Wednesday, February 15, 2023

Stocks Reversing Slightly Higher into Final Hour on US Soft-Landing Hopes, Meme Stock Frenzy, Loosening US Financial Conditions, Retail/Alt Energy Sector Strength

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) 18.3 -3.4%
  • DJIA Intraday % Swing .76%
  • Bloomberg Global Risk On/Risk Off Index 63.5 +1.2%
  • Euro/Yen Carry Return Index 148.9 +.27%
  • Emerging Markets Currency Volatility(VXY) 10.7 -4.7%
  • CBOE S&P 500 Implied Correlation Index 31.7 -2.3% 
  • ISE Sentiment Index 119.0 +18.0 points
  • Total Put/Call .85 -11.5%
  • NYSE Arms .73 -27.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 71.4 +.32%
  • US Energy High-Yield OAS 355.04 -.38%
  • Bloomberg TRACE # Distressed Bonds Traded 326.0 +1.0
  • European Financial Sector CDS Index 84.7 -1.1% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 381.9 +.2%
  • Italian/German 10Y Yld Spread 186.0 basis points +7.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 109.67 +.67%
  • Emerging Market CDS Index 227.6 +.41%
  • China Corp. High-Yield Bond USD ETF(KHYB) 27.5 -.38%
  • 2-Year Swap Spread 35.0 basis points +1.25 basis point
  • TED Spread 11.5 basis points -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -8.25 +.25 basis point
  • MBS  5/10 Treasury Spread  147.0 unch.
  • Bloomberg US Agg CMBS Avg OAS 102.0 unch.
  • Avg. Auto ABS OAS .66 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.7 -.56%
  • 3-Month T-Bill Yield 4.75% +2.0 basis points
  • China Iron Ore Spot 123.7 USD/Metric Tonne +.29%
  • Dutch TTF Nat Gas(European benchmark) 54.7 euros/megawatt-hour +4.5%
  • Citi US Economic Surprise Index 36.0 +12.4 points
  • Citi Eurozone Economic Surprise Index 82.7 -3.4 points
  • Citi Emerging Markets Economic Surprise Index 7.0 +.9 point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 224.06 +.11:  Growth Rate +.2% +.1 percentage point, P/E 18.4 +.1
  • S&P 500 Current Year Estimated Profit Margin 12.44% +1.0 basis point
  • Bloomberg US Financial Conditions Index .50 +7.0 basis points
  • Yield Curve -82.0 basis points (2s/10s) +3.25 basis points
  • US Atlanta Fed 1Q GDPNow Forecast +2.42% +26.0 basis points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.30% unch.: CPI YoY +6.24% unch.
  • 10-Year TIPS Spread 2.35 +4.0 basis points
  • Highest target rate probability for May 3rd FOMC meeting: 71.0%(-4.3 percentage points) chance of 5.0%-5.25%. Highest target rate probability for June 14th meeting: 46.6%(-5.1 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 -83.4%(+0.0 percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating +134 open in Japan 
  • China A50 Futures: Indicating +43 open in China
  • DAX Futures: Indicating +83 open in Germany
Portfolio:
  • Higher:  On gains in my industrial/tech/medical sector longs and emerging market shorts
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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