., P/E 19.7 unch.
S&P 500 Current Year Estimated Profit Margin 12.07% -1.0 basis point
NYSE FANG+ Current Quarter EPS Growth Rate YoY(4 of 10 reporting) +15.9% +12.5 percentage points
NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 220.01 +.14: Growth Rate +43.0% +.1 percentage point, P/E 35.4 -.3
Bloomberg US Financial Conditions Index .51 +2.0 basis points
Bloomberg Euro-Zone Financial Conditions Index -.90 -83.0 basis points
US Yield Curve -98.0 basis points (2s/10s) +1.0 basis point
US Atlanta Fed 2Q GDPNow Forecast +2.41% -1.0 basis point

Cleveland Fed Inflation Nowcast Core PCE YoY +4.19% unch.: CPI YoY +3.37% unch.
10-Year TIPS Spread 2.36 -3.0 basis points
Highest target rate probability for Nov. 1st FOMC meeting: n/a(n/a) chance of 5.25%-5.5%. Highest target rate probability for Dec. 13th meeting: n/a(n/a percentage points) chance of 5.25%-5.5%.

Overseas Futures:

Nikkei 225 Futures: Indicating -113 open in Japan
China A50 Futures: Indicating +68 open in China

DAX Futures: Indicating +81 open in Germany

Portfolio:

Slightly Higher: On gains in my industrial/medical sector longs

Disclosed Trades: None

Market Exposure: 75% Net Long

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

Posted by Gary .....at 3:06 PM

Earnings of Note
Company/Estimate

Before the Open:

(ABBV)/2.84
(AGCO)/3.73
(AMT)/2.42
(AEP)/1.13
(MT)/1.82
(BCS)/.41
(BAX)/.60
(BSX)/.49
(BMY)/1.98
(BC)/2.46
(CBRE)/.76
(CMCSA)/.98
(CROX)/2.98
(FSS)/.62
(FCFS)/1.06
(FCN)/1.60
(HOG)/1.24
(HCA)/4.25
(HSY)/1.91
(HTZ)/.64
(HON)/2.21
(IP)/.38
(KDP)/.40
(LH)/3.75
(MLM)/4.85
(MA)/2.83
(MCD)/2.78
(MBLY)/.12
(NSC)/3.11
(NOC)/5.33
(OSK)/1.63
(BTU)/1.72
(RS)/6.55
(RCL)/1.57
(LUV)/1.09
(STM)/1.09
(STRA)/.69
(TSCO)/3.92
(VLO)/5.04
(WEX)/3.52
(XEL)/.57

After the Close:

(AB)/.66
(BZH)/.88
(SAM)/3.38
(BYD)/1.67
(CP)/.94
(CUZ)/.65
(DECK)/2.21
(DLR)/1.66
(FSLR)/1.00
(F)/.54
(INTC)/-.04
(JNPR)/.54
(KLAC)/4.86
(LYV)/.65
(MHK)/2.65
(MDLZ)/.69
(SKYW)/-.39
(TXRH)/1.20
(TMUS)/1.69
(X)/1.79
(WY)/.21

Economic Releases

8:30 am EST

2Q GDP Annualized QoQ is estimated to rise +1.8% versus a +2.0% gain in 1Q.
2Q Personal Consumption is estimated to rise +1.3% versus a +4.2% gain in 1Q.
2Q GDP Price Index is estimated to rise +3.0% versus a +4.1% gain in 1Q.
2Q Core PCE Price Index QoQ is estimated to rise +4.0% versus a +4.9% gain in 1Q.
Durable Goods Orders for June is estimated to rise +1.2% versus a +1.8% gain in May.
Durables Ex Transports for June is estimated to rise +.1% versus a +.7% gain in May.
Cap Goods Orders Non-Defense Ex Air for June is estimated to fall -.2% versus a +.7% gain in May.
Initial Jobless Claims for last week is estimated to rise to 235K versus 228K the prior week.
Continuing Claims is estimated to fall to 1750K versus 1754K prior.
Advance Goods Trades Balance for June is estimated at -$91.9B versus -$91.1B in May.
Wholesale Inventories MoM for June is estimated to fall -.1% versus unch. in May.
Retail Inventories MoM for June is estimated to rise +.4% versus a +.8% gain in May.

10:00 am EST

Pending Home Sales MoM for June is estimated to fall -.5% versus a -2.7% decline in May.

11:00 am EST

The Kansas City Fed Manufacturing Activity Index for July is estimated to rise to -10 versus -12 in June.

Upcoming Splits

None of note

Other Potential Market Movers

The ECB decision, Australia Import/Export Prices report and the weekly EIA natural gas inventory report could also impact global trading tomorrow.

US Equity Market Hours

9:30 am - 4:00 pm EST

Morning Market Internals

Posted by Gary .....at 11:27 AM

NYSE Composite Index:

NYSE Volume Running +4.3% Above 100-Day Average
Nasdaq/NYSE Volume Ratio 8.7 -.7
5 Sectors Declining, 6 Sectors Rising
60.6% of Issues Advancing, 36.3% Declining
84 New 52-Week Highs, 5 New Lows
60.8%(+2.8%) of Issues Above 200-day Moving Average
Average 14-Day RSI 73.0 +3.0
Bloomberg Global Risk-On/Risk-Off Index 66.1 +.4%
Russell 1000: Growth/Value 17,142.8 -.8%
1-Day Vix 13.4 -11.7%
Vix 13.9 +.6%
Total Put/Call .84 -3.5%
TRIN/Arms 1.02 -23.8%

Tuesday, July 25, 2023

Wednesday Watch

Posted by Gary .....at 11:36 PM