Monday, November 21, 2022

Stocks Finish Lower on Cryptocurrency Contagion Fears, China Hard-Landing Worries, Dollar Strength, Energy/Tech Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Mixed
  • Volume:  Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 22.7 -1.9%
  • DJIA Intraday % Swing .91%
  • Bloomberg Global Risk On/Risk Off Index 47.7 -.23%
  • Euro/Yen Carry Return Index 150.2 +.3%
  • Emerging Markets Currency Volatility(VXY) 12.2 +.7%
  • CBOE S&P 500 Implied Correlation Index 44.9 -3.8% 
  • ISE Sentiment Index 107.0 -9.0 points
  • Total Put/Call .83 -6.7%
  • NYSE Arms 1.37 +47.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 81.8 -.36%
  • US Energy High-Yield OAS 368.26 +1.5%
  • Bloomberg TRACE # Distressed Bonds Traded 403.0 -18.0
  • European Financial Sector CDS Index 103.99 +.33% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 356.73 -1.3%
  • Italian/German 10Y Yld Spread 195.0 basis points +7.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 156.35 +3.3%
  • Emerging Market CDS Index 253.57 -.63%
  • China Corp. High-Yield Bond USD ETF(KHYB) 25.58 -.54%
  • 2-Year Swap Spread 31.25 basis points -1.25 basis points
  • TED Spread 43.25 basis points -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -51.75 basis points +.25 basis point
  • MBS  5/10 Treasury Spread  142.0 +2.0 basis points
  • Bloomberg US Agg CMBS Avg OAS 130.0 unch.
  • Avg. Auto ABS OAS 1.19 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.15 -.22%
  • 3-Month T-Bill Yield 4.15% -8.0 basis points
  • Yield Curve -72.0 basis points (2s/10s) -3.25 basis points
  • China Iron Ore Spot 95.1 USD/Metric Tonne -.3%
  • Dutch TTF Nat Gas(European benchmark) 113.7 euros/megawatt-hour -1.6%
  • Citi US Economic Surprise Index 13.8 +2.5 points
  • Citi Eurozone Economic Surprise Index 11.7 -3.8 points
  • Citi Emerging Markets Economic Surprise Index 0.0 -.7 point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 229.90 -.07:  Growth Rate +11.3% unch., P/E 17.2 unch.
  • Bloomberg US Financial Conditions Index -.71 +2.0 basis points
  • US Atlanta Fed GDPNow Forecast +4.18% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +5.02% unch.: CPI YoY +7.60% unch.
  • 10-Year TIPS Spread 2.33 +7.0 basis points
  • Highest target rate probability for Feb. 1st FOMC meeting: 51.0%(+2.9 percentage points) chance of 4.75%-5.0%. Highest target rate probability for March 22nd meeting: 44.7%(+4.1 percentage points) chance of 5.0%-5.25%.
US Covid-19:
  • 84 new infections/100K people(last 7 days total). 4.8%(+.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 -85.7%(-1.1 percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -100 open in Japan 
  • China A50 Futures: Indicating +31 open in China
  • DAX Futures: Indicating +36 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my industrial sector longs, index hedges and emerging market shorts
  • Disclosed Trades:  None
  • Market Exposure:  50% Net Long

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