Thursday, September 05, 2024

Stocks Reversing Slightly Lower into Final Hour on Earnings Outlook Jitters, Yen Strength, Technical Selling, Transport/Healthcare Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 20.0 -6.0%
  • DJIA Intraday % Swing 1.38 +88.1%
  • Bloomberg Global Risk On/Risk Off Index 50.3 +1.7%
  • Euro/Yen Carry Return Index 175.6 -.08%
  • Emerging Markets Currency Volatility(VXY) 8.9 unch.
  • CBOE S&P 500 Implied Correlation Index 21.5 -5.3% 
  • ISE Sentiment Index 140.0 +22.0
  • Total Put/Call .65 -33.7%
  • NYSE Arms 1.05 -18.0%
  • NYSE Non-Block Money Flow -$66.5M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.51 -.98%
  • US Energy High-Yield OAS 316.43 -.07%
  • Bloomberg TRACE # Distressed Bonds Traded 249 -9
  • European Financial Sector CDS Index 62.3 +.2%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 166.3 -.83%
  • Italian/German 10Y Yld Spread 143.0 basis points -4.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 95.5 -1.1%
  • Emerging Market CDS Index 166.0 -.51%
  • Israel Sovereign CDS 135.1 +.17%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.82 +.11%
  • 2-Year SOFR Swap Spread -20.25 basis points -.5 basis point
  • Treasury Repo 3M T-Bill Spread -25.75 basis points -5.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -2.0 -.75 basis point
  • MBS  5/10 Treasury Spread 133.0 -3.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 699.0 +4.0 basis points
  • Avg. Auto ABS OAS 67.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 39.0 +.3%
  • 3-Month T-Bill Yield 5.06% -2.0 basis points
  • China Iron Ore Spot 92.4 USD/Metric Tonne +1.5%
  • Dutch TTF Nat Gas(European benchmark) 36.2 euros/megawatt-hour +1.1%
  • Citi US Economic Surprise Index -29.5 -.6 point
  • Citi Eurozone Economic Surprise Index -36.4 +5.9 points
  • Citi Emerging Markets Economic Surprise Index -8.0 unch.
  • S&P 500 Current Quarter EPS Growth Rate YoY(497 of 500 reporting) +11.4% unch.
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 266.07 +.11:  Growth Rate +13.9% +.1 percentage point, P/E 20.6 -.2
  • S&P 500 Current Year Estimated Profit Margin 12.69% unch.
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +36.3% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 346.91 +.24: Growth Rate +22.7% +.1 percentage point, P/E 31.2 +.1
  • Bloomberg US Financial Conditions Index .46 -8.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .70 -7.0 basis points
  • US Yield Curve -2.25 basis point (2s/10s) -1.75 basis points
  • US Atlanta Fed 3Q GDPNow Forecast +2.09% +5.0 basis points
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 72.3% +.4 percentage point
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +2.56% unch.
  • 10-Year TIPS Spread 2.04 -2.0 basis points
  • Highest target rate probability for Nov. 7th FOMC meeting: 48.8%(-.6 percentage point) chance of 4.5%-4.75%. Highest target rate probability for Dec. 18th meeting: 40.5%(+1.3 percentage points) chance of 4.25%-4.5%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +333 open in Japan 
  • China A50 Futures: Indicating -24 open in China
  • DAX Futures: Indicating +70 open in Germany
Portfolio:
  • Slightly Lower:  On losses in my industrial/biotech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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