Friday, December 23, 2022

Stocks Modestly Higher into Final Hour on Seasonality, Technical Buying, Energy/Retail Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Slightly Lower
  • Sector Performance: Mixed
  • Volume:  Light
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 21.1 -4.0%
  • DJIA Intraday % Swing 1.23%
  • Bloomberg Global Risk On/Risk Off Index 54.5 +2.6%
  • Euro/Yen Carry Return Index 146.0 +.6%
  • Emerging Markets Currency Volatility(VXY) 10.8 +.7%
  • CBOE S&P 500 Implied Correlation Index 44.3 -2.2% 
  • ISE Sentiment Index 98.0 +23.0 points
  • Total Put/Call .97 -22.4%
  • NYSE Arms .95 +20.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 81.1 -1.6%
  • US Energy High-Yield OAS 382.6 -1.5%
  • Bloomberg TRACE # Distressed Bonds Traded 362.0 -22.0
  • European Financial Sector CDS Index 103.3 -1.3% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 449.09 unch.
  • Italian/German 10Y Yld Spread 210.0 basis points -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 133.4 +.09%
  • Emerging Market CDS Index 240.26 unch.
  • China Corp. High-Yield Bond USD ETF(KHYB) 27.33 unch.
  • 2-Year Swap Spread 28.5 basis points -.75 basis points
  • TED Spread 45.0 basis points -2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -30.5 basis points -.25 basis point
  • MBS  5/10 Treasury Spread  139.0 -1.0 basis point
  • Bloomberg US Agg CMBS Avg OAS 119.0 -1.0 basis point
  • Avg. Auto ABS OAS .91 -5.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.8 +.01%
  • 3-Month T-Bill Yield 4.28% -2.0 basis points
  • China Iron Ore Spot 110.4 USD/Metric Tonne -.1%
  • Dutch TTF Nat Gas(European benchmark) 84.97 euros/megawatt-hour -7.6%
  • Citi US Economic Surprise Index -5.80 +.6 point
  • Citi Eurozone Economic Surprise Index 69.0 +.5 point
  • Citi Emerging Markets Economic Surprise Index -19.8 -.5 point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 229.73 +.00:  Growth Rate +11.3% -.0 percentage point, P/E 16.7 +.1
  • Bloomberg US Financial Conditions Index -.42 +7.0 basis points
  • Yield Curve -57.75 basis points (2s/10s) +1.5 basis points
  • US Atlanta Fed GDPNow Forecast +3.66% +93.0 basis points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.52% -20.0 basis points: CPI YoY +6.69% unch.
  • 10-Year TIPS Spread 2.23 +3.0 basis points
  • Highest target rate probability for March 22nd FOMC meeting: 55.7%(+0.0 percentage points) chance of 4.75%-5.0%. Highest target rate probability for May 3rd meeting: 47.7%(-.1 percentage point) chance of 4.75%-5.0%.
US Covid-19:
  • 154 new infections/100K people(last 7 days total). 8.9%(+.9 percentage point) of 1/14/22 peak(1,740) +14/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -75.0%(+.4 percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -20 open in Japan 
  • China A50 Futures: Indicating -4 open in China
  • DAX Futures: Indicating +59 open in Germany
Portfolio:
  • Higher:  On gains in my commodity/industrial/utility sector longs and emerging market shorts
  • Disclosed Trades:  None
  • Market Exposure: 25% Net Long

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