Wednesday, August 31, 2022

Stocks Reversing Lower into Final Hour on US Policy-Induced Stagflation Fears, Earnings Outlook Worries, Rising European/Emerging Markets/US High-Yield Debt Angst, Consumer Discretionary/Tech Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Lower Lower
  • Sector Performance: Most Sectors Declining
  • Volume:  Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 26.0 -.8%
  • DJIA Intraday % Swing 1.16% -33.5%
  • Bloomberg Global Risk On/Risk Off Index 40.1 +1.1%
  • Euro/Yen Carry Return Index 143.59 +.33%
  • Emerging Markets Currency Volatility(VXY) 11.5 -1.8%
  • CBOE S&P 500 Implied Correlation Index 45.7 +.2% 
  • ISE Sentiment Index 103.0 +17.0 points
  • Total Put/Call 1.07 -10.8%
  • NYSE Arms .88 -8.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 91.9 +1.3%
  • US Energy High-Yield OAS 426.0 +1.0%
  • Bloomberg TRACE # Distressed Bonds Traded 364.0 +8.0
  • European Financial Sector CDS Index 130.27 +2.8%
  • Italian/German 10Y Yld Spread 235.0 basis points +3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 139.38 +2.6%
  • Emerging Market CDS Index 330.12 +.9%
  • China Corp. High-Yield Bond USD ETF(KHYB) 26.75 +.94%
  • 2-Year Swap Spread 36.75 basis points +.75 basis point
  • TED Spread 18.0 basis points +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -14.5 basis points -.75 basis point
  • MBS  5/10 Treasury Spread  141.0 +1.0 basis point
  • iShares CMBS ETF 47.56 +.11%
  • Avg. Auto ABS OAS .79 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 48.72 -.14%
  • 3-Month T-Bill Yield 2.91% +2.0 basis points
  • Yield Curve -32.0 basis points (2s/10s) +2.5 basis points
  • China Iron Ore Spot 100.6 USD/Metric Tonne +1.3%
  • Dutch TTF Nat Gas(European benchmark) 240.0 euros/megawatt-hour -9.6%
  • Citi US Economic Surprise Index -27.6 -10.8 points
  • Citi Eurozone Economic Surprise Index -25.4 -9.1 points
  • Citi Emerging Markets Economic Surprise Index 8.8 -10.6 points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 237.06 +.04:  Growth Rate +16.0% +.1 percentage point, P/E 16.8 unch.
  • Bloomberg US Financial Conditions Index -.40 +4.0 basis points
  • US Atlanta Fed GDPNow Forecast +1.57% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.62% unch.: CPI YoY +8.24% -4.0 basis points
  • 10-Year TIPS Spread 2.51 -4.0 basis points
  • Highest target rate probability for November 2nd FOMC meeting: 64.8%(-2.8 percentage points) chance of 3.5%-3.75%. Highest target rate probability for December 14th meeting: 61.8%(-2.7 percentage points) chance of 3.75%-4.0%.
US Covid-19:
  • 175 new infections/100K people(last 7 days total). 10.0%(-.5 percentage point) of 1/14/22 peak(1,740) -7/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -75.5%(+.1 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -262 open in Japan 
  • China A50 Futures: Indicating -103 open in China
  • DAX Futures: Indicating -33 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my medical sector longs and index hedges
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges
  • Market Exposure:  Moved to 25% Net Long

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