Friday, November 04, 2022

Stocks Slightly Higher into Afternoon on Diminished China Hard Landing Fears, Dollar Strength, Bargain-Hunting, Commodity/Restaurant Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume:  Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 25.0 -1.1%
  • DJIA Intraday % Swing 2.1%
  • Bloomberg Global Risk On/Risk Off Index 50.3 +2.4%
  • Euro/Yen Carry Return Index 150.5 +.9%
  • Emerging Markets Currency Volatility(VXY) 12.2 -.4%
  • CBOE S&P 500 Implied Correlation Index 50.2 -2.3% 
  • ISE Sentiment Index 89.0 -5.0 points
  • Total Put/Call .99 -5.7%
  • NYSE Arms .80 +15.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 92.53 -1.2%
  • US Energy High-Yield OAS 360.18 -1.4%
  • Bloomberg TRACE # Distressed Bonds Traded 500.0 +18.0
  • European Financial Sector CDS Index 119.17 -3.8% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 365.61 -1.6%
  • Italian/German 10Y Yld Spread 217.0 basis points unch.
  • Asia Ex-Japan Investment Grade CDS Index 214.20 -3.2%
  • Emerging Market CDS Index 283.44 -4.6%
  • China Corp. High-Yield Bond USD ETF(KHYB) 23.91 -.13%
  • 2-Year Swap Spread 36.5 basis points -1.75 basis points
  • TED Spread 41.0 basis points +5.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -53.75 basis points +2.25 basis points
  • MBS  5/10 Treasury Spread  171.0 -1.0 basis point
  • Bloomberg US Agg CMBS Avg OAS 131.0 -1.0 basis point
  • Avg. Auto ABS OAS 1.13 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 46.71 +.82%
  • 3-Month T-Bill Yield 4.11% unch.
  • Yield Curve -50.25 basis points (2s/10s) +7.5 basis points
  • China Iron Ore Spot 86.7 USD/Metric Tonne +4.9%
  • Dutch TTF Nat Gas(European benchmark) 115.0 euros/megawatt-hour -8.3%
  • Citi US Economic Surprise Index 18.9 +4.8 points
  • Citi Eurozone Economic Surprise Index 9.2 +1.0 point
  • Citi Emerging Markets Economic Surprise Index 1.7 -2.1 points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 231.66 -.28:  Growth Rate +12.1% -.2 percentage point, P/E 16.1 unch.
  • Bloomberg US Financial Conditions Index .97 +7.0 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 2.46 +5.0 basis points
  • Highest target rate probability for Feb. 1st FOMC meeting: 51.1%(+4.1 percentage points) chance of 4.75%-5.0%. Highest target rate probability for March 22nd meeting: 45.9%(+4.8 percentage points) chance of 5.0%-5.25%.
US Covid-19:
  • 84 new infections/100K people(last 7 days total). 4.8%(+.4 percentage point) of 1/14/22 peak(1,740) +7/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -84.8%(-.0 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating +119 open in Japan 
  • China A50 Futures: Indicating +101 open in China
  • DAX Futures: Indicating -53 open in Germany
Portfolio:
  • Slightly Lower:  On losses in my emerging market shorts
  • Disclosed Trades:  None
  • Market Exposure:  25% Net Long

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