Monday, March 06, 2023

Stocks Finish Slightly Higher on Loosening US Financial Conditions, Dollar Weakness, Technical Buying, Tech/Utility Sector Strength

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) 18.7 +1.2%
  • DJIA Intraday % Swing .56%
  • Bloomberg Global Risk On/Risk Off Index 66.8 -.1%
  • Euro/Yen Carry Return Index 151.09 +.42%
  • Emerging Markets Currency Volatility(VXY) 10.5 -.1%
  • CBOE S&P 500 Implied Correlation Index 34.4 +1.3% 
  • ISE Sentiment Index 96.0 +6.0 points
  • Total Put/Call .97 +7.8%
  • NYSE Arms 1.16 +58.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 70.5 -1.44%
  • US Energy High-Yield OAS 330.3 -.95%
  • Bloomberg TRACE # Distressed Bonds Traded 319.0 -4
  • European Financial Sector CDS Index 82.9 -3.2% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 402.8 +2.5%
  • Italian/German 10Y Yld Spread 183.0 basis basis points +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 110.25 -1.25%
  • Emerging Market CDS Index 226.05 -.19%
  • China Corp. High-Yield Bond USD ETF(KHYB) 27.5 +.7%
  • 2-Year Swap Spread 32.0 basis points -1.5 basis points
  • TED Spread 14.25 basis points -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -8.75 -1.5 basis points
  • MBS  5/10 Treasury Spread  149.0 +1.0 basis point
  • Bloomberg CMBS Investment Grade Bbb Average OAS 529.0 +2.0 basis points
  • Avg. Auto ABS OAS 56.0 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.8 +.16%
  • 3-Month T-Bill Yield 4.85% +1.0 basis point
  • China Iron Ore Spot 124.3 USD/Metric Tonne unch.
  • Dutch TTF Nat Gas(European benchmark) 42.1 euros/megawatt-hour -6.3%
  • Citi US Economic Surprise Index 34.9 -4.0 points
  • Citi Eurozone Economic Surprise Index 56.6 -7.8 points
  • Citi Emerging Markets Economic Surprise Index 12.0 +2.6 points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 224.87 -.43:  Growth Rate +.9% -.2 percentage point, P/E 18.1 +.4
  • S&P 500 Current Year Estimated Profit Margin 12.35% +2.0 basis points
  • Bloomberg US Financial Conditions Index .30 +2.0 basis points
  • Yield Curve -90.75 basis points (2s/10s) -.25 basis point
  • US Atlanta Fed 1Q GDPNow Forecast +2.27% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.72% unch.: CPI YoY +6.21% unch.
  • 10-Year TIPS Spread 2.49 -3.0 basis points
  • Highest target rate probability for May 3rd FOMC meeting: 61.6%(-3.0 percentage points) chance of 5.0%-5.25%. Highest target rate probability for June 14th meeting: 56.1%(-.4 percentage point) 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 -227 open in Japan 
  • China A50 Futures: Indicating -20 open in China
  • DAX Futures: Indicating -5 open in Germany
Portfolio:
  • Higher:  On gains in my tech sector longs, index hedges and emerging market shorts
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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