Monday, March 11, 2024

Stocks Slightly Lower into Final Hour on Higher Long-Term Rates, Sector Rotation, Technical Selling, Tech/Medical Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 15.2 +3.1%
  • DJIA Intraday % Swing .68 +23.2%
  • Bloomberg Global Risk On/Risk Off Index 65.0 +.1%
  • Euro/Yen Carry Return Index 173.9 -.2%
  • Emerging Markets Currency Volatility(VXY) 6.4 -.16%
  • CBOE S&P 500 Implied Correlation Index 14.6 +5.2% 
  • ISE Sentiment Index 146.0 unch.
  • Total Put/Call .99 +8.8%
  • NYSE Arms .62 -47.5%
  • NYSE Non-Block Money Flow -$156.6M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 49.7 -.03%
  • US Energy High-Yield OAS 299.8 -.36%
  • Bloomberg TRACE # Distressed Bonds Traded 284 -3
  • European Financial Sector CDS Index 60.7 +.7% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 191.6 -.55%
  • Italian/German 10Y Yld Spread 133.0 basis points +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 100.1 -.15%
  • Emerging Market CDS Index 164.6 -.11%
  • Israel Sovereign CDS 118.1 +.02%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.7 +.02%
  • 2-Year SOFR Swap Spread -11.25 basis points -1.75 basis points
  • Treasury Repo 3M T-Bill Spread 9.75 basis points +1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.25 -.25 basis point
  • MBS  5/10 Treasury Spread 145.0 -2.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 819.0 -8.0 basis points
  • Avg. Auto ABS OAS 62.0 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 40.0 -.04%
  • 3-Month T-Bill Yield 5.40% +1.0 basis point
  • China Iron Ore Spot 107.6 USD/Metric Tonne -4.8%
  • Dutch TTF Nat Gas(European benchmark) 24.9 euros/megawatt-hour -5.5%
  • Citi US Economic Surprise Index 26.5 -1.3 points
  • Citi Eurozone Economic Surprise Index 54.7 +3.3 points
  • Citi Emerging Markets Economic Surprise Index 14.8 +.5 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(495 of 500 reporting) +8.0% +.1 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 247.99 +.39:  Growth Rate +11.1% unch., P/E 20.6 -.2
  • S&P 500 Current Year Estimated Profit Margin 12.82% unch.
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(10 of 10 reporting) +55.2% -2.1 percentage points
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 316.09 +.34: Growth Rate +31.6% +.6 percentage point, P/E 30.8 -.8
  • Bloomberg US Financial Conditions Index 1.01 -2.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index 1.04 +12.0 basis points
  • US Yield Curve -43.75 basis points (2s/10s) -1.75 basis points
  • US Atlanta Fed 1Q GDPNow Forecast +2.5% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 61.0% +3.3 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.72% unch.: CPI YoY +3.12% unch.
  • 10-Year TIPS Spread 2.27 -1.0 basis point
  • Highest target rate probability for May 1st FOMC meeting: 77.5%(+1.6 percentage points) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 55.2%(-2.2 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -535 open in Japan 
  • China A50 Futures: Indicating +52 open in China
  • DAX Futures: Indicating +41 open in Germany
Portfolio:
  • Slightly Lower:  On losses in my industrial/tech/transport sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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