Wednesday, March 06, 2024

Stocks Rising into Afternoon on Lower Long-Term Rates, US Economic Data, Regional Bank Reversal Higher, Tech/Medical Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.3 -1.1%
  • DJIA Intraday % Swing .45 -60.7%
  • Bloomberg Global Risk On/Risk Off Index 65.9 -2.6%
  • Euro/Yen Carry Return Index 176.2 -.1%
  • Emerging Markets Currency Volatility(VXY) 6.2 -.16%
  • CBOE S&P 500 Implied Correlation Index 14.3 -5.0% 
  • ISE Sentiment Index 172.0 +55.0
  • Total Put/Call .87 -16.4%
  • NYSE Arms 1.14 +32.6%
  • NYSE Non-Block Money Flow +$298.0M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 50.9 -1.34%
  • US Energy High-Yield OAS 303.82 -.18%
  • Bloomberg TRACE # Distressed Bonds Traded 281 +3
  • European Financial Sector CDS Index 62.4 -2.5% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 207.2 -1.97%
  • Italian/German 10Y Yld Spread 132.0 basis points -7.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 102.7 +1.0%
  • Emerging Market CDS Index 165.0 -1.7%
  • Israel Sovereign CDS 120.1 -1.4%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.6 +.02%
  • 2-Year SOFR Swap Spread -9.25 basis points unch.
  • Treasury Repo 3M T-Bill Spread 8.5 basis points +2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.0 unch.
  • MBS  5/10 Treasury Spread 151.0 -3.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 825.0 +2.0 basis points
  • Avg. Auto ABS OAS 63.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 40.0 +.03%
  • 3-Month T-Bill Yield 5.38% +2.0 basis points
  • China Iron Ore Spot 115.9 USD/Metric Tonne +.5%
  • Dutch TTF Nat Gas(European benchmark) 26.6 euros/megawatt-hour -3.3%
  • Citi US Economic Surprise Index 25.4 -2.2 points
  • Citi Eurozone Economic Surprise Index 57.1 +2.3 points
  • Citi Emerging Markets Economic Surprise Index 14.2 +1.3 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(493 of 500 reporting) +7.2% -.6 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 247.53 +.15:  Growth Rate +11.0% unch., P/E 20.7 +.1
  • S&P 500 Current Year Estimated Profit Margin 12.82% -1.0 basis point
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +57.3% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 315.63 +.12: Growth Rate +30.9% unch., P/E 31.2 +.3
  • Bloomberg US Financial Conditions Index 1.0 -10.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .95 -3.0 basis points
  • US Yield Curve -44.5 basis points (2s/10s) -2.5 basis points
  • US Atlanta Fed 1Q GDPNow Forecast +2.5% +.4 percentage point
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 58.8% +2.6 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.72% unch.: CPI YoY +3.12% unch.
  • 10-Year TIPS Spread 2.30 -3.0 basis points
  • Highest target rate probability for May 1st FOMC meeting: 78.7%(-1.5 percentage points) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 57.1%(-2.1 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +210 open in Japan 
  • China A50 Futures: Indicating +13 open in China
  • DAX Futures: Indicating +12 open in Germany
Portfolio:
  • Higher:  On gains in my industrial/tech/transport/biotech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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