Friday, September 23, 2022

Stocks Falling Substantially into Afternoon on US Policy-Induced Stagflation Fears, China Economic Hard-Landing Worries, Surging European/Emerging Markets/US High-Yield Debt Angst, Commodity/Transport Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Every Sector Declining
  • Volume:  Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 30.1 +9.9%
  • DJIA Intraday % Swing 2.0%
  • Bloomberg Global Risk On/Risk Off Index 43.86 -4.2%
  • Euro/Yen Carry Return Index 143.31 -.65%
  • Emerging Markets Currency Volatility(VXY) 11.8 +2.4%
  • CBOE S&P 500 Implied Correlation Index 50.5 +1.7% 
  • ISE Sentiment Index 64.0 -26.0 points
  • Total Put/Call 1.35 +19.5%
  • NYSE Arms 1.53 +104.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 106.28 +4.2%
  • US Energy High-Yield OAS 408.09 +3.1%
  • Bloomberg TRACE # Distressed Bonds Traded 380.0 +8.0
  • European Financial Sector CDS Index 142.25 +3.5%
  • Italian/German 10Y Yld Spread 232.0 basis points +12.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 162.40 +5.2%
  • Emerging Market CDS Index 317.41 +7.6%
  • China Corp. High-Yield Bond USD ETF(KHYB) 26.32 -1.03%
  • 2-Year Swap Spread 40.5 basis points -1.25 basis points
  • TED Spread 45.25 basis points +6.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -24.5 basis points -2.75 basis points
  • MBS  5/10 Treasury Spread  163.0 +8.0 basis points
  • iShares CMBS ETF 46.04 -.45%
  • Avg. Auto ABS OAS .62 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47. -.81%
  • 3-Month T-Bill Yield 3.19% -3.0 basis points
  • Yield Curve -51.0 basis points (2s/10s) -8.75 basis points
  • China Iron Ore Spot 96.15 USD/Metric Tonne -2.1%
  • Dutch TTF Nat Gas(European benchmark) 186.0 euros/megawatt-hour -1.0%
  • Citi US Economic Surprise Index 10.9 +5.0 points
  • Citi Eurozone Economic Surprise Index 4.1 -3.9 points
  • Citi Emerging Markets Economic Surprise Index 1.3 +1.1 points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 236.23 -.08:  Growth Rate +15.8% -.2 percentage point, P/E 15.6 -.3
  • Bloomberg US Financial Conditions Index -1.01 -26.0 basis points
  • US Atlanta Fed GDPNow Forecast +.31% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.68% unch.: CPI YoY +8.19% unch.
  • 10-Year TIPS Spread 2.36 -3.0 basis points
  • Highest target rate probability for December 14th FOMC meeting: 75.5%(+3.9 percentage points) chance of 4.25%-4.5%. Highest target rate probability for February 1st meeting: 71.5%(+2.9 percentage points) chance of 4.5%-4.75%.
US Covid-19:
  • 112 new infections/100K people(last 7 days total). 6.4%(-0.0 percentage point) of 1/14/22 peak(1,740) -0/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -81.6%(-0.0 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -800 open in Japan 
  • China A50 Futures: Indicating -81 open in China
  • DAX Futures: Indicating +17 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my index hedges and emerging market shorts
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges
  • Market Exposure:  Moved to Market Neutral

1 comment:

Anonymous said...

Love these reports - thank you as always ❤️