Thursday, January 05, 2023

Stocks Falling into Final Hour on US Policy-Induced Stagflation Fears, Rising Fed Rate-Hike Odds, Dollar Strength, Tech/REIT Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume:  Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 22.6 +2.5%
  • DJIA Intraday % Swing 1.15%
  • Bloomberg Global Risk On/Risk Off Index 55.0 +1.8%
  • Euro/Yen Carry Return Index 145.3 -.2%
  • Emerging Markets Currency Volatility(VXY) 10.8 -.6%
  • CBOE S&P 500 Implied Correlation Index 43.2 +2.0% 
  • ISE Sentiment Index 84.0 -1.0 point
  • Total Put/Call 1.02 -9.7%
  • NYSE Arms .92 +31.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 79.2 +.57%
  • US Energy High-Yield OAS 387.66 -.21%
  • Bloomberg TRACE # Distressed Bonds Traded 315.0 +32.0
  • European Financial Sector CDS Index 94.4 +1.5% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 437.6 -2.6%
  • Italian/German 10Y Yld Spread 202.0 basis points +2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 120.0 -2.6%
  • Emerging Market CDS Index 235.05 +1.7%
  • China Corp. High-Yield Bond USD ETF(KHYB) 27.65 +1.02%
  • 2-Year Swap Spread 28.75 basis points +.75 basis point
  • TED Spread 25.0 basis points -3.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -16.0 basis points -.5 basis point
  • MBS  5/10 Treasury Spread  146.0 +2.0 basis points
  • Bloomberg US Agg CMBS Avg OAS 116.0 unch.
  • Avg. Auto ABS OAS .81 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.46 -.14%
  • 3-Month T-Bill Yield 4.60% +10.0 basis points
  • China Iron Ore Spot 114.2 USD/Metric Tonne -.8%
  • Dutch TTF Nat Gas(European benchmark) 69.4 euros/megawatt-hour +6.7%
  • Citi US Economic Surprise Index 9.1 +9.6 points
  • Citi Eurozone Economic Surprise Index 75.9 -.7 point
  • Citi Emerging Markets Economic Surprise Index -24.1 -.9 point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 230.06 +.27:  Growth Rate +11.4% +.1 percentage point, P/E 16.6 -.2
  • Bloomberg US Financial Conditions Index -.24 +14.0 basis points
  • Yield Curve -73.5 basis points (2s/10s) -6.25 basis points
  • US Atlanta Fed GDPNow Forecast +3.76% -15.0 basis points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.52% unch.: CPI YoY +6.64% unch.
  • 10-Year TIPS Spread 2.22 -1.0 basis point
  • Highest target rate probability for March 22nd FOMC meeting: 59.3%(-3.5 percentage points) chance of 4.75%-5.0%. Highest target rate probability for May 3rd meeting: 44.1%(+4.3 percentage points) chance of 5.0%-5.25%.
US Covid-19:
  • 119 new infections/100K people(last 7 days total). 6.8%(-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 -69.9%(+0.0 percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -60 open in Japan 
  • China A50 Futures: Indicating +74 open in China
  • DAX Futures: Indicating +88 open in Germany
Portfolio:
  • Higher:  On gains in my commodity sector longs, index hedges and emerging market shorts
  • Disclosed Trades:  None
  • Market Exposure: 25% Net Long

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