Friday, December 01, 2023

Stocks Surging into Afternoon on Soaring Fed Rate-Cut Odds, Lower Long-Term Rates, Short-Covering, Consumer Discretionary/Financial Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Above Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 12.7 -1.4%
  • DJIA Intraday % Swing .76% +46.6%
  • Bloomberg Global Risk On/Risk Off Index 60.4 -2.9%
  • Euro/Yen Carry Return Index 171.2 -.96%
  • Emerging Markets Currency Volatility(VXY) 7.84 +.26%
  • CBOE S&P 500 Implied Correlation Index 21.1 +2.2% 
  • ISE Sentiment Index 115.0 -7.0
  • Total Put/Call .82 -7.9%
  • NYSE Arms .91 +40.0% 
  • NYSE Non-Block Money Flow +$215.9M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 61.4 -1.77%
  • US Energy High-Yield OAS 336.7 -.16%
  • Bloomberg TRACE # Distressed Bonds Traded 345 +15.0
  • European Financial Sector CDS Index 76.6 -2.0% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 233.8 -1.9%
  • Italian/German 10Y Yld Spread 174.0 basis points -4.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 98.3 -.48%
  • Emerging Market CDS Index 184.6 -1.6%
  • Israel Sovereign CDS 114.6 -.43%
  • China Corp. High-Yield Bond USD ETF(KHYB) 25.38 -.11%
  • 2-Year SOFR Swap Spread -18.5 basis points -.5 basis point
  • TED Spread 25.0 basis points +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -12.0 +.25 basis point
  • MBS  5/10 Treasury Spread 153.0 unch.
  • Bloomberg CMBS Investment Grade Bbb Average OAS 944.0 -2.0 basis points
  • Avg. Auto ABS OAS 88.0 -3.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 41.8 +.18%
  • 3-Month T-Bill Yield 5.37% -3.0 basis points
  • China Iron Ore Spot 131.0 USD/Metric Tonne -.16%
  • Dutch TTF Nat Gas(European benchmark) 43.5 euros/megawatt-hour +3.3%
  • Citi US Economic Surprise Index 25.6 -4.2 points
  • Citi Eurozone Economic Surprise Index -23.7 +6.9 points
  • Citi Emerging Markets Economic Surprise Index 25.8 +3.8 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(491 of 500 reporting) +4.5% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 242.07 +.06:  Growth Rate +9.3% unch., P/E 18.9 +.1
  • S&P 500 Current Year Estimated Profit Margin 12.13% unch.
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +50.6% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 284.46 +.46: Growth Rate +33.4% +.2 percentage point, P/E 29.0 +.1
  • Bloomberg US Financial Conditions Index .52 unch.
  • Bloomberg Euro-Zone Financial Conditions Index .23 +5.0 basis points
  • US Yield Curve -33.75 basis points (2s/10s) +2.75 basis points
  • US Atlanta Fed 4Q GDPNow Forecast +1.77% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 55.3% -1.9 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +3.46% unch.: CPI YoY +3.04% unch.
  • 10-Year TIPS Spread 2.22 -3.0 basis points
  • Highest target rate probability for Jan. 31st FOMC meeting: 83.8%(-8.6 percentage points) chance of 5.25%-5.5%. Highest target rate probability for March 20th meeting: 57.3%(+15.8 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +34 open in Japan 
  • China A50 Futures: Indicating -20 open in China
  • DAX Futures: Indicating +67 open in Germany
Portfolio:
  • Higher:  On gains in my tech/industrial/utility/transport sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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