Friday, January 13, 2023

Stocks Reversing Slightly Higher into Afternoon on Earnings Optimism, US Soft-Landing Hopes, Short-Covering, Metals & Mining/Gambling Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume:  Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 18.2 -3.6%
  • DJIA Intraday % Swing 1.04%
  • Bloomberg Global Risk On/Risk Off Index 57.2 +.7%
  • Euro/Yen Carry Return Index 143.6 -1.4%
  • Emerging Markets Currency Volatility(VXY) 10.6 -.9%
  • CBOE S&P 500 Implied Correlation Index 35.7 -1.4% 
  • ISE Sentiment Index 109.0 +7.0
  • Total Put/Call .88 -9.3%
  • NYSE Arms 1.06 -9.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 70.7 -.49%
  • US Energy High-Yield OAS 350.05 -2.11%
  • Bloomberg TRACE # Distressed Bonds Traded 335.0 -6.0
  • European Financial Sector CDS Index 88.3 +2.2% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 380.3 -2.2%
  • Italian/German 10Y Yld Spread 184.0 basis points unch.
  • Asia Ex-Japan Investment Grade CDS Index 107.4 -1.9%
  • Emerging Market CDS Index 227.05 +.66%
  • China Corp. High-Yield Bond USD ETF(KHYB) 27.79 -.57%
  • 2-Year Swap Spread 27.0 basis points -2.0 basis points
  • TED Spread 24.0 basis points +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -15.75 -1.25 basis points
  • MBS  5/10 Treasury Spread  130.0 +2.0 basis points
  • Bloomberg US Agg CMBS Avg OAS 114.0 -1.0 basis point
  • Avg. Auto ABS OAS .78 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 48.5 unch.
  • 3-Month T-Bill Yield 4.59% +2.0 basis points
  • China Iron Ore Spot 122.3 USD/Metric Tonne -2.6%
  • Dutch TTF Nat Gas(European benchmark) 64.8 euros/megawatt-hour -3.0%
  • Citi US Economic Surprise Index -6.1 +3.6 points
  • Citi Eurozone Economic Surprise Index 80.3 +2.5 points
  • Citi Emerging Markets Economic Surprise Index -16.5 +.3 point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 229.08 +.04:  Growth Rate +10.9% unch., P/E 17.4 unch.
  • Bloomberg US Financial Conditions Index .19 +10.0 basis points
  • Yield Curve -72.5 basis points (2s/10s) -1.75 basis points
  • US Atlanta Fed GDPNow Forecast +4.07% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.45% unch.: CPI YoY +6.31% unch.
  • 10-Year TIPS Spread 2.20 -1.0 basis point
  • Highest target rate probability for March 22nd FOMC meeting: 78.9%(+2.3 percentage points) chance of 4.75%-5.0%. Highest target rate probability for May 3rd meeting: 53.6%(-1.7 percentage point) chance of 4.75%-5.0%.
US Covid-19:
  • 126 new infections/100K people(last 7 days total). 7.2%(-.8 percentage point) of 1/14/22 peak(1,740) -14/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -73.1%(-.9 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -334 open in Japan 
  • China A50 Futures: Indicating +115 open in China
  • DAX Futures: Indicating +93 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my tech/commodity/medical sector longs
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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