Thursday, February 16, 2023

Stocks Modestly Lower into Final Hour on US Policy-Induced Stagflation Fears, Less Dovish Fed Speak, Earnings Outlook Worries, Transport/Alt Energy Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume:  Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 18.7 +2.4%
  • DJIA Intraday % Swing .90%
  • Bloomberg Global Risk On/Risk Off Index 63.4 -.03%
  • Euro/Yen Carry Return Index 148.6 -.23%
  • Emerging Markets Currency Volatility(VXY) 10.7 unch.
  • CBOE S&P 500 Implied Correlation Index 32.1 +2.5% 
  • ISE Sentiment Index 113.0 -5.0 points
  • Total Put/Call .86 -5.5%
  • NYSE Arms .79 +6.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 71.7 +.97%
  • US Energy High-Yield OAS 367.7 +3.6%
  • Bloomberg TRACE # Distressed Bonds Traded 326.0 unch.
  • European Financial Sector CDS Index 83.8 -1.0% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 382.99 +.28%
  • Italian/German 10Y Yld Spread 186.0 basis points unch.
  • Asia Ex-Japan Investment Grade CDS Index 108.5 -1.0%
  • Emerging Market CDS Index 230.25 +1.2%
  • China Corp. High-Yield Bond USD ETF(KHYB) 27.6 +.09%
  • 2-Year Swap Spread 31.75 basis points -3.25 basis points
  • TED Spread 10.25 basis points -1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -8.0 +.25 basis point
  • MBS  5/10 Treasury Spread  142.0 -5.0 basis points
  • Bloomberg US Agg CMBS Avg OAS 100.0 -2.0 basis points
  • Avg. Auto ABS OAS .62 -4.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.7 -.07%
  • 3-Month T-Bill Yield 4.77% +2.0 basis points
  • China Iron Ore Spot 125.7 USD/Metric Tonne +.90%
  • Dutch TTF Nat Gas(European benchmark) 52.0 euros/megawatt-hour -4.9%
  • Citi US Economic Surprise Index 29.0 -7.0 points
  • Citi Eurozone Economic Surprise Index 81.2 -1.5 points
  • Citi Emerging Markets Economic Surprise Index 6.5 -.5 point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 223.96 -.10:  Growth Rate +.2% unch., P/E 18.4 unch.
  • S&P 500 Current Year Estimated Profit Margin 12.42% -2.0 basis points
  • Bloomberg US Financial Conditions Index .49 -3.0 basis points
  • Yield Curve -78.0 basis points (2s/10s) +4.0 basis points
  • US Atlanta Fed 1Q GDPNow Forecast +2.50% +8.0 basis points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.30% unch.: CPI YoY +6.24% unch.
  • 10-Year TIPS Spread 2.38 +3.0 basis points
  • Highest target rate probability for May 3rd FOMC meeting: 72.0%(+1.0 percentage points) chance of 5.0%-5.25%. Highest target rate probability for June 14th meeting: 45.8%(-.8 percentage point) chance of 5.25%-5.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -46 open in Japan 
  • China A50 Futures: Indicating -6 open in China
  • DAX Futures: Indicating +70 open in Germany
Portfolio:
  • Lower:  On losses in my industrial/tech sector longs and emerging market shorts
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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