BETWEEN THE HEDGES

Tuesday, April 25, 2023

Wednesday Watch

Posted by Gary .....at 8:41 PM

Night Trading

Asian equity indices are -.75% to -.25% on average.

Asia Ex-Japan Investment Grade CDS Index 130.25 +2.5 basis points.

China Sovereign CDS 74.5 +1.75 basis points.
China Iron Ore Spot 100.15 USD/Metric Tonne -2.2%.

Bloomberg Emerging Markets Currency Index 47.7 unch.
Bloomberg Global Risk-On/Risk Off Index 54.3 +1.6%.
Bloomberg US Financial Conditions Index -.24 -3.0 basis points.
Volatility Index(VIX) futures 20.6 -2.2%.
Euro Stoxx 50 futures -.60%.

S&P 500 futures +.38%.

NASDAQ 100 futures +1.11%.

Morning Preview Links

BOTTOM LINE: Asian indices are mostly lower, weighed down by financial and commodity shares in the region. I expect US stocks to open modestly higher and to weaken into the afternoon, finishing mixed. The Portfolio is 25% net long heading into the day.

Stocks Falling into Final Hour on US Policy-Induced Stagflation Fears, Regional Bank Contagion Concerns, Earnings Outlook Worries, Financial/Transport Sector Weakness

Posted by Gary .....at 3:27 PM

Broad Equity Market Tone:

Advance/Decline Line: Substantially Lower

Sector Performance: Almost Every Sector Declining

Volume: Around Average

Market Leading Stocks: Underperforming

Equity Investor Angst:

Volatility(VIX) 19.5 +15.4%
DJIA Intraday % Swing 1.0%
Bloomberg Global Risk On/Risk Off Index 53.3 -6.5%

Euro/Yen Carry Return Index 153.2 -1.2%

Emerging Markets Currency Volatility(VXY) 10.0 +1.1%

CBOE S&P 500 Implied Correlation Index 37.6 +13.0%

ISE Sentiment Index 79.0 -18.0 points

Total Put/Call 1.01 +8.6%

NYSE Arms 1.60 +51.9%

Credit Investor Angst:

North American Investment Grade CDS Index 78.6 +3.6%

US Energy High-Yield OAS 396.97 +4.7%
Bloomberg TRACE # Distressed Bonds Traded 406.0 +3

European Financial Sector CDS Index 98.45 +2.1%
Deutsche Bank Subordinated 5Y Credit Default Swap 352.3 +.5%

Italian/German 10Y Yld Spread 187.0 basis points +2.0 basis points

Asia Ex-Japan Investment Grade CDS Index 128.9 +.8%

Emerging Market CDS Index 244.94 +1.9%

China Corp. High-Yield Bond USD ETF(KHYB) 26.8 -.19%

2-Year Swap Spread 26.5 basis points -.75 basis point

TED Spread 22.5 basis points -1.25 basis points

3-Month EUR/USD Cross-Currency Basis Swap -20.0 -1.75 basis points
MBS 5/10 Treasury Spread 166.0 +6.0 basis points
Bloomberg CMBS Investment Grade Bbb Average OAS 693.0 +1.0 basis point
Avg. Auto ABS OAS 95.0 +1.0 basis point

Economic Gauges:

Bloomberg Emerging Markets Currency Index 47.6 -.31%
3-Month T-Bill Yield 5.02% +3.0 basis points

China Iron Ore Spot 100.9 USD/Metric Tonne -1.6%
Dutch TTF Nat Gas(European benchmark) 39.8 euros/megawatt-hour -.23%

Citi US Economic Surprise Index 25.1 -2.2 points

Citi Eurozone Economic Surprise Index 30.0 -.6 point

Citi Emerging Markets Economic Surprise Index 29.4 -2.0 points
S&P 500 Blended Forward 12 Months Mean EPS Estimate 225.92 -.01: Growth Rate +1.5% unch., P/E 18.2 -.1
S&P 500 Current Year Estimated Profit Margin 12.25% unch.
Bloomberg US Financial Conditions Index -.23 -18.0 basis point
Bloomberg Euro-Zone Financial Conditions Index -4.39 -3.0 basis points
US Yield Curve -56.0 basis points (2s/10s) +7.25 basis points
US Atlanta Fed 1Q GDPNow Forecast +2.48% unch.

