Monday, April 22, 2024

Stocks Close Higher on Diminished Mid-East Regional War Fears, Stable Long-Term Rates, Short-Covering, Financial/Tech Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 16.8 -10.2%
  • DJIA Intraday % Swing .54 -53.2%
  • Bloomberg Global Risk On/Risk Off Index 65.8 +.9%
  • Euro/Yen Carry Return Index 179.5 +.12%
  • Emerging Markets Currency Volatility(VXY) 7.2 -2.9%
  • CBOE S&P 500 Implied Correlation Index 20.8 -12.0% 
  • ISE Sentiment Index 126.0 +38.0
  • Total Put/Call .93 -13.1%
  • NYSE Arms 1.01 +20.2%
  • NYSE Non-Block Money Flow +$435.6M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.2 -4.7%
  • US Energy High-Yield OAS 274.0 -2.9%
  • Bloomberg TRACE # Distressed Bonds Traded 275 +12
  • European Financial Sector CDS Index 66.4 -2.8%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 193.2 -1.8%
  • Italian/German 10Y Yld Spread 136.0 basis points -7.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 114.9 -1.8%
  • Emerging Market CDS Index 177.7 -3.3%
  • Israel Sovereign CDS 139.5 -1.0%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.5 -.06%
  • 2-Year SOFR Swap Spread -9.75 basis points -.5 basis point
  • Treasury Repo 3M T-Bill Spread 10.25 basis points unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.5 unch.
  • MBS  5/10 Treasury Spread 150.0 unch.
  • Bloomberg CMBS Investment Grade Bbb Average OAS 772.0 -1.0 basis point
  • Avg. Auto ABS OAS 58.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 39.2 -.04%
  • 3-Month T-Bill Yield 5.40% unch.
  • China Iron Ore Spot 115.7 USD/Metric Tonne -.33%
  • Dutch TTF Nat Gas(European benchmark) 29.3 euros/megawatt-hour -4.7%
  • Citi US Economic Surprise Index 28.4 -5.0 points
  • Citi Eurozone Economic Surprise Index 29.6 -3.4 points
  • Citi Emerging Markets Economic Surprise Index 30.6 +1.7 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(72 of 500 reporting) +8.4% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 252.56 +.35:  Growth Rate +13.2% +.2 percentage point, P/E 19.8 -.2
  • S&P 500 Current Year Estimated Profit Margin 12.84% -1.0 basis point
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(1 of 10 reporting) +78.2% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 315.68 +2.02: Growth Rate +31.4% +.9 percentage point, P/E 29.5 -1.6
  • Bloomberg US Financial Conditions Index .85 -5.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .65 -1.0 basis point
  • US Yield Curve -35.5 basis points (2s/10s) -1.0 basis point
  • US Atlanta Fed 1Q GDPNow Forecast +2.9% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 40.1% -1.9 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.46% unch.
  • 10-Year TIPS Spread 2.41 unch.
  • Highest target rate probability for June 12th FOMC meeting: 83.0%(+1.3 percentage points) chance of 5.25%-5.5%. Highest target rate probability for July 31st meeting: 59.0%(+2.6 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +327 open in Japan 
  • China A50 Futures: Indicating +41 open in China
  • DAX Futures: Indicating +281 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my tech/industrial/consumer discretionary/financial sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added some back
  • Market Exposure: Moved to 50% Net Long

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