Monday, November 07, 2022

Stocks Rising into Final Hour on Pre-Election Positioning, Dollar Weakness, Bargain-Hunting, Tech/Energy Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume:  Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 24.5 -.5%
  • DJIA Intraday % Swing 1.2%
  • Bloomberg Global Risk On/Risk Off Index 51.9 +3.0%
  • Euro/Yen Carry Return Index 151.7 +.7%
  • Emerging Markets Currency Volatility(VXY) 12.3 +.2%
  • CBOE S&P 500 Implied Correlation Index 48.5 -3.4% 
  • ISE Sentiment Index 127.0 +42.0 points
  • Total Put/Call .88 -12.9%
  • NYSE Arms 1.30 +62.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 88.7 -2.2%
  • US Energy High-Yield OAS 356.50 -.8%
  • Bloomberg TRACE # Distressed Bonds Traded 498.0 -2.0
  • European Financial Sector CDS Index 115.88 -2.8% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 358.14 -.07%
  • Italian/German 10Y Yld Spread 215.0 basis points -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 194.33 -9.5%
  • Emerging Market CDS Index 271.05 -4.4%
  • China Corp. High-Yield Bond USD ETF(KHYB) 23.90 -.61%
  • 2-Year Swap Spread 35.0 basis points -1.5 basis points
  • TED Spread 45.0 basis points +4.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -53.25 basis points +.5 basis point
  • MBS  5/10 Treasury Spread  167.0 -4.0 basis points
  • Bloomberg US Agg CMBS Avg OAS 130.0 -1.0 basis point
  • Avg. Auto ABS OAS 1.15 +2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 46.89 +.42%
  • 3-Month T-Bill Yield 4.08% -3.0 basis points
  • Yield Curve -51.75 basis points (2s/10s) -1.5 basis points
  • China Iron Ore Spot 86.8 USD/Metric Tonne +.2%
  • Dutch TTF Nat Gas(European benchmark) 113.4 euros/megawatt-hour -1.2%
  • Citi US Economic Surprise Index 21.5 +2.6 points
  • Citi Eurozone Economic Surprise Index 10.9 +1.7 points
  • Citi Emerging Markets Economic Surprise Index 1.2 -.5 point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 231.22 -.44:  Growth Rate +11.7% -.4 percentage point, P/E 16.5 +.4
  • Bloomberg US Financial Conditions Index 1.01 -4.0 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 2.53 +7.0 basis points
  • Highest target rate probability for Feb. 1st FOMC meeting: 50.6%(-1.5 percentage points) chance of 4.75%-5.0%. Highest target rate probability for March 22nd meeting: 46.8%(+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 -85.6%(-.8 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating +168 open in Japan 
  • China A50 Futures: Indicating -10 open in China
  • DAX Futures: Indicating +49 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my industrial/tech/commodity/medical sector longs and emerging market shorts
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure:  Moved to 75% Net Long

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