Thursday, September 19, 2024

Stocks Up Substantially into Final Hour on US Economic Data, Fed Rate-Cut Hopes, Technical Buying, Tech/Financial 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) 17.0 -6.8%
  • DJIA Intraday % Swing .79 unch.
  • Bloomberg Global Risk On/Risk Off Index 53.0 +4.8%
  • Euro/Yen Carry Return Index 175.9 +.7%
  • Emerging Markets Currency Volatility(VXY) 8.62 +1.2%
  • CBOE S&P 500 Implied Correlation Index 18.0 -7.7% 
  • ISE Sentiment Index 122.0 -11.0 points
  • Total Put/Call .95 unch.
  • NYSE Arms 1.06 -.93%
  • NYSE Non-Block Money Flow +$280.8M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 47.6 -3.0%
  • US Energy High-Yield OAS 320.0 -1.3%
  • Bloomberg TRACE # Distressed Bonds Traded 276 -16
  • European Financial Sector CDS Index 58.59 -3.4%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 159.3 -2.0%
  • Italian/German 10Y Yld Spread 136.0 basis points -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 94.2 -2.3%
  • Emerging Market CDS Index 153.4 -4.3%
  • Israel Sovereign CDS 132.6 +3.0%
  • China Corp. High-Yield Bond USD ETF(KHYB) 24.92 +.40%
  • 2-Year SOFR Swap Spread -20.75 basis points -.5 basis point
  • 3M T-Bill Treasury Repo Spread -59.5 basis points -2.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -1.25 +.25 basis point
  • MBS  5/10 Treasury Spread 119.0 -6.0 basis points
  • Bloomberg CMBS Investment Grade Bbb Average OAS 711.0 -1.0 basis point
  • Avg. Auto ABS OAS 67.0 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 39.1 +.28%
  • 3-Month T-Bill Yield 4.73% -2.0 basis points
  • China Iron Ore Spot 93.8 USD/Metric Tonne +1.2%
  • Dutch TTF Nat Gas(European benchmark) 33.1 euros/megawatt-hour -6.1%
  • Citi US Economic Surprise Index -8.8 +2.5 points
  • Citi Eurozone Economic Surprise Index -27.8 +.4 point
  • Citi Emerging Markets Economic Surprise Index -7.3 -.3 point
  • S&P 500 Current Quarter EPS Growth Rate YoY(5 of 500 reporting) +12.9% -.4 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 266.60 -.23:  Growth Rate +14.1% +.1 percentage point, P/E 21.4 +.3
  • S&P 500 Current Year Estimated Profit Margin 12.66% -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 350.42 +.14: Growth Rate +23.1% +.1 percentage point, P/E 32.9 +1.2
  • Bloomberg US Financial Conditions Index .50 -9.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .68 +1.0 basis point
  • US Yield Curve 13.5 basis point (2s/10s) +4.75 basis points
  • US Atlanta Fed 3Q GDPNow Forecast +2.93% unch.
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 66.7% -2.8 percentage points
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.77% unch.: CPI YoY +2.27% unch.
  • 10-Year TIPS Spread 2.16 +4.0 basis points
  • Highest target rate probability for Dec. 18th FOMC meeting: 49.5%(+.8 percentage point) chance of 4.0%-4.25%. Highest target rate probability for Jan. 29th meeting: 43.0%(unch.) chance of 3.75%-4.0%. (current target rate is 4.75-5.0%)
Overseas Futures:
  • Nikkei 225 Futures: Indicating +610 open in Japan 
  • China A50 Futures: Indicating +30 open in China
  • DAX Futures: Indicating +25 open in Germany
Portfolio:
  • Higher:  On gains in my consumer discretionary/tech/biotech/industrial sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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