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Daily Chartbook #102

www.dailychartbook.com

Daily Chartbook #102

Catch up on the day in 30 charts

Daily Chartbook
Dec 13, 2022
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Daily Chartbook #102

www.dailychartbook.com

Welcome back to Daily Chartbook: macro market charts, data, and insights pulled from various sources around the Internet by a solo retail investor.


1. Surprises. "In terms of economic surprises (strength of data relative to 1-year average), housing (orange) is by far worst segment of economy right now".

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@lizannsonders

2. Global debt-to-GDP. "Total debt fell to 247% of global gross domestic product last year, IMF data showed. That’s 10 percentage points less than in 2020, but is still the second-highest reading in history".

Bloomberg

3. Economic activity. "The Chicago Fed Survey of Economic Conditions (CFSEC) Activity Index decreased to –32 in November from –27 in October, suggesting that economic growth was well below trend".

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@chicagofed

4. Blindfolded darts. "Economists underestimated US inflation in five of the last seven months".

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Bloomberg via @mayhem4markets

5. Inflation expectations. "Yeah-ahead expectations fell to 5.2% from 5.9%, while three- and five-year-ahead expectations fell by 0.1 percentage point to 3% and 2.3%, respectively".

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@nicktimiraos

6. Rate hikes. "We continue to expect three additional 25bp hikes in 2023 to a peak of 5-5.25%, though the risks are tilted toward 50bp in February".

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Goldman Sachs via @mikezaccardi

7. Dove-hawk chart. "The distribution of 2022 FOMC voters skews hawkish, but 2023 voters could be more balanced".

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BofA via @samro

8. After Fed pauses. "Yields tend to reverse lower and the long end tends to steepen once the Fed goes on hold, but the recent rally has come earlier than anticipated".

JPMorgan via TME

9. Treasury yield spreads. "Quite remarkable how fast spread between 10y & 3m Treasury yields (orange) caught down to spread between 10y and 2y yields (blue)".

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@lizannsonders

10. IG and HY spreads. "At current levels, IG and HY spreads are back down to levels last seen in May/June, the last time markets thought they had everything figured out".

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@datatrekmb


11. Bond mutual fund outflows. "Roughly $454 billion has been pulled from bond mutual funds on net while $157 billion has entered bond exchange-traded funds through the end of October".

WSJ

12. Equity fund flows. "Equity funds have seen alternating periods of inflows and outflows since April".

Deutsche Bank via TME

13. Put/call premium. "Last week, all traders across all U.S. exchanges bought to open $4.20 (lol) in put options for every $1 in call options".

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@sentimentrader

14. Equity put/call ratio. "30-day average of CBOE equity put/call ratio has moved to highest since April 2020 and, before that, December 2008".

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@lizannsonders

15. No capitulation. "We are far from the BIG low. We need big selling before buying this market".

BofA via TME

16. Positioning (I). Goldman's positioning indicator is back to extremely light territory.

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Goldman Sachs via @wallstjesus

17. Positioning (II). Deutsche Bank's equity positioning indicator remains low.

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Deutsche Bank via @wallstjesus

18. CTAs and equities. "CTAs have loaded up on equities in size".

Deutsche Bank via TME

19. CTAs and oil. "Computers have been busy selling oil".

Deutsche Bank via TME

20. Oil inflows. "WisdomTree’s Brent Crude Oil ETP attracted a weekly record of about $500 million, almost tripling the fund’s assets to more than $700 million".

Oil Exchange-Traded Products Pull in More Cash | WisdomTree's Brent crude fund saw its assets balloon last week
Bloomberg

21. Oil positioning (I). "The crowd has puked oil lately".

Deutsche Bank via TME

22. Oil positioning (II). "Hedge funds continue to boost crude oil shorts. Managed Money short positioning in oil futures now at 24%".

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@warrenpies

23. Pros vs. Joes. "37% of retail investors believed owning US stocks is the best trade ahead of the rate decision, while 40% of professional investors said it’s better to short them".

Bloomberg

24. Earnings divergence. "The ERP today is just 225bps. Back in Aug 2008, the ERP was 380bps, arguing the market is more mispriced today than back then for the earnings revisions we think are ahead...Our expectation for $SPX price low in Q1 is in the 3,000-3,300 range".

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Mike Wilson via @saxena_peru

25. Duncan Leading Indicator. "Downward earnings revisions have only just begun and MS expects $SPX EPS to decline 15-20% in '23".

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Morgan Stanley via @saxena_peru

26. 2023 & 2024 EPS. "Our 2023 and 2024 S&P 500 EPS estimates are below consensus".

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Goldman Sachs via @mikezaccardi

27. Targets dispersion. "Little Consensus in the Consensus... Market strategists’ targets for the S&P 500 are exhibiting their widest dispersion since 2009".

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Morgan Stanley via @samro

28. OpEx Friday (I). "Record $3.7 trillion opex on Friday".

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@zerohedge

29. OpEx Friday (II). “With quarterly OpEx on Friday, we should expect gamma to grow through the week and help keep markets pinned in this general range unless CPI and the Fed knock us out. This week, we are a bit less concerned about option exposures and more focused on the fundamental events”.

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@t1alpha

30. VIX vs. S&P. And finally, today’s outsized moves from both stocks and VIX “mark the first time since 1997 when both climbed in sync as much as they did”.

Odd Behavior | VIX jumps in sync with S&P 500 on a scale not seen in decades

Thanks for reading!

***

MONDAY BONUS: Cheat sheet. Global markets week in review.

Courtesy of @fxmacroguy (link to Substack below)

fx:macro

Brings you up to speed on the relevant macro developments: central banks, economic data, sentiment, intermarket analysis. Every weekend. For traders, investors and everyone interested in what's going on in FX and macro.
By FXMacroGuy
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Daily Chartbook #102

www.dailychartbook.com
1 Comment
Mosaic Asset Company
Writes The Market Mosaic
Dec 13, 2022Liked by Daily Chartbook

Chart #20 stands out just a bit...

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