Thursday, September 15, 2022

Stocks Reversing Lower into Final Hour on US Policy-Induced Stagflation Fears, Earnings Outlook Worries, US High-Yld Debt Angst, Tech/Commodity Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume:  Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 26.0 -.8%
  • DJIA Intraday % Swing 1.07%
  • Bloomberg Global Risk On/Risk Off Index 44.8 +1.7%
  • Euro/Yen Carry Return Index 147.59 +.37%
  • Emerging Markets Currency Volatility(VXY) 11.5 +1.4%
  • CBOE S&P 500 Implied Correlation Index 47.7 -.44% 
  • ISE Sentiment Index 81.0 -8.0 points
  • Total Put/Call 1.04 -3.7%
  • NYSE Arms .70 -25.5%
Credit Investor Angst:
  • North American Investment Grade CDS Index 87.4 +2.3%
  • US Energy High-Yield OAS 391.65 -.25%
  • Bloomberg TRACE # Distressed Bonds Traded 353.0 -8.0
  • European Financial Sector CDS Index 117.81 -1.7%
  • Italian/German 10Y Yld Spread 228.0 basis points -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 123.60 -2.0%
  • Emerging Market CDS Index 311.21 +1.2%
  • China Corp. High-Yield Bond USD ETF(KHYB) 26.80 +.28%
  • 2-Year Swap Spread 41.0 basis points +.5 basis point
  • TED Spread 11.75 basis points +5.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -20.0 basis points +4.5 basis points
  • MBS  5/10 Treasury Spread  149.0 +2.0 basis points
  • iShares CMBS ETF 46.89 unch.
  • Avg. Auto ABS OAS .68 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 48.24 -.35%
  • 3-Month T-Bill Yield 3.15% -4.0 basis points
  • Yield Curve -41.75 basis points (2s/10s) -5.0 basis points
  • China Iron Ore Spot 100.3 USD/Metric Tonne -2.3%
  • Dutch TTF Nat Gas(European benchmark) 214.0 euros/megawatt-hour -1.7%
  • Citi US Economic Surprise Index 2.5 -3.3 points
  • Citi Eurozone Economic Surprise Index -13.2 -2.0 points
  • Citi Emerging Markets Economic Surprise Index -8.0 +2.2 points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 237.63 +.05:  Growth Rate +15.9% unch., P/E 16.5 -.1
  • Bloomberg US Financial Conditions Index -.47 -20.0 basis points
  • US Atlanta Fed GDPNow Forecast +.52% -78.0 basis points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.68% unch.: CPI YoY +8.21% unch.
  • 10-Year TIPS Spread 2.45 -2.0 basis points
  • Highest target rate probability for November 2nd FOMC meeting: 59.1%(+5.2 percentage points) chance of 3.75%-4.0%. Highest target rate probability for December 14th meeting: 46.5%(+7.5 percentage points) chance of 4.25%-4.5%.
US Covid-19:
  • 126 new infections/100K people(last 7 days total). 7.2%(-.8 percentage point) of 1/14/22 peak(1,740) -14/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -79.7%(-.6 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -360 open in Japan 
  • China A50 Futures: Indicating -60 open in China
  • DAX Futures: Indicating -11 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

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