Thursday, December 22, 2022

Stocks Falling Substantially into Final Hour on Senate Passage of Stagflationary Omnibus Spending Bill, Earnings Outlook Worries, China Hard-Landing Fears, Tech/Energy Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Every Sector Declining
  • Volume:  Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 23.7 +17.8%
  • DJIA Intraday % Swing 2.02%
  • Bloomberg Global Risk On/Risk Off Index 52.1 -5.7%
  • Euro/Yen Carry Return Index 145.1 -.19%
  • Emerging Markets Currency Volatility(VXY) 10.6 +.2%
  • CBOE S&P 500 Implied Correlation Index 46.1 +5.6% 
  • ISE Sentiment Index 70.0 -28.0 points
  • Total Put/Call 1.25 -17.8%
  • NYSE Arms 1.04 +112.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 83.7 +1.8%
  • US Energy High-Yield OAS 395.6 +2.6%
  • Bloomberg TRACE # Distressed Bonds Traded 384.0 -26.0
  • European Financial Sector CDS Index 104.63 +.72% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 449.09 -.69%
  • Italian/German 10Y Yld Spread 212.0 basis points unch.
  • Asia Ex-Japan Investment Grade CDS Index 133.8 +.31%
  • Emerging Market CDS Index 240.26 +1.6%
  • China Corp. High-Yield Bond USD ETF(KHYB) 27.33 -.38%
  • 2-Year Swap Spread 29.25 basis points -2.25 basis points
  • TED Spread 47.0 basis points +2.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -30.25 basis points -2.5 basis points
  • MBS  5/10 Treasury Spread  140.0 +7.0 basis points
  • Bloomberg US Agg CMBS Avg OAS 120.0 +1.0 basis point
  • Avg. Auto ABS OAS .96 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.8 +.3%
  • 3-Month T-Bill Yield 4.30% unch.
  • China Iron Ore Spot 109.4 USD/Metric Tonne -1.3%
  • Dutch TTF Nat Gas(European benchmark) 92.20 euros/megawatt-hour -5.7%
  • Citi US Economic Surprise Index -6.40 +1.5 points
  • Citi Eurozone Economic Surprise Index 68.5 +.3 point
  • Citi Emerging Markets Economic Surprise Index -19.3 +.1 point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 229.73 +.13:  Growth Rate +11.3% -.1 percentage point, P/E 16.6 -.3
  • Bloomberg US Financial Conditions Index -.49 -5.0 basis points
  • Yield Curve -59.25 basis points (2s/10s) -5.25 basis points
  • US Atlanta Fed GDPNow Forecast +2.73% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.72% unch.: CPI YoY +6.69% unch.
  • 10-Year TIPS Spread 2.20 -9.0 basis points
  • Highest target rate probability for March 22nd FOMC meeting: 55.7%(+3.0 percentage points) chance of 4.75%-5.0%. Highest target rate probability for May 3rd meeting: 48.3%(-.1 percentage point) chance of 4.75%-5.0%.
US Covid-19:
  • 140 new infections/100K people(last 7 days total). 8.0%(+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 -75.4%(+1.0 percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -372 open in Japan 
  • China A50 Futures: Indicating -61 open in China
  • DAX Futures: Indicating +69 open in Germany
Portfolio:
  • Slightly Lower:  On losses in my index hedges and emerging market shorts
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges and to my emerging market shorts, then covered some
  • Market Exposure: Moved to 25% Net Long

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