Wednesday, December 14, 2022

Stocks Slightly Higher into Final Hour on Less Hawkish Fed Hopes, Dollar Weakness, Short-Covering, Biotech/Pharma Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume:  Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 22.5 -.4%
  • DJIA Intraday % Swing 1.38%
  • Bloomberg Global Risk On/Risk Off Index 48.5 +.3%
  • Euro/Yen Carry Return Index 149.4 +.21%
  • Emerging Markets Currency Volatility(VXY) 10.5 -3.2%
  • CBOE S&P 500 Implied Correlation Index 42.2 -1.4% 
  • ISE Sentiment Index 95.0 -3.0 points
  • Total Put/Call 1.44 +54.8%
  • NYSE Arms 1.28 -14.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 76.22 +.06%
  • US Energy High-Yield OAS 371.07 +.90%
  • Bloomberg TRACE # Distressed Bonds Traded 430.0 -2.0
  • European Financial Sector CDS Index 92.3 -.5% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 428.91 -2.6%
  • Italian/German 10Y Yld Spread 193.0 basis points +5.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 125.3 -2.9%
  • Emerging Market CDS Index 229.49 +3.3%
  • China Corp. High-Yield Bond USD ETF(KHYB) 27.4 -.26%
  • 2-Year Swap Spread 29.25 basis points -1.0 basis point
  • TED Spread 42.25 basis points -8.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -34.25 basis points unch.
  • MBS  5/10 Treasury Spread  142.0 unch.
  • Bloomberg US Agg CMBS Avg OAS 123.0 -2.0 basis points
  • Avg. Auto ABS OAS 1.14 -2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.9 -.08%
  • 3-Month T-Bill Yield 4.34% +7.0 basis points
  • China Iron Ore Spot 108.90 USD/Metric Tonne +.2%
  • Dutch TTF Nat Gas(European benchmark) 131.75 euros/megawatt-hour -4.0%
  • Citi US Economic Surprise Index 9.9 -3.3 points
  • Citi Eurozone Economic Surprise Index 42.1 +.3 point
  • Citi Emerging Markets Economic Surprise Index -10.6 +1.6 points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 230.12 -.12:  Growth Rate +11.3% +.1 percentage point, P/E 17.4 unch.
  • Bloomberg US Financial Conditions Index -.53 +16.0.0 basis points
  • Yield Curve -75.75 basis points (2s/10s) -3.0 basis points
  • US Atlanta Fed GDPNow Forecast +3.19% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.72% -15.0 basis points: CPI YoY +6.77% -72.0 basis points
  • 10-Year TIPS Spread 2.20 -7.0 basis points
  • Highest target rate probability for March 22nd FOMC meeting: 46.5%(+7.2 percentage points) chance of 4.75%-5.0%. Highest target rate probability for May 3rd meeting: 42.8%(+11.4 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 -76.5%(+1.7 percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -246 open in Japan 
  • China A50 Futures: Indicating +28 open in China
  • DAX Futures: Indicating -71 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my medical/utility sector longs and index hedges
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges, then covered some
  • Market Exposure: 50% Net Long

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