Wednesday, February 22, 2023

Stocks Reversing Lower into Afternoon on US Policy-Induced Stagflation Fears, Less Dovish Fedspeak, Dollar Strength, Commodity/Road & Rail Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume:  Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 22.1 -3.3%
  • DJIA Intraday % Swing .55%
  • Bloomberg Global Risk On/Risk Off Index 60.8 +.44%
  • Euro/Yen Carry Return Index 148.90 -.4%
  • Emerging Markets Currency Volatility(VXY) 10.8 +.4%
  • CBOE S&P 500 Implied Correlation Index 37.3 -2.0% 
  • ISE Sentiment Index 133.0 +47.0 points
  • Total Put/Call 1.0 -3.9%
  • NYSE Arms 1.08 +3.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 76.12 -.41%
  • US Energy High-Yield OAS 388.99 +.15%
  • Bloomberg TRACE # Distressed Bonds Traded 303.0 -10.0
  • European Financial Sector CDS Index 90.17 -.24% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 410.51 +2.6%
  • Italian/German 10Y Yld Spread 194.0 basis points unch.
  • Asia Ex-Japan Investment Grade CDS Index 121.9 +2.0%
  • Emerging Market CDS Index 242.98 -1.8%
  • China Corp. High-Yield Bond USD ETF(KHYB) 27.09 +.02%
  • 2-Year Swap Spread 33.5 basis points +2.0 basis points
  • TED Spread 9.25 basis points -2.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -6.75 +1.0 basis point
  • MBS  5/10 Treasury Spread  146.0 -8.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 514.0 +9.0 basis points
  • Avg. Auto ABS OAS 60.0 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.59 +.06%
  • 3-Month T-Bill Yield 4.80% unch.
  • China Iron Ore Spot 131.2 USD/Metric Tonne +.9%
  • Dutch TTF Nat Gas(European benchmark) 50.6 euros/megawatt-hour +4.2%
  • Citi US Economic Surprise Index 32.6 -.1 point
  • Citi Eurozone Economic Surprise Index 67.6 -12.2 points
  • Citi Emerging Markets Economic Surprise Index 4.1 +1.0 point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 224.06 -.01:  Growth Rate +.2% unch., P/E 17.9 unch.
  • S&P 500 Current Year Estimated Profit Margin 12.40% -2.0 basis points
  • Bloomberg US Financial Conditions Index .18 -6.0 basis points
  • Yield Curve -77.25 basis points (2s/10s) +1.25 basis points
  • US Atlanta Fed 1Q GDPNow Forecast +2.50% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.30% unch.: CPI YoY +6.23% -1.0 basis point
  • 10-Year TIPS Spread 2.42 -1.0 basis point
  • Highest target rate probability for May 3rd FOMC meeting: 72.2%(-3.5 percentage points) chance of 5.0%-5.25%. Highest target rate probability for June 14th meeting: 56.9%(-1.4 percentage points) chance of 5.25%-5.5%.
US Covid-19:
  • 84 new infections/100K people(last 7 days total). 4.8%(-0.0 percentage point) of 1/14/22 peak(1,740) -0/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -83.3%(+.1 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -40 open in Japan 
  • China A50 Futures: Indicating -46 open in China
  • DAX Futures: Indicating +37 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my industrial/tech sector longs and emerging market shorts
  • Disclosed Trades:  None
  • Market Exposure: 25% Net Long

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