Tuesday, November 01, 2022

Stocks Reversing Lower into Final Hour on US Policy-Induced Stagflation Fears, Earnings Outlook Worries, Overbought Technical Condition, Tech/Pharma Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume:  Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 25.7 -.7%
  • DJIA Intraday % Swing 1.50%
  • Bloomberg Global Risk On/Risk Off Index 46.5 +2.7%
  • Euro/Yen Carry Return Index 151.21 -.3%
  • Emerging Markets Currency Volatility(VXY) 12.5 -.9%
  • CBOE S&P 500 Implied Correlation Index 51.6 -.8% 
  • ISE Sentiment Index 70.0 -25.0 points
  • Total Put/Call .92 +1.1%
  • NYSE Arms .72 -35.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 88.51 -1.6%
  • US Energy High-Yield OAS 351.28 -1.64%
  • Bloomberg TRACE # Distressed Bonds Traded 471.0 +14.0
  • European Financial Sector CDS Index 120.26 -2.5% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 330.4 -.27%
  • Italian/German 10Y Yld Spread 213.0 basis points unch.
  • Asia Ex-Japan Investment Grade CDS Index 229.7 -.7%
  • Emerging Market CDS Index 285.17 -3.75%
  • China Corp. High-Yield Bond USD ETF(KHYB) 23.80 -1.08%
  • 2-Year Swap Spread 37.5 basis points +.25 basis point
  • TED Spread 34.75 basis points -4.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -54.75 basis points +.25 basis point
  • MBS  5/10 Treasury Spread  169.0 +1.0 basis point
  • Bloomberg US Agg CMBS Avg OAS 133.0 +3.0 basis points
  • Avg. Auto ABS OAS 1.10 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 46.60 +.20%
  • 3-Month T-Bill Yield 4.07% +1.0 basis point
  • Yield Curve -49.0 basis points (2s/10s) -5.75 basis points
  • China Iron Ore Spot 78.4 USD/Metric Tonne +1.9%
  • Dutch TTF Nat Gas(European benchmark) 116.6 euros/megawatt-hour -5.5%
  • Citi US Economic Surprise Index 12.4 +4.3 points
  • Citi Eurozone Economic Surprise Index 18.2 +9.2 points
  • Citi Emerging Markets Economic Surprise Index 4.4 -2.8 points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 231.99 -.31:  Growth Rate +12.9% -.2 percentage point, P/E 16.6 -.1 point
  • Bloomberg US Financial Conditions Index -1.06 -2.0 basis points
  • US Atlanta Fed GDPNow Forecast +2.60% -47.0 basis points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +5.16% unch.: CPI YoY +8.09% -2.0 basis points
  • 10-Year TIPS Spread 2.51 unch.
  • Highest target rate probability for December 14th FOMC meeting: 50.3%(+.6 percentage point) chance of 4.5%-4.75%. Highest target rate probability for February 1st meeting: 47.3%(+.1 percentage point) chance of 4.75%-5.0%.
US Covid-19:
  • 77 new infections/100K people(last 7 days total). 4.4%(+0.0 percentage points) of 1/14/22 peak(1,740) +0/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -84.7%(+1.3 percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -96 open in Japan 
  • China A50 Futures: Indicating -101 open in China
  • DAX Futures: Indicating +33 open in Germany
Portfolio:
  • Slightly Lower:  On losses in my tech sector longs and emerging market shorts
  • Disclosed Trades:  None
  • Market Exposure:  50% Net Long

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