Monday, December 19, 2022

Stocks Reversing Substantially Lower into Final Hour on US Policy-Induced Stagflation Fears, Year-End Tax Loss Selling, Technicals, Alt Energy/Gambling Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume:  Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 22.3 -1.4%
  • DJIA Intraday % Swing 1.18%
  • Bloomberg Global Risk On/Risk Off Index 49.9 +1.0%
  • Euro/Yen Carry Return Index 150.3 +.30%
  • Emerging Markets Currency Volatility(VXY) 10.7 +1.1%
  • CBOE S&P 500 Implied Correlation Index 46.6 +.8% 
  • ISE Sentiment Index 96.0 -4.0 points
  • Total Put/Call .95 -29.1%
  • NYSE Arms 1.11 -24.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 85.4 +3.2%
  • US Energy High-Yield OAS 397.31 +.7%
  • Bloomberg TRACE # Distressed Bonds Traded 419.0 +3.0
  • European Financial Sector CDS Index 106.6 +.14% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 451.17 +4.4%
  • Italian/German 10Y Yld Spread 218.0 basis points +4.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 131.60 +1.9%
  • Emerging Market CDS Index 247.39 +2.1%
  • China Corp. High-Yield Bond USD ETF(KHYB) 27.2 -.44%
  • 2-Year Swap Spread 29.75 basis points +.25 basis point
  • TED Spread 49.5 basis points +4.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -31.5 basis points -1.0 basis point
  • MBS  5/10 Treasury Spread  136.0 +2.0 basis points
  • Bloomberg US Agg CMBS Avg OAS 121.0 unch.
  • Avg. Auto ABS OAS 1.02 -4.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.6 -.08%
  • 3-Month T-Bill Yield 4.24% -1.0 basis point
  • China Iron Ore Spot 107.75 USD/Metric Tonne +.2%
  • Dutch TTF Nat Gas(European benchmark) 106.6 euros/megawatt-hour -7.7%
  • Citi US Economic Surprise Index 5.7 -2.8 points
  • Citi Eurozone Economic Surprise Index 66.7 +4.9 points
  • Citi Emerging Markets Economic Surprise Index -19.7 -.6 point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 229.8 -.32:  Growth Rate +11.1% -.2 percentage point, P/E 16.6 -.4
  • Bloomberg US Financial Conditions Index -.54 +6.0 basis points
  • Yield Curve -68.0 basis points (2s/10s) +2.25 basis points
  • US Atlanta Fed GDPNow Forecast +2.78% -41.0 basis points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.87% +15.0 basis points: CPI YoY +7.49% +72.0 basis points
  • 10-Year TIPS Spread 2.16 -4.0 basis points
  • Highest target rate probability for March 22nd FOMC meeting: 52.4%(-2.1 percentage points) chance of 4.75%-5.0%. Highest target rate probability for May 3rd meeting: 46.3%(+16.3 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 -79.0%(-2.5 percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -140 open in Japan 
  • China A50 Futures: Indicating -31 open in China
  • DAX Futures: Indicating +8 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my index hedges
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges and then covered some
  • Market Exposure: Moved to 25% Net Long

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