Monday, December 05, 2022

Stocks Falling Substantially into Final Hour on US Policy-Induced Stagflation Fears, Diminishing Fed Pivot Hopes, Technical Selling, Commodity/Financial Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Every Sector Declining
  • Volume:  Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 21.1 +10.6%
  • DJIA Intraday % Swing 1.31%
  • Bloomberg Global Risk On/Risk Off Index 49.8 -.17%
  • Euro/Yen Carry Return Index 148.2 +1.2%
  • Emerging Markets Currency Volatility(VXY) 11.7 +.17%
  • CBOE S&P 500 Implied Correlation Index 41.7 +3.1% 
  • ISE Sentiment Index 103.0 -8.0 points
  • Total Put/Call .90 +7.1%
  • NYSE Arms 2.11 +137.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 80.60 +4.0%
  • US Energy High-Yield OAS 371.61 +.29%
  • Bloomberg TRACE # Distressed Bonds Traded 409.0 +28.0
  • European Financial Sector CDS Index 99.49 +1.7% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 438.79 -5.2%
  • Italian/German 10Y Yld Spread 187.0 basis points -4.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 127.21 -2.97%
  • Emerging Market CDS Index 241.75 +4.61%
  • China Corp. High-Yield Bond USD ETF(KHYB) 27.29 +.99%
  • 2-Year Swap Spread 31.25 basis points -.25 basis point
  • TED Spread 48.5 basis points +3.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -33.25 basis points +1.5 basis points
  • MBS  5/10 Treasury Spread  142.0 +7.0 basis points
  • Bloomberg US Agg CMBS Avg OAS 124.0 -2.0 basis points
  • Avg. Auto ABS OAS 1.20 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.69 -.46%
  • 3-Month T-Bill Yield 4.28% -2.0 basis points
  • Yield Curve -79.0 basis points (2s/10s) -1.75 basis points
  • China Iron Ore Spot 106.50 USD/Metric Tonne -1.7%
  • Dutch TTF Nat Gas(European benchmark) 134.9 euros/megawatt-hour -.5%
  • Citi US Economic Surprise Index 19.7 +6.8 points
  • Citi Eurozone Economic Surprise Index 31.5 +4.0 points
  • Citi Emerging Markets Economic Surprise Index .6 +.4 point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 230.14 -.01:  Growth Rate +11.3% unch, P/E 17.3 -.3
  • Bloomberg US Financial Conditions Index -.46 -4.0 basis points
  • US Atlanta Fed GDPNow Forecast +2.84% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.87% unch.: CPI YoY +7.49% unch.
  • 10-Year TIPS Spread 2.39 -3.0 basis points
  • Highest target rate probability for Feb. 1st FOMC meeting: 49.6%(+4.7 percentage points) chance of 4.75%-5.0%. Highest target rate probability for March 22nd meeting: 41.0%(+8.7 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 -79.4%(+1.1 percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -190 open in Japan 
  • China A50 Futures: Indicating -85 open in China
  • DAX Futures: Indicating -23 open in Germany
Portfolio:
  • Lower:  On losses in my tech/medical/industrial/commodity sector longs
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  • Market Exposure: Moved to 25% Net Long

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