Friday, July 12, 2024

Stocks Surging into Final Hour on Rising Fed Rate-Cut Odds, Earnings Outlook Optimism, Short-Covering, Tech/Alt Energy Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.3 -5.0%
  • DJIA Intraday % Swing .79 +24.5%
  • Bloomberg Global Risk On/Risk Off Index 59.8 +1.4%
  • Euro/Yen Carry Return Index 189.1 -.23%
  • Emerging Markets Currency Volatility(VXY) 7.0 -1.7%
  • CBOE S&P 500 Implied Correlation Index 7.8 -6.4% 
  • ISE Sentiment Index 158.0 +4.0
  • Total Put/Call .79 -3.7%
  • NYSE Arms 1.41 +36.5%
  • NYSE Non-Block Money Flow +$436.8M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 48.1 -1.2%
  • US Energy High-Yield OAS 270.58 -.68%
  • Bloomberg TRACE # Distressed Bonds Traded 270 +7
  • European Financial Sector CDS Index 58.79 -.98%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 150.6 -.9%
  • Italian/German 10Y Yld Spread 130.0 basis points -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 91.2 +.2%
  • Emerging Market CDS Index 155.3 -2.3%
  • Israel Sovereign CDS 135.8 -1.6%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.96 +.3%
  • 2-Year SOFR Swap Spread -17.0 basis points +1.5 basis pointS
  • Treasury Repo 3M T-Bill Spread 1.75 basis points -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -2.0 +.5 basis point
  • MBS  5/10 Treasury Spread 138.0 -3.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 723.0 +3.0 basis pointS
  • Avg. Auto ABS OAS 62.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 39.36 +.01%
  • 3-Month T-Bill Yield 5.34% unch.
  • China Iron Ore Spot 109.9 USD/Metric Tonne +1.7%
  • Dutch TTF Nat Gas(European benchmark) 31.7 euros/megawatt-hour +1.95%
  • Citi US Economic Surprise Index -47.5 -1.7 points
  • Citi Eurozone Economic Surprise Index -25.9 -.2 point
  • Citi Emerging Markets Economic Surprise Index 10.8 +2.0 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(26 of 500 reporting) +8.8% n/a
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 261.26 n/a:  Growth Rate +14.4% n/a, P/E 21.5 n/a
  • S&P 500 Current Year Estimated Profit Margin 12.81% unch.
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 331.81 n/a: Growth Rate +23.7% n/a, P/E 35.8 n/a
  • Bloomberg US Financial Conditions Index .98 -8.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .82 -9.0 basis points
  • US Yield Curve -27.5 basis points (2s/10s) +3.25 basis points
  • US Atlanta Fed 2Q GDPNow Forecast +2.0% +30.0 basis points
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 60.3% +1.2 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.39% -22.0 basis points: CPI YoY +3.01% -11.0 basis points
  • 10-Year TIPS Spread 2.24 -1.0 basis point
  • Highest target rate probability for Sept. 18th FOMC meeting: 88.1%(+3.0 percentage points) chance of 5.0%-5.25%. Highest target rate probability for Nov. 7th meeting: 56.6%(+4.7 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +280 open in Japan 
  • China A50 Futures: Indicating -55 open in China
  • DAX Futures: Indicating +157 open in Germany
Portfolio:
  • Higher:  On gains in my industrial/consumer discretionary/tech/biotech/financial sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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