Tuesday, November 08, 2022

Stocks Reversing Lower into Afternoon on Crypto Crash, US Policy-Induced Stagflation Fears, US Voting Irregularity Concerns, Consumer Discretionary/Energy Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume:  Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 24.9 +2.1%
  • DJIA Intraday % Swing 1.5%
  • Bloomberg Global Risk On/Risk Off Index 49.8 -4.0%
  • Euro/Yen Carry Return Index 151.3 -.23%
  • Emerging Markets Currency Volatility(VXY) 12.2 -.33%
  • CBOE S&P 500 Implied Correlation Index 50.3 +2.6% 
  • ISE Sentiment Index 99.0 -16.0 points
  • Total Put/Call 1.01 +14.8%
  • NYSE Arms 1.20 +11.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 88.3 -.41%
  • US Energy High-Yield OAS 360.91 +1.9%
  • Bloomberg TRACE # Distressed Bonds Traded 478.0 -20.0
  • European Financial Sector CDS Index 114.20 -1.5% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 355.0 -.2%
  • Italian/German 10Y Yld Spread 211.0 basis points -4.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 194.33 -1.9%
  • Emerging Market CDS Index 270.52 -.01%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.0 +.50%
  • 2-Year Swap Spread 36.0 basis points +1.0 basis point
  • TED Spread 40.75 basis points -4.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -55.75 basis points -2.5 basis points
  • MBS  5/10 Treasury Spread  162.0 -5.0 basis points
  • Bloomberg US Agg CMBS Avg OAS 129.0 -1.0 basis point
  • Avg. Auto ABS OAS 1.17 +2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.01 +.18%
  • 3-Month T-Bill Yield 4.14% +6.0 basis points
  • Yield Curve -54.25 basis points (2s/10s) -3.5 basis points
  • China Iron Ore Spot 88.5 USD/Metric Tonne +1.7%
  • Dutch TTF Nat Gas(European benchmark) 118.2 euros/megawatt-hour +7.8%
  • Citi US Economic Surprise Index 21.6 +.1 point
  • Citi Eurozone Economic Surprise Index 10.5 -.4 point
  • Citi Emerging Markets Economic Surprise Index 2.8 +1.6 points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 231.22 -.0:  Growth Rate +12.0% +.3 percentage point, P/E 16.5 +.0
  • Bloomberg US Financial Conditions Index .95 +2.0 basis points
  • US Atlanta Fed GDPNow Forecast +3.60% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +5.16% unch.: CPI YoY +8.09% unch.
  • 10-Year TIPS Spread 2.49 -4.0 basis points
  • Highest target rate probability for Feb. 1st FOMC meeting: 50.3%(-.2 percentage point) chance of 4.75%-5.0%. Highest target rate probability for March 22nd meeting: 45.5%(-1.5 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 -83.7%(+1.9 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -87 open in Japan 
  • China A50 Futures: Indicating -13 open in China
  • DAX Futures: Indicating -70 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my industrial sector longs and index hedges
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges
  • Market Exposure:  Moved to 50% Net Long

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