Stocks Falling into Afternoon on US Policy-Induced Stagflation Fears, Earnings Outlook Worries, European/Emerging Markets/US High-Yield Debt Angst, Transport/Commodity Sector Weakness

Broad Equity Market Tone:

• Advance/Decline Line: Substantially Lower
  

• Sector Performance: Almost Every Sector Declining
  

• Volume:  Above Average

• Market Leading Stocks: Underperforming
  

Equity Investor Angst:

• Volatility(VIX) 27.7 +5.4%
• DJIA Intraday % Swing 1.02%
  
• Bloomberg Global Risk On/Risk Off Index 42.2 -5.1%

• Euro/Yen Carry Return Index 147.23 -.3%

• Emerging Markets Currency Volatility(VXY) 11.6 +.3%

• CBOE S&P 500 Implied Correlation Index 50.2 +5.8% 

• ISE Sentiment Index 80.0 -4.0 points
  

• Total Put/Call 1.21 +12.0%

• NYSE Arms 1.16 +61.1%

Credit Investor Angst:

• North American Investment Grade CDS Index 90.48 +2.2%
  

• US Energy High-Yield OAS 407.35 +3.51%
• Bloomberg TRACE # Distressed Bonds Traded 347.0 -6.0
  

• European Financial Sector CDS Index 121.84 +3.4%

• Italian/German 10Y Yld Spread 228.0 basis points unch.
  

• Asia Ex-Japan Investment Grade CDS Index 127.29 +3.0%
  

• Emerging Market CDS Index 315.68 +.24%
  

• China Corp. High-Yield Bond USD ETF(KHYB) 26.80 -.11%

• 2-Year Swap Spread 38.25 basis points -3.25 basis points
  

• TED Spread 41.25 basis points +29.5 basis points
  

• 3-Month EUR/USD Cross-Currency Basis Swap -18.75 basis points +1.25 basis points
  
• MBS  5/10 Treasury Spread  155.0 +6.0 basis points
  
• iShares CMBS ETF 46.92 +.46%
• Avg. Auto ABS OAS .67 -1.0 basis point
  

Economic Gauges:

• Bloomberg Emerging Markets Currency Index 48.21 -.09%
• 3-Month T-Bill Yield 3.13% -2.0 basis points
  

• Yield Curve -42.5 basis points (2s/10s) -.75 basis point
  

• China Iron Ore Spot 99.15 USD/Metric Tonne -1.1%
• Dutch TTF Nat Gas(European benchmark) 188.0 euros/megawatt-hour -12.4%

• Citi US Economic Surprise Index 2.3 -.2 point

• Citi Eurozone Economic Surprise Index -10.80 -2.4 points
  

• Citi Emerging Markets Economic Surprise Index -1.8 +6.2 points
  
• S&P 500 Blended Forward 12 Months Mean EPS Estimate 237.62 -.01:  Growth Rate +16.2% +.3 percentage point, P/E 16.2 -.3
  
• Bloomberg US Financial Conditions Index -.77 -24.0 basis points
  
• US Atlanta Fed GDPNow Forecast +.52% unch.
  

• Cleveland Fed Inflation Nowcast Core PCE YoY +4.68% unch.: CPI YoY +8.21% unch.
  
• 10-Year TIPS Spread 2.38 -7.0 basis points
  
• Highest target rate probability for November 2nd FOMC meeting: 62.1%(+5.9 percentage points) chance of 3.75%-4.0%. Highest target rate probability for December 14th meeting: 42.7%(-3.6 percentage points) chance of 4.25%-4.5%.
  

US Covid-19:

• 126 new infections/100K people(last 7 days total). 7.2%(-.0 percentage point) of 1/14/22 peak(1,740) -0/100K people from prior report.
  
• New Covid-19 patient hospital admissions per 100K population -79.7%(-.0 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
  

Overseas Futures:

• Nikkei 225 Futures: Indicating -323 open in Japan 
• China A50 Futures: Indicating -22 open in China

• DAX Futures: Indicating +3 open in Germany

Portfolio:

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

• Disclosed Trades:  Added to my (IWM)/(QQQ) hedges
  

• Market Exposure:  Moved to Market Neutral