Monday, October 31, 2022

Stocks Lower into Afternoon on US Policy-Induced Stagflation Fears, China Hard-Landing Worries, Rising European/Emerging Markets/US High-Yield Debt Angst, Tech/Homebuilding Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Most Sectors Declining
  • Volume:  Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 26.2 +1.7%
  • DJIA Intraday % Swing .91%
  • Bloomberg Global Risk On/Risk Off Index 46.6 +2.2%
  • Euro/Yen Carry Return Index 151.62 -.17%
  • Emerging Markets Currency Volatility(VXY) 12.7 -1.1%
  • CBOE S&P 500 Implied Correlation Index 53.0 +.08% 
  • ISE Sentiment Index 96.0 +6.0 points
  • Total Put/Call .87 -7.5%
  • NYSE Arms .87 -19.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 89.70 +1.6%
  • US Energy High-Yield OAS 356.72 +.94%
  • Bloomberg TRACE # Distressed Bonds Traded 457.0 +2.0
  • European Financial Sector CDS Index 123.4 +1.3% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 333.64 +.2%
  • Italian/German 10Y Yld Spread 216.0 basis points +9.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 231.40 +4.1%
  • Emerging Market CDS Index 294.77 +3.6%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.06 +.35%
  • 2-Year Swap Spread 37.25 basis points -.75 basis point
  • TED Spread 39.5 basis points +2.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -55.0 basis points -3.25 basis points
  • MBS  5/10 Treasury Spread  170.0 +4.0 basis points
  • Bloomberg US Agg CMBS Avg OAS 130.0 +1.0 basis point
  • Avg. Auto ABS OAS 1.09 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 46.54 -.20%
  • 3-Month T-Bill Yield 4.06% +3.0 basis points
  • Yield Curve -44.25 basis points (2s/10s) -4.75 basis points
  • China Iron Ore Spot 75.25 USD/Metric Tonne -2.1%
  • Dutch TTF Nat Gas(European benchmark) 122.0 euros/megawatt-hour +12.4%
  • Citi US Economic Surprise Index 8.1 -6.4 points
  • Citi Eurozone Economic Surprise Index 18.2 +9.2 points
  • Citi Emerging Markets Economic Surprise Index 7.2 -1.1 points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 232.30 -.57:  Growth Rate +13.1% -1.4 percentage points, P/E 16.7 unch.
  • Bloomberg US Financial Conditions Index -1.03 +4.0 basis points
  • US Atlanta Fed GDPNow Forecast +3.07% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +5.16% unch.: CPI YoY +8.11% unch.
  • 10-Year TIPS Spread 2.51 unch.
  • Highest target rate probability for December 14th FOMC meeting: 49.5%(+6.1 percentage points) chance of 4.5%-4.75%. Highest target rate probability for February 1st meeting: 47.1%(+1.9 percentage points) chance of 4.75%-5.0%.
US Covid-19:
  • 77 new infections/100K people(last 7 days total). 4.4%(+0.0 percentage points) of 1/14/22 peak(1,740) +0/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -86.0%(-1.1 percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -42 open in Japan 
  • China A50 Futures: Indicating +1 open in China
  • DAX Futures: Indicating +33 open in Germany
Portfolio:
  • Higher:  On gains in my commodity sector longs, index hedges and emerging market shorts
  • Disclosed Trades:  None
  • Market Exposure:  50% Net Long

No comments: