Tuesday, November 29, 2022

Stocks Slightly Lower into Afternoon on Higher Long-Term Rates, Earnings Outlook Worries, US Economic Data, Tech/Utility Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Around Even
  • Sector Performance: Mixed
  • Volume:  Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 22.1 -.3%
  • DJIA Intraday % Swing .8%
  • Bloomberg Global Risk On/Risk Off Index 47.6 +1.5%
  • Euro/Yen Carry Return Index 147.9 -.33%
  • Emerging Markets Currency Volatility(VXY) 11.9 +.1%
  • CBOE S&P 500 Implied Correlation Index 42.5 -.8% 
  • ISE Sentiment Index 116.0 +42.0 points
  • Total Put/Call 1.01 -2.9%
  • NYSE Arms .54 -70.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 81.60 +.11%
  • US Energy High-Yield OAS 377.64 -.6%
  • Bloomberg TRACE # Distressed Bonds Traded 360.0 +11.0
  • European Financial Sector CDS Index 100.44 -1.6% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 447.63 +27.3%
  • Italian/German 10Y Yld Spread 190.0 basis points -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 141.63 -.22%
  • Emerging Market CDS Index 237.3 -1.92%
  • China Corp. High-Yield Bond USD ETF(KHYB) 26.6 +1.5%
  • 2-Year Swap Spread 32.0 basis points unch.
  • TED Spread 42.25 basis points -5.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -35.75 basis points +7.25 basis points
  • MBS  5/10 Treasury Spread  145.0 +3.0 basis points
  • Bloomberg US Agg CMBS Avg OAS 127.0 unch.
  • Avg. Auto ABS OAS 1.19 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.58 +.26%
  • 3-Month T-Bill Yield 4.30% +2.0 basis points
  • Yield Curve -74.5 basis points (2s/10s) +2.5 basis points
  • China Iron Ore Spot 99.6 USD/Metric Tonne -.35%
  • Dutch TTF Nat Gas(European benchmark) 129.25 euros/megawatt-hour +4.8%
  • Citi US Economic Surprise Index 14.0 -.2 point
  • Citi Eurozone Economic Surprise Index 34.9 -2.6 points
  • Citi Emerging Markets Economic Surprise Index 1.9 -.5 point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 229.75 +.10:  Growth Rate +11.1% unch., P/E 17.2 -.1
  • Bloomberg US Financial Conditions Index -.58 +5.0 basis points
  • US Atlanta Fed GDPNow Forecast +4.26% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +5.02% unch.: CPI YoY +7.49% -6.0 basis points
  • 10-Year TIPS Spread 2.26 -2.0 basis points
  • Highest target rate probability for Feb. 1st FOMC meeting: 50.8%(-1.8 percentage points) chance of 4.75%-5.0%. Highest target rate probability for March 22nd meeting: 39.7%(-2.3 percentage points) chance of 5.0%-5.25%.
US Covid-19:
  • 91 new infections/100K people(last 7 days total). 5.2%(+.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 -85.5%(-0.0 percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -73 open in Japan 
  • China A50 Futures: Indicating +52 open in China
  • DAX Futures: Indicating +59 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my commodity/industrial sector longs and index hedges
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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