Monday, March 13, 2023

Stocks Reversing Higher into Final Hour on Plunging Fed Rate-Hike Odds, Dollar Weakness, Short-Covering, Biotech/Utility Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume:  Heavy
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 26.0 +4.9%
  • DJIA Intraday % Swing 1.93%
  • Bloomberg Global Risk On/Risk Off Index 48.0 -12.9%
  • Euro/Yen Carry Return Index 149.0 -.41%
  • Emerging Markets Currency Volatility(VXY) 11.9 +6.0%
  • CBOE S&P 500 Implied Correlation Index 41.3 -.2% 
  • ISE Sentiment Index 103.0 +36.0 points
  • Total Put/Call 1.06 -13.8%
  • NYSE Arms .93 -39.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 89.0 +8.2%
  • US Energy High-Yield OAS 425.7 +9.8%
  • Bloomberg TRACE # Distressed Bonds Traded 349.0 +26
  • European Financial Sector CDS Index 110.03 +17.2% 
  • Credit Suisse Subordinated 5Y Credit Default Swap 517.7 +19.6%
  • Italian/German 10Y Yld Spread 192.0 basis basis points +11.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 129.7 +5.2%
  • Emerging Market CDS Index 255.8 +5.8%
  • China Corp. High-Yield Bond USD ETF(KHYB) 27.0 -.17%
  • 2-Year Swap Spread 22.0 basis points -7.0 basis points
  • TED Spread 34.5 basis points +7.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -42.0 -18.5 basis points
  • MBS  5/10 Treasury Spread  159.0 -2.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 606.0 +40.0 basis points
  • Avg. Auto ABS OAS 58.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.5 -.01%
  • 3-Month T-Bill Yield 4.75% -12.0 basis points
  • China Iron Ore Spot 132.1 USD/Metric Tonne +.44%
  • Dutch TTF Nat Gas(European benchmark) 49.6 euros/megawatt-hour -6.2%
  • Citi US Economic Surprise Index 47.9 +3.2 points
  • Citi Eurozone Economic Surprise Index 54.6 -4.8 points
  • Citi Emerging Markets Economic Surprise Index 17.1 +2.0 points
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 225.33 n/a:  Growth Rate +1.1% n/a, P/E 17.3 n/a
  • S&P 500 Current Year Estimated Profit Margin 12.38% unch.
  • Bloomberg US Financial Conditions Index -1.12 -96.0 basis points
  • Yield Curve -53.25 basis points (2s/10s) +37.5 basis points
  • US Atlanta Fed 1Q GDPNow Forecast +2.63% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.72% unch.: CPI YoY +6.21% unch.
  • 10-Year TIPS Spread 2.24 -5.0 basis points
  • Highest target rate probability for May 3rd FOMC meeting: 48.2%(+48.2 percentage points) chance of 4.75%-5.0%. Highest target rate probability for June 14th meeting: 47.0%(+47.0 percentage points) chance of 4.5%-4.75%.
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 -500 open in Japan 
  • China A50 Futures: Indicating -19 open in China
  • DAX Futures: Indicating +48 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my tech/medical sector longs
  • Disclosed Trades:  Added to my emerging market shorts
  • Market Exposure: Moved to 25% Net Long

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