Here, instead of telling you our quad expectation and the implications for fundamental developments and asset prices, I’ll give you the data and you tell me what Quad the market thinks we’re in.
It’s a kind of Socratic exercise and the conclusion should be self-evident …… Let the since-athon commence:
- SPX = -1.6% D/D and -16.1% off the High = 2467.42 = lowest since September 2017
- Russell 2000 = -1.7% D/D and -23.9% off the high = lowest since December 2016
- Oil =-4.8% D/ad and -68% off the 52-week high = lowest since the deflationary and manufacturing/profit recession lows of April 2016. High Yield =
- IG Spreads = +2bps to 1.8% = widest since July 2016
- HY Spreads = +31 bps to 5.12% = widest since July 2016. And up a full +200 bps since the start of 4Q and the “we’re not seeing it [Quad 4] in credit yet” peak
- HYG = -0.9% D/D and again trading at a growing discount to NAV= lowest since March 2016
- JNK = -1% D/D = lowest since Feb 2016
- Volume = +31% D/D, +57% vs 1M and 3M ave = highest volume since the vol-pocalypse in February.
- VIX = +10.9% D/D = 28.38 = also highest since the February rout.
- Inflation Expectations (10Y Breakevens) = lowest since September 2017.
- 10Y Yield = down to 2.78% this morning = lower lows as Quad 4 continues to pressure the long end lower.
- Yield Spread (10’s-2’s) = bull steepened modestly yesterday but still = tightest since June 2007
- Single-Family Housing Starts Growth = -13.1% Y/Y = worst since April 2011
- Existing Home Sales = -7% Y/Y = also worst since the housing recession doldrums of 2011
- Financial Stress Index = highest since March 2016
- Financial Conditions = Tightest since December 2016
- 2020 Policy Expectations = derivatives markets have gone from pricing in further tightening in 2020 just 4 weeks ago to now discounting policy easing.
So that was fun.