Friday, July 15, 2022

Stocks Higher into Close on Diminished Fed Rate-Hike Odds, Stable Long-Term Rates, Less European/Emerging Markets/US High-Yield Debt Angst, Financial/Healthcare Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance:  Almost Every Sector Rising
  • Volume:  Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 24.6 -6.7%
  • DJIA Intraday % Swing 1.67% +47.5%
  • Bloomberg Global Risk On/Risk Off Index 4,169.0 +231.0 points
  • Euro/Yen Carry Return Index 143.70 +.31%
  • Emerging Markets Currency Volatility(VXY) 12.6 -.87%
  • CBOE S&P 500 Implied Correlation Index 45.1 -3.4% 
  • ISE Sentiment Index 102.0 +9.0 points
  • Total Put/Call .94 +1.1%
  • NYSE Arms .82 -52.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 91.2 -3.5%
  • US Energy High-Yield OAS 531.50 -.57%
  • Bloomberg TRACE # Distressed Bonds Traded 547.0 +18.0
  • European Financial Sector CDS Index 134.38 -1.7%
  • Italian/German 10Y Yld Spread 214.0 basis points +7.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 172.22 +5.2%
  • Emerging Market CDS Index 374.89 -3.2%
  • China Corp. High-Yield Bond USD ETF(KHYB) 26.4 -.03%
  • Ukraine Sovereign Debt Credit Default Swap 10,904.80 -19.8%
  • 2-Year Swap Spread 28.0 basis points +5.25 basis points
  • TED Spread 21.75 basis points -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -20.5 basis points -1.25 basis points
  • MBS  5/10 Treasury Spread  142.0 -2.0 basis points
  • iShares CMBS ETF 48.04 +.02%
  • Avg. Auto ABS OAS 1.01 +5.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 49.05 +1.23%
  • 3-Month T-Bill Yield 2.28% -4.0 basis points
  • Yield Curve -21.25 basis points (2s/10s) -2.0 basis points
  • China Iron Ore Spot 98.60 USD/Metric Tonne +2.2%
  • Citi US Economic Surprise Index -51.3 +3.2 points
  • Citi Eurozone Economic Surprise Index -48.0 -.9 point
  • Citi Emerging Markets Economic Surprise Index 20.0 -3.4 points
  • 10-Year TIPS Spread 2.38 +3.0 basis points
  • Highest target rate probability for September 21st FOMC meeting: 49.2%(-4.3 percentage points) chance of 3.0%-3.25%. Highest target rate probability for November 2nd meeting: 43.6%(+3.8 percentage points) chance of 3.25%-3.5%.
US Covid-19:
  • 266 new infections/100K people(last 7 days total). 15.3%(+.3 percentage point) of 1/14/22 peak(1,740) +5/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -72.5%(+.7 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating +187 open in Japan 
  • China A50 Futures: Indicating -98 open in China
  • DAX Futures: Indicating -60 open in Germany
Portfolio:
  • Higher:  On gains in my tech/commodity/industrial/medical sector longs and emerging market shorts
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure:  50% Net Long

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