Thursday, October 20, 2022

Stocks Reversing Lower into Afternoon on US Policy-Induced Stagflation Fears, Fed "Behind the Curve" Worries, Earnings Outlook Jitters, Transport/Financial Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume:  Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 30.6 -.7%
  • DJIA Intraday % Swing 1.7%
  • Bloomberg Global Risk On/Risk Off Index 50.3 +3.5%
  • Euro/Yen Carry Return Index 151.4 +.2%
  • Emerging Markets Currency Volatility(VXY) 12.6 +.1%
  • CBOE S&P 500 Implied Correlation Index 52.6 +1.6% 
  • ISE Sentiment Index 89.0 -4.0 points
  • Total Put/Call 1.03 +2.0%
  • NYSE Arms .65 -30.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 97.68 +1.4%
  • US Energy High-Yield OAS 387.86 -1.8%
  • Bloomberg TRACE # Distressed Bonds Traded 433.0 -8.0
  • European Financial Sector CDS Index 136.09 -1.3% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 354.43 +.7%
  • Italian/German 10Y Yld Spread 235.0 basis points -5.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 210.17 +2.6%
  • Emerging Market CDS Index 324.08 +.42%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.69 -.19%
  • 2-Year Swap Spread 38.75 basis points +2.25 basis points
  • TED Spread 26.5 basis points -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -59.5 basis points -1.0 basis point
  • MBS  5/10 Treasury Spread  174.0 +2.0 basis points
  • iShares CMBS ETF 44.90 -.46%
  • Avg. Auto ABS OAS .91 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 46.3 +.09%
  • 3-Month T-Bill Yield 3.97% unch.
  • Yield Curve -38.75 basis points (2s/10s) +4.25 basis points
  • China Iron Ore Spot 91.35 USD/Metric Tonne -.2%
  • Dutch TTF Nat Gas(European benchmark) 128.3 euros/megawatt-hour +14.0%
  • Citi US Economic Surprise Index 25.5 +2.0 points
  • Citi Eurozone Economic Surprise Index 21.0 +3.4 points
  • Citi Emerging Markets Economic Surprise Index -5.7 +1.6 points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 234.44 -.15:  Growth Rate +15.1% -.2 percentage point, P/E 15.7 unch.
  • Bloomberg US Financial Conditions Index -1.10 -7.0 basis points
  • US Atlanta Fed GDPNow Forecast +2.85% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +5.16% unch.: CPI YoY +8.14% unch.
  • 10-Year TIPS Spread 2.48 +6.0 basis points
  • Highest target rate probability for December 14th FOMC meeting: 76.2%(-.8 percentage point) chance of 4.5%-4.75%. Highest target rate probability for February 1st meeting: 49.2%(-3.3 percentage points) chance of 4.75%-5.0%.
US Covid-19:
  • 77 new infections/100K people(last 7 days total). 4.4%(-.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 -85.3%(-.4 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -21 open in Japan 
  • China A50 Futures: Indicating -2 open in China
  • DAX Futures: Indicating -100 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my commodity sector longs and index hedges
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges
  • Market Exposure:  Moved to Market Neutral

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