Wednesday, July 31, 2024

Stocks Surging into Final Hour on Earnings Outlook Optimism, Rising Rate-Cut Odds, Dollar Weakness, Tech/Consumer Discretionary 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) 16.0 -9.8%
  • DJIA Intraday % Swing .98 +57.3%
  • Bloomberg Global Risk On/Risk Off Index 51.1 +2.4%
  • Euro/Yen Carry Return Index 179.1 -1.4%
  • Emerging Markets Currency Volatility(VXY) 7.81 +3.44%
  • CBOE S&P 500 Implied Correlation Index 13.7 -17.8% 
  • ISE Sentiment Index 130.0 -6.0
  • Total Put/Call .98 -6.8%
  • NYSE Arms 1.20 +15.4
  • NYSE Non-Block Money Flow +$194.1M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.1 -2.6%
  • US Energy High-Yield OAS 276.0 -2.5%
  • Bloomberg TRACE # Distressed Bonds Traded 257 +11
  • European Financial Sector CDS Index 61.8 -1.5%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 163.2 -.35%
  • Italian/German 10Y Yld Spread 135.0 basis points -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 95.5 -1.0%
  • Emerging Market CDS Index 166.7 -1.0%
  • Israel Sovereign CDS 128.1 -.09%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.96 +.25%
  • 2-Year SOFR Swap Spread -15.75 basis points +.25 basis point
  • Treasury Repo 3M T-Bill Spread -5.0 basis points +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -1.75 -.25 basis point
  • MBS  5/10 Treasury Spread 141.0 -1.0 basis point
  • Bloomberg CMBS Investment Grade Bbb Average OAS 686.0 -1.0 basis point
  • Avg. Auto ABS OAS 62.0 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 39.0 +.19%
  • 3-Month T-Bill Yield 5.28% +1.0 basis point
  • China Iron Ore Spot 102.9 USD/Metric Tonne +1.9%
  • Dutch TTF Nat Gas(European benchmark) 35.9 euros/megawatt-hour +2.2%
  • Citi US Economic Surprise Index -25.2 +.3 point
  • Citi Eurozone Economic Surprise Index -49.0 +4.4 points
  • Citi Emerging Markets Economic Surprise Index -2.6 +2.8 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(284 of 500 reporting) +9.3% -.8 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 262.98 +.04:  Growth Rate +15.1% unch., P/E 21.0 +.4
  • S&P 500 Current Year Estimated Profit Margin 12.78% unch.
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(4 of 10 reporting) +15.0% -4.8 percentage points
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 336.38 -.15: Growth Rate +25.4% -.1 percentage point, P/E 33.1 +1.0
  • Bloomberg US Financial Conditions Index .70 -7.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .67 -10.0 basis points
  • US Yield Curve -23.0 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) 62.2% +1.3 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.73% unch.: CPI YoY +3.01% unch.
  • 10-Year TIPS Spread 2.23 -1.0 basis point
  • Highest target rate probability for Sept. 18th FOMC meeting: 85.6%(-.7 percentage point) chance of 5.0%-5.25%. Highest target rate probability for Nov. 7th meeting: 60.6%(+3.1 percentage point) chance of 4.75%-5.0%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -136 open in Japan 
  • China A50 Futures: Indicating -33 open in China
  • DAX Futures: Indicating +173 open in Germany
Portfolio:
  • Higher:  On gains in my consumer discretionary/industrial/financial/tech/biotech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  • Market Exposure: Moved to 100% Net Long

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