Monday, September 26, 2022

Stocks Lower into Final Hour on US Policy-Induced Stagflation Fears, Escalating Currency Crisis Worries, Surging European/Emerging Markets/US High-Yield Debt Angst, Airline/REIT Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume:  Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 32.4 +8.2%
  • DJIA Intraday % Swing 1.6%
  • Bloomberg Global Risk On/Risk Off Index 46.1 +5.3%
  • Euro/Yen Carry Return Index 143.24 +.11%
  • Emerging Markets Currency Volatility(VXY) 12.1 +2.6%
  • CBOE S&P 500 Implied Correlation Index 52.4 +4.7% 
  • ISE Sentiment Index 105.0 +38.0 points
  • Total Put/Call 1.11 -17.8%
  • NYSE Arms 1.03 -18.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 108.93 +3.4%
  • US Energy High-Yield OAS 411.70 +.76%
  • Bloomberg TRACE # Distressed Bonds Traded 393.0 +13.0
  • European Financial Sector CDS Index 147.83 +3.7%
  • Italian/German 10Y Yld Spread 245.0 basis points +13.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 162.40 +7.9%
  • Emerging Market CDS Index 328.64 +3.5%
  • China Corp. High-Yield Bond USD ETF(KHYB) 26.3 -.08%
  • 2-Year Swap Spread 35.25 basis points -5.25 basis points
  • TED Spread 44.75 basis points -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -27.5 basis points -3.0 basis points
  • MBS  5/10 Treasury Spread  179.0 +16.0 basis points
  • iShares CMBS ETF 45.85 -.58%
  • Avg. Auto ABS OAS .62 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.15 -.96%
  • 3-Month T-Bill Yield 3.24% +5.0 basis points
  • Yield Curve -44.5 basis points (2s/10s) +6.5 basis points
  • China Iron Ore Spot 96.4 USD/Metric Tonne +.2%
  • Dutch TTF Nat Gas(European benchmark) 173.0 euros/megawatt-hour -6.8%
  • Citi US Economic Surprise Index 10.9 unch.
  • Citi Eurozone Economic Surprise Index -4.6 -8.7 points
  • Citi Emerging Markets Economic Surprise Index -.7 -2.0 points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 236.23 unch.:  Growth Rate +15.8% unch., P/E 15.5 -.1
  • Bloomberg US Financial Conditions Index -1.15 -13.0 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 2.34 -2.0 basis points
  • Highest target rate probability for December 14th FOMC meeting: 71.1%(+.5 percentage point) chance of 4.25%-4.5%. Highest target rate probability for February 1st meeting: 68.8%(+2.2 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 -83.4%(-1.8 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -101 open in Japan 
  • China A50 Futures: Indicating +15 open in China
  • DAX Futures: Indicating +7 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my index hedges and emerging market shorts
  • Disclosed Trades:  None
  • Market Exposure:  25% Net Long

No comments: