Friday, November 10, 2023

Stocks Surging into Afternoon on Stable Long-Term Rates, Less Hawkish Fed Hopes, Technical Buying, Tech/Homebuilding Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.4 -6.0%
  • DJIA Intraday % Swing .50% -31.9%
  • Bloomberg Global Risk On/Risk Off Index 66.2 +4.6%
  • Euro/Yen Carry Return Index 173.0 +.30%
  • Emerging Markets Currency Volatility(VXY) 7.76 +.39%
  • CBOE S&P 500 Implied Correlation Index 22.4 -8.9% 
  • ISE Sentiment Index 110.0 +4.0
  • Total Put/Call .96 -13.5%
  • NYSE Arms 1.39 +19.8% 
  • NYSE Non-Block Money Flow +$250.6M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 68.28 -2.8%
  • US Energy High-Yield OAS 342.79 -1.0%
  • Bloomberg TRACE # Distressed Bonds Traded 350 -18
  • European Financial Sector CDS Index 87.46 +.26% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 273.12 +2.6%
  • Italian/German 10Y Yld Spread 186.0 basis points -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 115.5 +.67%
  • Emerging Market CDS Index 211.24 -1.7%
  • Israel Sovereign CDS 123.14 +.3%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.8 unch.
  • 2-Year SOFR Swap Spread -17.0 basis points -.75 basis point
  • TED Spread 22.75 basis points +1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -17.5 unch.
  • MBS  5/10 Treasury Spread 172.0 -1.0 basis point
  • Bloomberg CMBS Investment Grade Bbb Average OAS 910.0 +1.0 basis point
  • Avg. Auto ABS OAS 98.0 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 41.47 -.13%
  • 3-Month T-Bill Yield 5.41% -1.0 basis point
  • China Iron Ore Spot 128.2 USD/Metric Tonne +1.1%
  • Dutch TTF Nat Gas(European benchmark) 46.6 euros/megawatt-hour -3.11%
  • Citi US Economic Surprise Index 45.1 -4.5 points
  • Citi Eurozone Economic Surprise Index -44.5 +.4 point
  • Citi Emerging Markets Economic Surprise Index 21.0 -1.5 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(458 of 500 reporting) +2.8% +.1 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 239.86 +.06:  Growth Rate +8.6% +.1 percentage point, P/E 18.1 -.2
  • S&P 500 Current Year Estimated Profit Margin 12.12% -2.0 basis points
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +38.4% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 275.01 +.27: Growth Rate +62.2% +.1 percentage point, P/E 28.8 unch.
  • Bloomberg US Financial Conditions Index .17 unch.
  • Bloomberg Euro-Zone Financial Conditions Index .24 unch.
  • US Yield Curve -43.0 basis points (2s/10s) -4.0 basis points
  • US Atlanta Fed 3Q GDPNow Forecast +2.06% unch.
  • Cleveland Fed Inflation Nowcast Core PCE YoY +3.63% unch.: CPI YoY +3.28% unch.
  • 10-Year TIPS Spread 2.34 -2.0 basis points
  • Highest target rate probability for Jan. 31st FOMC meeting: 77.7%(+1.2 percentage points) chance of 5.25%-5.5%. Highest target rate probability for March 20th meeting: 68.6%(+.8 percentage point) chance of 5.25%-5.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +304 open in Japan 
  • China A50 Futures: Indicating +12 open in China
  • DAX Futures: Indicating +130 open in Germany
Portfolio:
  • Higher:  On gains in my tech/industrial/utility/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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