Monday, October 17, 2022

Stocks Sharply Higher into Afternoon on Less European/Emerging Markets/US High-Yield Debt Angst, Option Expiration Week, Short-Covering, Tech/Gambling Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Every Sector Rising
  • Volume:  Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 30.8 -3.8%
  • DJIA Intraday % Swing 1.0%
  • Bloomberg Global Risk On/Risk Off Index 49.1 -.4%
  • Euro/Yen Carry Return Index 151.0 +1.2%
  • Emerging Markets Currency Volatility(VXY) 12.6 +.6%
  • CBOE S&P 500 Implied Correlation Index 51.6 +.12% 
  • ISE Sentiment Index 106.0 +19.0 points
  • Total Put/Call .95 +4.4%
  • NYSE Arms .42 -74.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 99.96 -3.6%
  • US Energy High-Yield OAS 409.81 -2.1%
  • Bloomberg TRACE # Distressed Bonds Traded 427.0 -18.0
  • European Financial Sector CDS Index 139.23 -4.2% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 408.0 -4.9%
  • Italian/German 10Y Yld Spread 239.0 basis points -5.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 211.57 +4.1%
  • Emerging Market CDS Index 326.50 -2.3%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.99 unch.
  • 2-Year Swap Spread 37.5 basis points +1.0 basis point
  • TED Spread 49.75 basis points +13.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -68.5 basis points +1.25 basis points
  • MBS  5/10 Treasury Spread  175.0 -2.0 basis points
  • iShares CMBS ETF 45.16-.22%
  • Avg. Auto ABS OAS .85 +2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 46.45 +.37%
  • 3-Month T-Bill Yield 3.76% +4.0 basis points
  • Yield Curve -45.75 basis points (2s/10s) +2.75 basis points
  • China Iron Ore Spot 92.7 USD/Metric Tonne -.1%
  • Dutch TTF Nat Gas(European benchmark) 123.2 euros/megawatt-hour -13.3%
  • Citi US Economic Surprise Index 19.40 +2.0 points
  • Citi Eurozone Economic Surprise Index 9.4 +3.7 points
  • Citi Emerging Markets Economic Surprise Index -7.0 -3.3 points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 234.95 -.20:  Growth Rate +15.3% -.2 percentage point, P/E 15.7 +.4
  • Bloomberg US Financial Conditions Index -1.40 -15.0 basis points
  • US Atlanta Fed GDPNow Forecast +2.81% -8.0 basis points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +5.16% unch.: CPI YoY +8.13% unch.
  • 10-Year TIPS Spread 2.46 +7.0 basis points
  • Highest target rate probability for December 14th FOMC meeting: 66.7%(-3.1 percentage points) chance of 4.5%-4.75%. Highest target rate probability for February 1st meeting: 53.7%(-.5 percentage point) chance of 4.75%-5.0%.
US Covid-19:
  • 77 new infections/100K people(last 7 days total). 4.4%(-.4 percentage point) of 1/14/22 peak(1,740) +0/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -86.1%(-1.3 percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating +280 open in Japan 
  • China A50 Futures: Indicating +61 open in China
  • DAX Futures: Indicating -2 open in Germany
Portfolio:
  • Slightly Lower:  On losses in my index hedges and emerging market shorts
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  • Market Exposure:  Moved to 50% Net Long

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