Friday, November 11, 2022

Stocks Higher into Afternoon on Diminished China Hard-Landing Fears, Dollar Weakness, Short-Covering, Commodity/Tech Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume:  Heavy
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 22.6 -4.0%
  • DJIA Intraday % Swing 1.2%
  • Bloomberg Global Risk On/Risk Off Index 49.1 +7.2%
  • Euro/Yen Carry Return Index 148.1 -.27%
  • Emerging Markets Currency Volatility(VXY) 12.4 +.6%
  • CBOE S&P 500 Implied Correlation Index 46.6 -5.1% 
  • ISE Sentiment Index 126.0 +19.0 points
  • Total Put/Call .77 -10.5%
  • NYSE Arms .72 -16.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 83.33 +.27%
  • US Energy High-Yield OAS 378.05 n/a
  • Bloomberg TRACE # Distressed Bonds Traded 477.0 -17.0
  • European Financial Sector CDS Index 107.3 -1.0% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 337.7 -.9%
  • Italian/German 10Y Yld Spread 205.0 basis points +6.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 158.24 -14.0%
  • Emerging Market CDS Index 246.79 unch.
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.9 +1.4%
  • 2-Year Swap Spread 37.0 basis points -1.0 basis point
  • TED Spread 49.25 basis points -1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -51.0 basis points -.75 basis point
  • MBS  5/10 Treasury Spread  141.0 -2.0 basis points
  • Bloomberg US Agg CMBS Avg OAS 132.0 +2.0 basis points
  • Avg. Auto ABS OAS 1.22 +4.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.62 +.59%
  • 3-Month T-Bill Yield 4.16% +2.0 basis points
  • Yield Curve -52.5 basis points (2s/10s) -4.0 basis points
  • China Iron Ore Spot 92.5 USD/Metric Tonne +3.1%
  • Dutch TTF Nat Gas(European benchmark) 98.5 euros/megawatt-hour -13.2%
  • Citi US Economic Surprise Index 8.9 -4.3 points
  • Citi Eurozone Economic Surprise Index 8.9 -.1 point
  • Citi Emerging Markets Economic Surprise Index 4.0 +2.3 points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 230.90 -.16:  Growth Rate +11.6% -.1 percentage point, P/E 17.3 +.3
  • Bloomberg US Financial Conditions Index -.94 +6.0 basis points
  • US Atlanta Fed GDPNow Forecast +4.0% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +5.02% unch.: CPI YoY +7.62% unch.
  • 10-Year TIPS Spread 2.41 +1.0 basis point
  • Highest target rate probability for Feb. 1st FOMC meeting: 50.8%(-3.0 percentage points) chance of 4.5%-4.75%. Highest target rate probability for March 22nd meeting: 47.2%(-1.3 percentage points) chance of 4.75%-5.0%.
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 -84.3%(-.6 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -153 open in Japan 
  • China A50 Futures: Indicating +114 open in China
  • DAX Futures: Indicating +100 open in Germany
Portfolio:
  • Higher:  On gains in my tech/commodity/medical sector longs
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure:  Moved to 75% Net Long

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