Tuesday, July 16, 2024

Stocks Rising into Final Hour on Trump Poll Surge, Lower Long-Term Rates, Earnings Outlook Optimism, Financial/Homebuilding Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 13.1 -.3%
  • DJIA Intraday % Swing 1.46 +171.9%
  • Bloomberg Global Risk On/Risk Off Index 57.0 -.7%
  • Euro/Yen Carry Return Index 189.6 +.24%
  • Emerging Markets Currency Volatility(VXY) 7.07 -.7%
  • CBOE S&P 500 Implied Correlation Index 9.11 +5.3% 
  • ISE Sentiment Index 150.0 -8.0
  • Total Put/Call .81 -4.7%
  • NYSE Arms .90 -10.0%
  • NYSE Non-Block Money Flow +$397.0M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 48.3 -.4%
  • US Energy High-Yield OAS 266.5 -.7%
  • Bloomberg TRACE # Distressed Bonds Traded 273 +3
  • European Financial Sector CDS Index 59.3 +1.7%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 150.8 +.74%
  • Italian/German 10Y Yld Spread 127.0 basis points -3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 93.0 +1.9%
  • Emerging Market CDS Index 159.4 +.17%
  • Israel Sovereign CDS 133.13 -.5%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.9 -.12%
  • 2-Year SOFR Swap Spread -17.75 basis points -.75 basis point
  • Treasury Repo 3M T-Bill Spread 0.0 basis points -1.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -1.25 +.75 basis point
  • MBS  5/10 Treasury Spread 142.0 +4.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 705.0 -18.0 basis points
  • Avg. Auto ABS OAS 62.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 39.3 -.04%
  • 3-Month T-Bill Yield 5.33% unch.
  • China Iron Ore Spot 107.9 USD/Metric Tonne +.5%
  • Dutch TTF Nat Gas(European benchmark) 32.8 euros/megawatt-hour +4.6%
  • Citi US Economic Surprise Index -42.7 +2.8 points
  • Citi Eurozone Economic Surprise Index -25.2 +.2 point
  • Citi Emerging Markets Economic Surprise Index 5.0 +.2 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(35 of 500 reporting) +12.2% -.7 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 261.67 +.17:  Growth Rate +14.6% +.1 percentage point, P/E 21.6 unch.
  • S&P 500 Current Year Estimated Profit Margin 12.82% +1.0 basis point
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 332.48 +.20: Growth Rate +23.9% unch., P/E 35.6 -.4
  • Bloomberg US Financial Conditions Index 1.01 -1.0 basis point
  • Bloomberg Euro-Zone Financial Conditions Index .92 +2.0 basis points
  • US Yield Curve -27.5 basis points (2s/10s) -5.0 basis points
  • US Atlanta Fed 2Q GDPNow Forecast +2.02% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 61.2% +.1 percentage point
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.39% unch.: CPI YoY +3.01% unch.
  • 10-Year TIPS Spread 2.27 -1.0 basis point
  • Highest target rate probability for Sept. 18th FOMC meeting: 93.3%(+1.4 percentage points) chance of 5.0%-5.25%. Highest target rate probability for Nov. 7th meeting: 62.2%(+.5 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +260 open in Japan 
  • China A50 Futures: Indicating -56 open in China
  • DAX Futures: Indicating +197 open in Germany
Portfolio:
  • Higher:  On gains in my industrial/biotech/financial/consumer discretionary sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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