Tuesday, September 10, 2024

Stocks Revering Higher into Final Hour on Lower Long-Term Rates, Earnings Outlook Optimism, Technical Buying, Tech/REIT Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 19.4 -.15%
  • DJIA Intraday % Swing 1.22 +2.3%
  • Bloomberg Global Risk On/Risk Off Index 48.0 -2.2%
  • Euro/Yen Carry Return Index 173.1 -.7%
  • Emerging Markets Currency Volatility(VXY) 8.7 +.23%
  • CBOE S&P 500 Implied Correlation Index 22.5 +2.2% 
  • ISE Sentiment Index 110.0 -4.0 points
  • Total Put/Call 1.0 -9.9%
  • NYSE Arms 1.75 +92.3%
  • NYSE Non-Block Money Flow +$14.2M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.8 +2.3%
  • US Energy High-Yield OAS 354.40 +6.3%
  • Bloomberg TRACE # Distressed Bonds Traded 260 +1
  • European Financial Sector CDS Index 63.98 +1.2%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 168.3 +.85%
  • Italian/German 10Y Yld Spread 145.0 basis points unch.
  • Asia Ex-Japan Investment Grade CDS Index 98.4 +1.1%
  • Emerging Market CDS Index 170.68 +2.2%
  • Israel Sovereign CDS 134.1 +.12%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.65 -.52%
  • 2-Year SOFR Swap Spread -21.75 basis points -.5 basis point
  • 3M T-Bill Treasury Repo Spread -36.25 basis points -6.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -2.5 -.25 basis point
  • MBS  5/10 Treasury Spread 126.0 -4.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 707.0 +3.0 basis points
  • Avg. Auto ABS OAS 67.0 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 38.66 -.16%
  • 3-Month T-Bill Yield 4.96% -6.0 basis points
  • China Iron Ore Spot 90.07 USD/Metric Tonne +.03%
  • Dutch TTF Nat Gas(European benchmark) 35.3 euros/megawatt-hour -5.5%
  • Citi US Economic Surprise Index -26.8 unch.
  • Citi Eurozone Economic Surprise Index -41.4 +.5 point
  • Citi Emerging Markets Economic Surprise Index -6.8 +1.0
  • S&P 500 Current Quarter EPS Growth Rate YoY(498 of 500 reporting) +11.6% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 266.49 +.07:  Growth Rate +14.0% unch., P/E 20.4 -.1
  • S&P 500 Current Year Estimated Profit Margin 12.67% -1.0 basis point
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +36.3% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 348.57 -.01: Growth Rate +22.4% unch., P/E 30.3 +.1
  • Bloomberg US Financial Conditions Index .59 +15.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .71 +21.0 basis points
  • US Yield Curve 3.25 basis point (2s/10s) +1.0 basis point
  • US Atlanta Fed 3Q GDPNow Forecast +2.47% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 72.4% -1.3 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +2.56% unch.
  • 10-Year TIPS Spread 2.02 -2.0 basis points
  • Highest target rate probability for Nov. 7th FOMC meeting: 53.5%(+.8 percentage point) chance of 4.5%-4.75%. Highest target rate probability for Dec. 18th meeting: 42.1%(+3.7 percentage points) chance of 4.0%-4.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -49 open in Japan 
  • China A50 Futures: Indicating -58 open in China
  • DAX Futures: Indicating +88 open in Germany
Portfolio:
  • Higher:  On gains in my tech/biotech/utility sector longs and emerging market shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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