Tuesday, September 24, 2024

Stocks Modestly Higher into Final Hour on China Stimulus Hopes, Fed Rate-Cut Optimism, Short-Covering, Transport/Commodity Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.6 -1.6%
  • DJIA Intraday % Swing .79 n/a
  • Bloomberg Global Risk On/Risk Off Index 54.4 -.3%
  • Euro/Yen Carry Return Index 176.9 +.33%
  • Emerging Markets Currency Volatility(VXY) 8.60 unch.
  • CBOE S&P 500 Implied Correlation Index 16.7 -2.8% 
  • ISE Sentiment Index 163.0 +13.0 points
  • Total Put/Call .85 unch.
  • NYSE Arms .81 -14.7%
  • NYSE Non-Block Money Flow -$1.6M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.7 -.5%
  • US Energy High-Yield OAS 327.0 +.28%
  • Bloomberg TRACE # Distressed Bonds Traded 251 +18
  • European Financial Sector CDS Index 67.2 +.6%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 179.7 -.11%
  • Italian/German 10Y Yld Spread 133.0 basis points -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 70.7 -.6%
  • Emerging Market CDS Index 164.6 -1.2%
  • Israel Sovereign CDS 158.2 +3.0%
  • China Corp. High-Yield Bond USD ETF(KHYB) 25.0 +.22%
  • 2-Year SOFR Swap Spread -21.25 basis points -.5 basis point
  • 3M T-Bill Treasury Repo Spread -20.25 basis points +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -1.25 unch.
  • MBS  5/10 Treasury Spread 125.0 -2.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 709.0 -1.0 basis point
  • Avg. Auto ABS OAS 66.0 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 39.0 +.33%
  • 3-Month T-Bill Yield 4.62% unch.
  • China Iron Ore Spot 96.4 USD/Metric Tonne +1.8%
  • Dutch TTF Nat Gas(European benchmark) 35.4 euros/megawatt-hour -2.2%
  • Citi US Economic Surprise Index -13.8 -4.2 points
  • Citi Eurozone Economic Surprise Index -58.0 -1.8 points
  • Citi Emerging Markets Economic Surprise Index -7.8 -.1 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(8 of 500 reporting) +4.9% -.7 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 266.59 -.28:  Growth Rate +14.1% -.2 percentage point, P/E 21.5 +.1
  • S&P 500 Current Year Estimated Profit Margin 12.67% +1.0 basis point
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a n/a
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 363.57 +12.49: Growth Rate +27.7% +4.4 percentage points, P/E 31.6 -1.0
  • Bloomberg US Financial Conditions Index .70 +6.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .69 -1.0 basis point
  • US Yield Curve 19.5 basis point (2s/10s) +3.5 basis points
  • US Atlanta Fed 3Q GDPNow Forecast +2.93% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 62.9% -1.4 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.77% unch.: CPI YoY +2.25% -2.0 basis points
  • 10-Year TIPS Spread 2.18 +1.0 basis point
  • Highest target rate probability for Dec. 18th FOMC meeting: 48.9%(-1.1 percentage points) chance of 4.0%-4.25%. Highest target rate probability for Jan. 29th meeting: 38.9%(+3.7 percentage points) chance of 3.5%-3.75%. (current target rate is 4.75-5.0%)
Overseas Futures:
  • Nikkei 225 Futures: Indicating -40 open in Japan 
  • China A50 Futures: Indicating +355 open in China
  • DAX Futures: Indicating +170 open in Germany
Portfolio:
  • Higher:  On gains in my tech/industrial/consumer discretionary sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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