Thursday, December 29, 2022

Stocks Substantially Higher into Final Hour on Year-End Window Dressing, Short-Covering, Dollar Weakness, Tech/Alt Energy Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Every Sector Rising
  • Volume:  Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 21.5 -3.1%
  • DJIA Intraday % Swing .82%
  • Bloomberg Global Risk On/Risk Off Index 56.4 +.9%
  • Euro/Yen Carry Return Index 146.99 -.51%
  • Emerging Markets Currency Volatility(VXY) 10.9 +.5%
  • CBOE S&P 500 Implied Correlation Index 44.7 -.9% 
  • ISE Sentiment Index 95.0 +6.0 points
  • Total Put/Call 1.32 -32.3%
  • NYSE Arms .61 -57.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 81.8 -2.1%
  • US Energy High-Yield OAS 395.8 +.61%
  • Bloomberg TRACE # Distressed Bonds Traded 299.0 +1.0
  • European Financial Sector CDS Index 100.73 -1.9% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 449.09 n/a
  • Italian/German 10Y Yld Spread 209.0 basis points -4.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 132.56 +.55%
  • Emerging Market CDS Index 237.88 -.87%
  • China Corp. High-Yield Bond USD ETF(KHYB) 27.04 +.86%
  • 2-Year Swap Spread 30.25 basis points -1.0 basis point
  • TED Spread 28.5 basis points -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -19.5 basis points +6.75 basis points
  • MBS  5/10 Treasury Spread  140.0 -4.0 basis points
  • Bloomberg US Agg CMBS Avg OAS 118.0 unch.
  • Avg. Auto ABS OAS .88 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.6 +.11%
  • 3-Month T-Bill Yield 4.39% -6.0 basis points
  • China Iron Ore Spot 114.9 USD/Metric Tonne -.17%
  • Dutch TTF Nat Gas(European benchmark) 83.8 euros/megawatt-hour +3.1%
  • Citi US Economic Surprise Index -4.20 +.2 point
  • Citi Eurozone Economic Surprise Index 68.1 -.6 point
  • Citi Emerging Markets Economic Surprise Index -20.2 -1.2 points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 229.73 -.14:  Growth Rate +10.8% -.1 percentage point, P/E 16.8 +.3
  • Bloomberg US Financial Conditions Index -.29 -3.0 basis points
  • Yield Curve -54.0 basis points (2s/10s) -6.0 basis points
  • US Atlanta Fed GDPNow Forecast +3.66% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.52% unch.: CPI YoY +6.64% unch.
  • 10-Year TIPS Spread 2.29 +1.0 basis point
  • Highest target rate probability for March 22nd FOMC meeting: 62.2%(+3.7 percentage points) chance of 4.75%-5.0%. Highest target rate probability for May 3rd meeting: 46.5%(+1.2 percentage points) chance of 4.75%-5.0%.
US Covid-19:
  • 154 new infections/100K people(last 7 days total). 8.9%(+.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 -74.1%(+.0 percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating +197 open in Japan 
  • China A50 Futures: Indicating +117 open in China
  • DAX Futures: Indicating +50 open in Germany
Portfolio:
  • Higher:  On gains in my tech/utility/industrial/medical/commodity sector longs
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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