Friday, March 24, 2023

Stocks Slightly Lower into Afternoon on Rising European/Emerging Markets/US High-Yield Debt Angst, US Policy-Induced Stagflation Fears, Tightening Global Financial Conditions, Tech/Alt Energy Sector Weakness

 Broad Equity Market Tone:

  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume:  Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 22.9 +1.4%
  • DJIA Intraday % Swing 1.11%
  • Bloomberg Global Risk On/Risk Off Index 46.2 -.9%
  • Euro/Yen Carry Return Index 146.9 -.66%
  • Emerging Markets Currency Volatility(VXY) 11.8 +.1%
  • CBOE S&P 500 Implied Correlation Index 39.2 -.7% 
  • ISE Sentiment Index 81.0 +3.0 points
  • Total Put/Call 1.07 -3.6%
  • NYSE Arms 1.01 -10.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 86.4 +.6%
  • US Energy High-Yield OAS 458.1 +2.1%
  • Bloomberg TRACE # Distressed Bonds Traded 449.0 +9
  • European Financial Sector CDS Index 117.32 +2.8% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 496.6 +1.8%
  • Italian/German 10Y Yld Spread 188.0 basis basis points +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 145.4 +4.5%
  • Emerging Market CDS Index 255.0 -.9%
  • China Corp. High-Yield Bond USD ETF(KHYB) 26.8 -.2%
  • 2-Year Swap Spread 32.0 basis points +.25 basis point
  • TED Spread 53.5 basis points +16.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.25 -7.0 basis points
  • MBS  5/10 Treasury Spread  157.0 +5.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 656.0 +7.0 basis points
  • Avg. Auto ABS OAS 90.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 47.6 -.2%
  • 3-Month T-Bill Yield 4.60% -1.0 basis point
  • China Iron Ore Spot 118.2 USD/Metric Tonne -1.2%
  • Dutch TTF Nat Gas(European benchmark) 41.1 euros/megawatt-hour -4.8%
  • Citi US Economic Surprise Index 61.2 +9.9 points
  • Citi Eurozone Economic Surprise Index 52.6 +8.6 points
  • Citi Emerging Markets Economic Surprise Index 20.2 -.4 point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 226.23 +.03:  Growth Rate +1.7% unch., P/E 17.5 -.2
  • S&P 500 Current Year Estimated Profit Margin 12.34% +4.0 basis points
  • Bloomberg US Financial Conditions Index -.86 -16.0 basis points
  • Yield Curve -40.0 basis points (2s/10s) +2.5 basis points
  • US Atlanta Fed 1Q GDPNow Forecast +3.19% -6.0 basis points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.73% unch.: CPI YoY +5.22% unch.
  • 10-Year TIPS Spread 2.23 -4.0 basis points
  • Highest target rate probability for June 14th FOMC meeting: 64.8%(+10.9 percentage points) chance of 4.75%-5.0%. Highest target rate probability for July 26th meeting: 58.7%(+10.1 percentage points) chance of 4.50%-4.75%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -275 open in Japan 
  • China A50 Futures: Indicating +9 open in China
  • DAX Futures: Indicating +187 open in Germany
Portfolio:
  • Higher:  On gains in my utility/medical sector longs and emerging market shorts
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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