Daily Chartbook #102

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".

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".

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".

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

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".

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".

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

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".

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)".

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".

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".

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

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".

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".

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

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

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

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

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

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".

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

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

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".

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".

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

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

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

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

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”.

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”.

Thanks for reading!

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