Monday, September 19, 2022

Stocks Reversing Slightly Higher into Final Hour on Bargain Hunting, Technical Buying, Oil Gain, Transport/Metals & Mining Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Mixed
  • Volume:  Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 26.1 -.8%
  • DJIA Intraday % Swing 1.27%
  • Bloomberg Global Risk On/Risk Off Index 44.46 +2.1%
  • Euro/Yen Carry Return Index 147.77 +.33%
  • Emerging Markets Currency Volatility(VXY) 11.5 -.26%
  • CBOE S&P 500 Implied Correlation Index 48.6 +2.0% 
  • ISE Sentiment Index 80.0 unch.
  • Total Put/Call 1.01 -15.8%
  • NYSE Arms .72 -42.5%
Credit Investor Angst:
  • North American Investment Grade CDS Index 88.17 -1.2%
  • US Energy High-Yield OAS 403.04 -.54%
  • Bloomberg TRACE # Distressed Bonds Traded 341.0 -6.0
  • European Financial Sector CDS Index 121.18 -.48%
  • Italian/German 10Y Yld Spread 228.0 basis points unch.
  • Asia Ex-Japan Investment Grade CDS Index 129.42 +1.8%
  • Emerging Market CDS Index 314.80 +.31%
  • China Corp. High-Yield Bond USD ETF(KHYB) 26.79 -.06%
  • 2-Year Swap Spread 37.25 basis points -1.0 basis point
  • TED Spread 47.25 basis points +6.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -18.75 basis points unch.
  • MBS  5/10 Treasury Spread  157.0 +2.0 basis points
  • iShares CMBS ETF 46.57 -.35%
  • Avg. Auto ABS OAS .66 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 48.30 +.11%
  • 3-Month T-Bill Yield 3.10% -3.0 basis points
  • Yield Curve -47.0 basis points (2s/10s) -4.5 basis points
  • China Iron Ore Spot 98.6 USD/Metric Tonne -.2%
  • Dutch TTF Nat Gas(European benchmark) 175.0 euros/megawatt-hour -6.5%
  • Citi US Economic Surprise Index 3.6 +1.3 points
  • Citi Eurozone Economic Surprise Index 1.20 +12.0 points
  • Citi Emerging Markets Economic Surprise Index -1.8 unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 237.60 -.02:  Growth Rate +15.9% -.3 percentage point, P/E 16.3 +.1
  • Bloomberg US Financial Conditions Index -.78 -3.0 basis points
  • US Atlanta Fed GDPNow Forecast +.52% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.68% unch.: CPI YoY +8.21% unch.
  • 10-Year TIPS Spread 2.33 -5.0 basis points
  • Highest target rate probability for November 2nd FOMC meeting: 60.4%(+.7 percentage point) chance of 3.75%-4.0%. Highest target rate probability for December 14th meeting: 46.7%(+6.0 percentage points) chance of 4.25%-4.5%.
US Covid-19:
  • 119 new infections/100K people(last 7 days total). 6.8%(-.4 percentage point) of 1/14/22 peak(1,740) -7/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -82.1%(-2.4 percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -132 open in Japan 
  • China A50 Futures: Indicating +18 open in China
  • DAX Futures: Indicating +36 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my commodity and industrial sector longs
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure:  Moved to 50% Net Long

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