Tuesday, December 06, 2022

Stocks Falling Substantially into Final Hour on US Policy-Induced Stagflation Fears, Earnings Outlook Worries, Technical Selling, Tech/Alt Energy Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume:  Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 21.9 +5.5%
  • DJIA Intraday % Swing 1.54%
  • Bloomberg Global Risk On/Risk Off Index 47.6 -4.4%
  • Euro/Yen Carry Return Index 148.25 -.08%
  • Emerging Markets Currency Volatility(VXY) 11.7 +1.0%
  • CBOE S&P 500 Implied Correlation Index 42.8 +3.9% 
  • ISE Sentiment Index 99.0 -6.0 points
  • Total Put/Call 1.02 +9.7%
  • NYSE Arms .94 -61.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 83.0 +4.0%
  • US Energy High-Yield OAS 381.7 +3.1%
  • Bloomberg TRACE # Distressed Bonds Traded 428.0 +19.0
  • European Financial Sector CDS Index 101.1 +1.7% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 431.5 -1.7%
  • Italian/German 10Y Yld Spread 185.0 basis points -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 128.0 +1.0%
  • Emerging Market CDS Index 244.1 +1.4%
  • China Corp. High-Yield Bond USD ETF(KHYB) 27.3 +.42%
  • 2-Year Swap Spread 31.5 basis points +.25 basis point
  • TED Spread 45.0 basis points -3.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -32.25 basis points +1.0 basis point
  • MBS  5/10 Treasury Spread  150.0 +8.0 basis points
  • Bloomberg US Agg CMBS Avg OAS 124.0 unch.
  • Avg. Auto ABS OAS 1.19 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.7 -.06%
  • 3-Month T-Bill Yield 4.26% -2.0 basis points
  • Yield Curve -83.0 basis points (2s/10s) -4.0 basis points
  • China Iron Ore Spot 108.60 USD/Metric Tonne +.4%
  • Dutch TTF Nat Gas(European benchmark) 141.3 euros/megawatt-hour +4.9%
  • Citi US Economic Surprise Index 18.8 -.9 point
  • Citi Eurozone Economic Surprise Index 33.1 +1.6 points
  • Citi Emerging Markets Economic Surprise Index .3 -.3 point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 230.25 +.11:  Growth Rate +11.3% unch, P/E 17.1 -.2
  • Bloomberg US Financial Conditions Index -.52 -3.0 basis points
  • US Atlanta Fed GDPNow Forecast +3.37% +53.0 bps
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.87% unch.: CPI YoY +7.49% unch.
  • 10-Year TIPS Spread 2.34 -5.0 basis points
  • Highest target rate probability for Feb. 1st FOMC meeting: 50.6%(-.5 percentage point) chance of 4.75%-5.0%. Highest target rate probability for March 22nd meeting: 41.4%(+1.2 percentage points) chance of 4.75%-5.0%.
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 -340 open in Japan 
  • China A50 Futures: Indicating -24 open in China
  • DAX Futures: Indicating -77 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my utility longs, index hedges and emerging market shorts
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges, then covered some of them
  • Market Exposure: 25% Net Long

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