Monday, November 20, 2023

Stocks Rising into Final Hour on Stable Long-Term Rates, Loosening US Financial Conditions, Short-Covering, Tech/Alt Energy Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.6 -1.7%
  • DJIA Intraday % Swing .65% +56.9%
  • Bloomberg Global Risk On/Risk Off Index 66.3 +.9%
  • Euro/Yen Carry Return Index 173.6 -.61%
  • Emerging Markets Currency Volatility(VXY) 7.8 +1.2%
  • CBOE S&P 500 Implied Correlation Index 19.2 -.5% 
  • ISE Sentiment Index 157.0 +29.0
  • Total Put/Call .98 +11.4%
  • NYSE Arms .83 -6.7% 
  • NYSE Non-Block Money Flow +$144.5M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 63.2 -2.2%
  • US Energy High-Yield OAS 340.96 -1.1%
  • Bloomberg TRACE # Distressed Bonds Traded 356 +12
  • European Financial Sector CDS Index 79.6 -1.6% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 249.6 -.7%
  • Italian/German 10Y Yld Spread 173.0 basis points -4.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 103.5 -3.2%
  • Emerging Market CDS Index 187.8 -2.7%
  • Israel Sovereign CDS 120.58 -5.4%
  • China Corp. High-Yield Bond USD ETF(KHYB) 25.36 +.36%
  • 2-Year SOFR Swap Spread -19.0 basis points -.5 basis point
  • TED Spread 24.5 basis points +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -13.5 +1.0 basis point
  • MBS  5/10 Treasury Spread 159.0 +1.0 basis point
  • Bloomberg CMBS Investment Grade Bbb Average OAS 942.0 -1.0 basis point
  • Avg. Auto ABS OAS 95.0 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 41.9 +.3%
  • 3-Month T-Bill Yield 5.39% unch.
  • China Iron Ore Spot 132.3 USD/Metric Tonne +.9%
  • Dutch TTF Nat Gas(European benchmark) 45.82 euros/megawatt-hour +1.7%
  • Citi US Economic Surprise Index 37.6 +.2 point
  • Citi Eurozone Economic Surprise Index -31.7 +7.3 points
  • Citi Emerging Markets Economic Surprise Index 22.0 -.4 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(471 of 500 reporting) +2.8% +.2 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 241.04 +.12:  Growth Rate +9.1% unch., P/E 18.8 +.1
  • S&P 500 Current Year Estimated Profit Margin 12.14% -1.0 basis point
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +38.4% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 276.92 +.30: Growth Rate +63.4% +.2 percentage point, P/E 29.9 +.3
  • Bloomberg US Financial Conditions Index .33 +5.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .26 +5.0 basis points
  • US Yield Curve -49.25 basis points (2s/10s) -3.0 basis points
  • US Atlanta Fed 4Q GDPNow Forecast +1.97% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +3.55% unch.: CPI YoY +3.10% unch.
  • 10-Year TIPS Spread 2.31 +1.0 basis point
  • Highest target rate probability for Jan. 31st FOMC meeting: 98.9%(-1.1 percentage points) chance of 5.25%-5.5%. Highest target rate probability for March 20th meeting: 72.0%(unch.) chance of 5.25%-5.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +62 open in Japan 
  • China A50 Futures: Indicating +75 open in China
  • DAX Futures: Indicating +93 open in Germany
Portfolio:
  • Higher:  On gains in my tech/transport/industrial sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

No comments: