Tuesday, August 29, 2023

Stocks Surging into Afternoon on Declining Rate-Hike Odds, US Economic "Soft-Landing" Hopes, Short-Covering, Tech/Alt Energy Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.6 -3.1%
  • DJIA Intraday % Swing .77%
  • Bloomberg Global Risk On/Risk Off Index 69.6 -.1%
  • Euro/Yen Carry Return Index 168.0 +.03%
  • Emerging Markets Currency Volatility(VXY) 8.6 -1.7%
  • CBOE S&P 500 Implied Correlation Index 20.9 -2.5% 
  • ISE Sentiment Index 117.0 +15.0 points
  • Total Put/Call .89 -17.6%
  • NYSE Arms .97 +31.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.9 -2.1%
  • US Energy High-Yield OAS 318.34 +.34%
  • Bloomberg TRACE # Distressed Bonds Traded 330.0 -7.0
  • European Financial Sector CDS Index 80.2 -4.9% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 261.2 -.81%
  • Italian/German 10Y Yld Spread 164.0 basis points -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 135.6 +2.24%
  • Emerging Market CDS Index 194.64 -1.9%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.67 -.05%
  • 2-Year SOFR Swap Spread -8.25 basis points +4.5 basis points
  • TED Spread 24.0 basis points +3.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -12.75 unch.
  • MBS  5/10 Treasury Spread 171.0 unch.
  • Bloomberg CMBS Investment Grade Bbb Average OAS 778.0 +6.0 basis points
  • Avg. Auto ABS OAS 72.0 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 42.81 +.05%
  • 3-Month T-Bill Yield 5.43% -6.0 basis points
  • China Iron Ore Spot 111.0 USD/Metric Tonne +.69%
  • Dutch TTF Nat Gas(European benchmark) 35.20 euros/megawatt-hour -8.4%
  • Citi US Economic Surprise Index 45.2 -7.8 points
  • Citi Eurozone Economic Surprise Index -55.8 +2.6 points
  • Citi Emerging Markets Economic Surprise Index -2.2 -1.9 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(487 of 500 reporting) -6.2%  -.1 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 237.60 +.09:  Growth Rate +8.1% unch., P/E 18.9 +.3
  • S&P 500 Current Year Estimated Profit Margin 12.22% +1.0 basis point
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(10 of 10 reporting) +24.3% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 243.20 +.24: Growth Rate +46.7% +.2 percentage point, P/E 31.8 +1.0
  • Bloomberg US Financial Conditions Index .36 -10.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index -.65 -67.0 basis points
  • US Yield Curve -77.5 basis points (2s/10s) +6.75 basis points
  • US Atlanta Fed 2Q GDPNow Forecast +5.91% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +4.23% unch.: CPI YoY +3.82% -1.0 basis point
  • 10-Year TIPS Spread 2.29 -1.0 basis point
  • Highest target rate probability for Nov. 1st FOMC meeting: 52.6%(+14.8 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Dec. 13th meeting: 51.7%(+12.7 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +183 open in Japan 
  • China A50 Futures: Indicating +48 open in China
  • DAX Futures: Indicating +42 open in Germany
Portfolio:
  • Higher:  On gains in my tech/industrial/medical/transport sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  • Market Exposure: Moved to 100% Net Long

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