Friday, October 18, 2024

Stocks Rising into Final Hour on Lower Long-Term Rates, Earnings Outlook Optimism, China Stimulus Hopes, Telecom/Medical Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 18.1 -5.1%
  • DJIA Intraday % Swing .65 +64.0%
  • Bloomberg Global Risk On/Risk Off Index 60.8 +3.1%
  • Euro/Yen Carry Return Index 179.9 -.16%
  • Emerging Markets Currency Volatility(VXY) 9.6 +.6%
  • CBOE S&P 500 Implied Correlation Index 15.4 -.3% 
  • ISE Sentiment Index 152.0 -2.0 points
  • Total Put/Call .79 -20.2%
  • NYSE Arms .99 -3.9%
  • NYSE Non-Block Money Flow +$134.8M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.2 -.8%
  • US Energy High-Yield OAS 323.7 +.1%
  • Bloomberg TRACE # Distressed Bonds Traded 199 -12
  • European Financial Sector CDS Index 61.9 -.8%
  • Deutsche Bank Subordinated 5Y Credit Default Swap 157.9 -.46%
  • Italian/German 10Y Yld Spread 118.0 basis points -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 71.2 -.7%
  • Emerging Market CDS Index 162.1 -.07%
  • Israel Sovereign CDS 149.3 -.03%
  • China Corp. High-Yield Bond USD ETF(KHYB) 25.22 -.04%
  • 2-Year SOFR Swap Spread -19.5 basis points +.25 basis point
  • 3M T-Bill Treasury Repo Spread -21.0 basis points -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -2.75 +.5 basis point
  • MBS  5/10 Treasury Spread 143.0 +1.0 basis point
  • Bloomberg CMBS Investment Grade Bbb Average OAS 701.0 unch.
  • Avg. Auto ABS OAS 61.0 -2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 38.5 +.06%
  • 3-Month T-Bill Yield 4.63% -1.0 basis point
  • China Iron Ore Spot 101.4 USD/Metric Tonne -.3%
  • Dutch TTF Nat Gas(European benchmark) 39.2 euros/megawatt-hour -1.1%
  • Citi US Economic Surprise Index 14.8 -.1 point
  • Citi Eurozone Economic Surprise Index -17.9 +1.2 points
  • Citi Emerging Markets Economic Surprise Index -2.8 +4.4 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(72 of 500 reporting) +6.7% +.5 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 267.56 +.21:  Growth Rate +14.7% +.1 percentage point, P/E 21.9 unch.
  • S&P 500 Current Year Estimated Profit Margin 12.65% +2.0 basis points
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(1 of 10 reporting) +40.2% n/a
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 368.05 +.20: Growth Rate +29.3% +.1 percentage point, P/E 32.2 +.1
  • Bloomberg US Financial Conditions Index .88 +9.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .82 -6.0 basis points
  • US Yield Curve 11.75 basis point (2s/10s) +1.0 basis point
  • US Atlanta Fed 3Q GDPNow Forecast +3.43% +1.0 basis point
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 50.1 +.1 percentage point
  • Cleveland Fed Inflation Nowcast Core PCE YoY +2.62% unch.: CPI YoY +2.57% unch.
  • 10-Year TIPS Spread 2.31 +1.0 basis point
  • Highest target rate probability for Dec. 18th FOMC meeting: 75.1%(+3.4 percentage points) chance of 4.25%-4.5%. Highest target rate probability for Jan. 29th meeting: 56.2%(+5.6 percentage points) chance of 4.0%-4.25%. (current target rate is 4.75-5.0%)
Overseas Futures:
  • Nikkei 225 Futures: Indicating +273 open in Japan 
  • China A50 Futures: Indicating +74 open in China
  • DAX Futures: Indicating +125 open in Germany
Portfolio:
  • Higher:  On gains in my tech/industrial/biotech/consumer discretionary/utility sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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