Stocks Falling Substantially into Afternoon on US Policy-Induced Stagflation Fears, Fed "Behind the Curve" Worries, Escalating European/Emerging Markets/US High-Yield Debt Angst, Consumer Discretionary/Tech Sector Weakness

Broad Equity Market Tone:

• Advance/Decline Line: Substantially Lower
  

• Sector Performance:  Almost Every Sector Declining
  

• Volume:  Below Average

• Market Leading Stocks: Performing In Line
  

Equity Investor Angst:

• Volatility(VIX) 23.9 +16.0%
• DJIA Intraday % Swing 1.18% +78.4%
  
• Bloomberg Global Risk On/Risk Off Index 41.5 -2.5%

• Euro/Yen Carry Return Index 140.45 -.67%

• Emerging Markets Currency Volatility(VXY) 12.1 -.25%

• CBOE S&P 500 Implied Correlation Index 46.0 +5.0% 

• ISE Sentiment Index 96.0 +9.0 points
  

• Total Put/Call 1.10 +6.8%

• NYSE Arms .85 -8.6%

Credit Investor Angst:

• North American Investment Grade CDS Index 83.63 +3.8%
  

• US Energy High-Yield OAS 400.59 +.15%
• Bloomberg TRACE # Distressed Bonds Traded 337.0 +6.0
  

• European Financial Sector CDS Index 117.82 +6.6%

• Italian/German 10Y Yld Spread 233.0 basis points +6.0 basis points
  

• Asia Ex-Japan Investment Grade CDS Index 144.29 +5.4%
  

• Emerging Market CDS Index 337.28 +4.8%
  

• China Corp. High-Yield Bond USD ETF(KHYB) 26.62 -.19%
  
• Ukraine Sovereign Debt Credit Default Swap 9,588.9 n/a
  

• 2-Year Swap Spread 36.5 basis points +2.0 basis points
  

• TED Spread 31.25 basis points -2.75 basis points
  

• 3-Month EUR/USD Cross-Currency Basis Swap -17.0 basis points -.5 basis point
  
• MBS  5/10 Treasury Spread  139.0 +7.0 basis points
  
• iShares CMBS ETF 47.84 -.50%
• Avg. Auto ABS OAS .92 unch.
  

Economic Gauges:

• Bloomberg Emerging Markets Currency Index 48.59 -.43%
• 3-Month T-Bill Yield 2.71% +7.0 basis points
  

• Yield Curve -31.75 basis points (2s/10s) -3.5 basis points
  

• China Iron Ore Spot 101.10 USD/Metric Tonne -.7%
• Dutch TTF Nat Gas(European benchmark) 280.24 euros/megawatt-hour +14.6%

• Citi US Economic Surprise Index -9.8 +6.6 points

• Citi Eurozone Economic Surprise Index -49.9 +1.5 points
  

• Citi Emerging Markets Economic Surprise Index 27.5 -2.9 points
  
• S&P 500 Blended Forward 12 Months Mean EPS Estimate 236.68 +.04:  Growth Rate +15.6% unch., P/E 17.5 -.4 point
  
• US Atlanta Fed GDPNow Q3 Forecast +1.62% unch.
  
• Bloomberg US Financial Conditions Index -.32 -9.0 basis points
  

• 1-Year TIPS Spread 2.68 -4.0 basis points: 10-Year TIPS Spread 2.57 +1.0 basis point
  
• Highest target rate probability for November 2nd FOMC meeting: 48.2%(-1.9 percentage points) chance of 3.25%-3.5%. Highest target rate probability for December 14th meeting: 47.2%(+2.1 percentage points) chance of 3.50%-3.75%.
  

US Covid-19:

• 196 new infections/100K people(last 7 days total). 11.3%(-.4 percentage point) of 1/14/22 peak(1,740) -7/100K people from prior report.
  
• New Covid-19 patient hospital admissions per 100K population -76.6%(-2.8 percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
  

Overseas Futures:

• Nikkei 225 Futures: Indicating -314 open in Japan 
• China A50 Futures: Indicating -61 open in China

• DAX Futures: Indicating -41 open in Germany

Portfolio:

• Slightly Higher:  On gains in my index hedges and emerging market shorts
  

• Disclosed Trades:  Added to my emerging market shorts
  

• Market Exposure:  Moved to Market Neutral