Cleveland Fed Inflation Nowcast Core PCE YoY +4.58% unch.: CPI YoY +5.19% +2.0 basis points
10-Year TIPS Spread 2.25 -3.0 basis points
Highest target rate probability for June 14th FOMC meeting: 71.6%(+3.2 percentage points) chance of 5.0%-5.25%. Highest target rate probability for July 26th meeting: 47.0%(-12.7 percentage points) chance of 5.0%-5.25%.

Overseas Futures:

Nikkei 225 Futures: Indicating -195 open in Japan
China A50 Futures: Indicating -76 open in China

DAX Futures: Indicating +49 open in Germany

Portfolio:

Higher: On gains in my utility sector longs, index hedges and emerging market shorts

Disclosed Trades: Added to my (IWM)/(QQQ) hedges

Market Exposure: Moved to Market Neutral

Tomorrow's Earnings/Economic Releases of Note; Market Movers

Posted by Gary .....at 2:46 PM

Earnings of Note
Company/Estimate

Before the Open:

(AMT)/2.46
(ADP)/2.44
(AVY)/1.65
(BA)/-1.05
(BSX)/.43
(CME)/2.38
(EXTR)/.26
(GD)/2.59
(GPI)/9.88
(HTLD)/.18
(HES)/1.03
(HLT)/1.14
(HUM)/9.20
(NSC)/3.15
(ODFL)/2.70
(OTIS)/.75
(PAG)/4.09
(R)/2.97
(TDY)/4.43
(TMO)/5.03

After the Close:

(AFL)/1.40
(ALGN)/1.68
(AB)/.63
(AVB)/2.55
(CHRW)/.98
(CACI)/4.66
(CP)/.92
(EBAY)/1.07
(ETD)/.79
(EW)/.61
(EQT)/1.34
(GGG)/.62
(IEX)/2.02
(KLAC)/5.29
(LSTR)/2.07
(MAT)/-.24
(MTH)/2.64
(META)/1.95
(ORLY)/8.03
(PTEN)/.35
(PPC)/.05
(PXD)/4.98
(RJF)/2.24
(RHI)/1.13
(NOW)/2.05
(SAVE)/-.85
(TDOC)/-.49
(TER)/.44
(URI)/7.99
(WM)/1.29
(WH)/.80

Economic Releases

8:30 am EST

Advance Goods Trade Balance for March is estimated at -$90.0B versus -$91.6B in Feb.
Wholesale Inventories MoM for March is estimated to rise +.1% versus a +.1% gain Feb.
Retail Inventories MoM for March is estimated to rise +.2% versus a +.8% gain in Feb.
Durable Goods Orders for March is estimated to rise +.7% versus a -1.0% decline in Feb.
Durables Ex Transports for March is estimated to fall -.2% versus a -.1% decline in Feb.
Cap Goods Orders Non-Defense Ex-Air for March is estimated to fall -.1% versus a -.1% decline in Feb.

10:30 am EST

Bloomberg consensus estimates call for a weekly crude oil inventory decline of -1,057,570 barrels versus a -4,581,000 barrel decline the prior week. Gasoline supplies are estimated to fall by -1,130,570 barrels versus a +1,299,000 barrel gain the prior week. Distillate inventories are estimated to fall by -982,570 barrels versus a -355,000 barrel decline the prior week. Finally, Refinery Utilization is estimated to rise by +.39% versus a +1.7% gain prior.

Upcoming Splits

None of note

Other Potential Market Movers

The Australia CPI report, 5Y T-Note auction and the weekly MBA Mortgage Applications report could also impact global trading tomorrow.

US Equity Market Hours

9:30 am - 4:00 pm EST

Mid-Day Market Internals

Posted by Gary .....at 12:09 PM

NYSE Composite Index:

Volume Running -3.8% Below 100-Day Average
Nasdaq/NYSE Volume Ratio 8.9 -2.9
2 Sectors Declining, 9 Sectors Rising
20.2% of Issues Advancing, 76.9% Declining
30 New 52-Week Highs, 70 New Lows
41.8%(-3.4%) of Issues Above 200-day Moving Average
Average 14-Day RSI 51.0 -7
Bloomberg Global Risk-On/Risk-Off Index 54.4 -4.7%
Russell 1000: Growth/Value 15,773.9 -.11%
1-Day Vix 10.8 +8.3%
Vix 18.2 +7.6%
Total Put/Call .94 +1.1%
TRIN/Arms 1.24 +19.2%

Monday, April 24, 2023

Tuesday Watch

Posted by Gary .....at 10:49 PM