Stocks Falling Substantially into Afternoon on More Hawkish Fed Commentary, US Policy-Induced Stagflation Fears, Rising European/Emerging Markets/US High-Yield Debt Angst, Tech/Homebuilding Sector Weakness

Broad Equity Market Tone:

• Advance/Decline Line: Substantially Lower
  

• Sector Performance:  Every Sector Declining
  

• Volume:  Around Average

• Market Leading Stocks: Underperforming
  

Equity Investor Angst:

• Volatility(VIX) 24.2 +11.3%
• DJIA Intraday % Swing 2.24% +200.7%
  
• Bloomberg Global Risk On/Risk Off Index 42.08 -2.6%

• Euro/Yen Carry Return Index 140.99 +.62%

• Emerging Markets Currency Volatility(VXY) 11.6 -1.0%

• CBOE S&P 500 Implied Correlation Index 45.3 +5.9% 

• ISE Sentiment Index 116.0 -21.0 points
  

• Total Put/Call .90 unch.

• NYSE Arms .97 +54.0%

Credit Investor Angst:

• North American Investment Grade CDS Index 84.84 +4.6%
  

• US Energy High-Yield OAS 394.98 -.63%
• Bloomberg TRACE # Distressed Bonds Traded 351.0 +9.0
  

• European Financial Sector CDS Index 118.94 +3.1%

• Italian/German 10Y Yld Spread 231.0 basis points +6.0 basis points
  

• Asia Ex-Japan Investment Grade CDS Index 130.27 -1.7%
  

• Emerging Market CDS Index 316.01 +2.7%
  

• China Corp. High-Yield Bond USD ETF(KHYB) 27.0 +.26%
  
• Ukraine Sovereign Debt Credit Default Swap 9,588.9 n/a
  

• 2-Year Swap Spread 33.75 basis points +.75 basis point
  

• TED Spread 24.25 basis points +1.5 basis points
  

• 3-Month EUR/USD Cross-Currency Basis Swap -14.75 basis points -.25 basis point
  
• MBS  5/10 Treasury Spread  135.0 unch.
  
• iShares CMBS ETF 47.77 -.10%
• Avg. Auto ABS OAS .83-2.0 basis points
  

Economic Gauges:

• Bloomberg Emerging Markets Currency Index 48.84 +.05%
• 3-Month T-Bill Yield 2.79% +2.0 basis points
  

• Yield Curve -37.75 basis points (2s/10s) -4.0 basis points
  

• China Iron Ore Spot 105.5 USD/Metric Tonne -.1%
• Dutch TTF Nat Gas(European benchmark) 306.0 euros/megawatt-hour -4.8%

• Citi US Economic Surprise Index -24.3 -5.2 points

• Citi Eurozone Economic Surprise Index -32.7 +4.5 points
  

• Citi Emerging Markets Economic Surprise Index 22.4 -2.2 points
  
• S&P 500 Blended Forward 12 Months Mean EPS Estimate 236.67 -.07:  Growth Rate +15.7% -.1 percentage point, P/E 17.4 -.2 point
  
• US Atlanta Fed GDPNow Q3 Forecast +1.57% +19.0 basis points
  
• Bloomberg US Financial Conditions Index -.26 -1.0 basis point
  

• 1-Year TIPS Spread 2.44 -16.0 basis points: 10-Year TIPS Spread 2.59 -1.0 basis point
  
• Highest target rate probability for November 2nd FOMC meeting: 48.0%(+.5 percentage point) chance of 3.5%-3.75%. Highest target rate probability for December 14th meeting: 44.2%(-.4 percentage point) chance of 3.50%-3.75%.
  

US Covid-19:

• 189 new infections/100K people(last 7 days total). 10.9%(-.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 -75.3%(unch.) from peak 7-day avg. of 1/9/22 - 1/15/22
  

Overseas Futures:

• Nikkei 225 Futures: Indicating -251 open in Japan 
• China A50 Futures: Indicating -14 open in China

• DAX Futures: Indicating +1 open in Germany

Portfolio:

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

• Disclosed Trades:  Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  

• Market Exposure:  Moved to Market Neutral