Daily Chartbook #138

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

1. US oil production. "US oil production rose to its highest level since the early days of the pandemic in the seven days to Feb. 3".

2. Financial situation. "35% of Americans say they are financially better off now than they were a year ago (same as January 2021); 50% say they are worse off than a year ago, which is highest share since 2009".

3. CPI forecast. "January CPI expected to rise 0.44%".

4. Jobless claims. "Initial jobless claims rose 13,000 [which was above expectations] last week to 196,000. The four week moving average declined -7,500 to 189,250. Continuing claims increased 38,000 to 1,688,000...For the week, initial claims are now higher YoY, for the first time since December".

5. Wage tracker. "Pay growth for job switchers ticked down to 7.3% from 7.7% in December  (vs 8.5% in July). For job stayers, growth ticked up to 5.4% from 5.3% in Dec (vs 6.1% in June)".

6. Downturn phase. "Morgan Stanley's cycle indicator is now indicating that we're within the downturn phase, encouraging defensive positioning".

7. Different this time... "Stop worrying about the curve inversion, says Goldman. 'We believe this cycle is different, with an economy that can support a higher long run real rate than currently assumed.' If the economy stays robust, 'it will be hard to argue that the Fed has been severely restrictive.'"

8. Deep(er) inversion. "The US 2-year yield exceeded the 10-year yield by the widest margin since the early 1980s, surpassing its December 2022 extremes".

9. Treasury seasonality. "As always, seasonality is climate, not weather. Still, when you add price below resistance and below 200-day MA to unfavorable seasonality and a rising rate environment…It's not that bonds can't rally from here, it's that they have some proving to do".

10. Multi-asset volatility. "Since peaking in Oct, multi-asset volatility (i.e., stocks + bonds + currencies) is at its lowest level since Feb 2022. Doesn't feel like uncertainty is falling though...risk is to the upside here".

11. Risk perception. "Citi macro risk index has crashed recently and has added fuel to the squeeze. Are investors becoming too complacent?"

12. Returns by time of day. "It's not surprising to find more buying than selling activity in the final two hours of the day in a bull market — and more selling than buying in a bear market".

13. Holding periods. "Average US stock holding periods fallen from 5 yrs to 10 months in recent decades. Has contributed to current 'pain-trade' of out-of-position investors. Retail is better placed, as 63% think in years or decades".

14. Short-term options (I). "70% of equity notional traded on a daily basis is now options! 45% of SPX options expire in 6.5 hours or less, an all-time high".

15. Short-term options (II). "While we can't know exactly what's driving these trades, the general compression of vol and price action that seems "bounded" suggests these options are being sold to dealers as income generators rather than hedges. As the options decay into 0DTE, volume becomes two directional".

16. Active investment managers. "NAAIM Exposure 85, highest since early January 2022".

17. Funds’ exposure. "HF/systematic have closed equity shorts, but exposure is still below average. L/S and Risk control funds' equity exposure is depressed while Macro HFs are above their median levels".

18. Equity exposure. "Money managers have cut $300 billion of bearish equity bets and are now positioned more in line with historic norms. Investors are now the closest to neutral positioning on stocks than they've been since the second quarter of last year".

19. AAII sentiment. "AAII [bulls] highest since Dec 2021. AAII [bears] lowest since Nov 2021. For the first time in 45 weeks, [bulls] > [bears]".

20. Insiders. "Corporate insider buying is now at extremely low levels".

21. Tech flows. "The 1-month flows are generally more neutral than they were at the end of last year, but they’re not at levels that suggests a reversal".

22. Semis positioning. "Semis has seen de-grossing, but it’s been pretty similar on both sides, which has left the L/S ratio and net positioning relatively unchanged YTD, despite the YTD rally".

23. Sector short interest. "Short sellers continued to place wagers against consumer discretionary stocks in January, even as inflation appears to be cooling, while a bank focused on cryptocurrency leads the list of most-shorted U.S. stocks".

24. Mega cap tech. "Short covering has pushed up the L/S ratio from very low levels to about the 16th %-tile as it has rallied YTD".

25. Q4 earnings (I). "The aggregate S&P 500 Q4 earnings missed estimates for the first time since the GFC".

26. Q4 earnings (II). "But the S&P 500 median earnings beat by an average amount".

27. Q4 earnings (III). "The aggregate tech sector missed estimates massively, driven by mega-cap companies".

28. Bottom-up EPS estimates. "Somehow, with higher wage costs and lower revenue projections, company earnings are still expected to grow in 2023 and 2024".

29. Earnings yield. "Earnings yield for US stocks is now close to turning negative versus the Fed funds rate for the first time since the tech bust".

Thanks for reading!