Monday, July 29, 2024

Stocks Slightly Higher into Final Hour on Lower Long-Term Rates, Earnings Outlook Optimism, Technical Buying, Consumer Discretionary/Medical Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 16.4 +.06%
  • DJIA Intraday % Swing .72 -51.1%
  • Bloomberg Global Risk On/Risk Off Index 52.5 -.14%
  • Euro/Yen Carry Return Index 183.3 -.17%
  • Emerging Markets Currency Volatility(VXY) 7.52 +.67%
  • CBOE S&P 500 Implied Correlation Index 14.1 -2.7% 
  • ISE Sentiment Index 146.0 unch.
  • Total Put/Call .86 -17.3%
  • NYSE Arms 1.42 +44.9%
  • NYSE Non-Block Money Flow +$11.7M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.6 +.9%
  • US Energy High-Yield OAS 276.8 +2.7%
  • Bloomberg TRACE # Distressed Bonds Traded 241 +6
  • European Financial Sector CDS Index 62.6 +.74%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 162.2 -.9%
  • Italian/German 10Y Yld Spread 135.0 basis points -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 96.0 -1.4%
  • Emerging Market CDS Index 167.90 +.9%
  • Israel Sovereign CDS 127.7 -.1%
  • China Corp. High-Yield Bond USD ETF(KHYB) 25.07 +.07%
  • 2-Year SOFR Swap Spread -15.25 basis points +.25 basis point
  • Treasury Repo 3M T-Bill Spread -5.5 basis points -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -1.5 unch.
  • MBS  5/10 Treasury Spread 142.0 -1.0 basis point
  • Bloomberg CMBS Investment Grade Bbb Average OAS 685.0 -2.0 basis points
  • Avg. Auto ABS OAS 60.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 39.0 -.33%
  • 3-Month T-Bill Yield 5.29% unch.
  • China Iron Ore Spot 101.0 USD/Metric Tonne -.9%
  • Dutch TTF Nat Gas(European benchmark) 33.9 euros/megawatt-hour +4.3%
  • Citi US Economic Surprise Index -29.3 +4.7 points
  • Citi Eurozone Economic Surprise Index -55.7 -2.8 points
  • Citi Emerging Markets Economic Surprise Index -3.5 +2.8 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(210 of 500 reporting) +6.3% -.2 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 262.85 +.47:  Growth Rate +15.1% +.2 percentage point, P/E 20.8 unch.
  • S&P 500 Current Year Estimated Profit Margin 12.79% unch.
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(3 of 10 reporting) +19.8% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 336.14 +.85: Growth Rate +25.3% +.3 percentage point, P/E 32.8 +.2
  • Bloomberg US Financial Conditions Index .78 +6.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .75 +20.0 basis points
  • US Yield Curve -21.5 basis points (2s/10s) -1.5 basis points
  • US Atlanta Fed 3Q GDPNow Forecast +2.83% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 60.9% -.7 percentage point
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.73% unch.: CPI YoY +3.01% unch.
  • 10-Year TIPS Spread 2.25 unch.
  • Highest target rate probability for Sept. 18th FOMC meeting: 89.6%(+1.4 percentage points) chance of 5.0%-5.25%. Highest target rate probability for Nov. 7th meeting: 59.4%(-1.1 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -28 open in Japan 
  • China A50 Futures: Indicating -63 open in China
  • DAX Futures: Indicating +146 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my consumer discretionary sector longs, emerging market shorts and index hedges
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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