Stocks Falling into Afternoon on Fed Credibility Concerns, Rapidly Falling Earnings Estimates, Emerging Markets Debt Angst, Tech/Homebuilding Sector Weakness

Broad Equity Market Tone:

• Advance/Decline Line: Lower
  

• Sector Performance: Most Sectors Declining
  

• Volume:  Above Average

• Market Leading Stocks: Performing In Line
  

Equity Investor Angst:

• Volatility(VIX) 18.8 +.4%
• DJIA Intraday % Swing 1.02%
  
• Bloomberg Global Risk On/Risk Off Index 57.1 +3.1%

• Euro/Yen Carry Return Index 147.2 +.97%

• Emerging Markets Currency Volatility(VXY) 10.2 +.1%

• CBOE S&P 500 Implied Correlation Index 34.2 +9.2% 

• ISE Sentiment Index 114.0 -13.0 point
  

• Total Put/Call .83 +5.1%

• NYSE Arms 1.14 -9.5%

Credit Investor Angst:

• North American Investment Grade CDS Index 68.12 +.75%
  

• US Energy High-Yield OAS 342.97 -.48%
• Bloomberg TRACE # Distressed Bonds Traded 316.0 +2.0
  

• European Financial Sector CDS Index 80.88 -.03% 
• Credit Suisse Subordinated 5Y Credit Default Swap 348.44 unch.
  

• Italian/German 10Y Yld Spread 183.0 basis points +1.0 basis point
  

• Asia Ex-Japan Investment Grade CDS Index 97.54 -3.0%
  

• Emerging Market CDS Index 218.8 +3.90%
  

• China Corp. High-Yield Bond USD ETF(KHYB) 27.93 +.05%

• 2-Year Swap Spread 27.75 basis points -1.75 basis points
  

• TED Spread 16.5 basis points -2.0 basis points
  

• 3-Month EUR/USD Cross-Currency Basis Swap -10.0 +.75 basis point
  
• MBS  5/10 Treasury Spread  127.0 +5.0 basis points
  
• Bloomberg US Agg CMBS Avg OAS 105.0 -1.0 basis point
  
• Avg. Auto ABS OAS .70 -1.0 basis point
  

Economic Gauges:

• Bloomberg Emerging Markets Currency Index 48.5 -.7%
• 3-Month T-Bill Yield 4.64% +2.0 basis points
  

• China Iron Ore Spot 123.2 USD/Metric Tonne -1.3%
• Dutch TTF Nat Gas(European benchmark) 57.9 euros/megawatt-hour +1.5%

• Citi US Economic Surprise Index 19.70 +30.7 points

• Citi Eurozone Economic Surprise Index 100.1 +2.4 points
  

• Citi Emerging Markets Economic Surprise Index 3.3 +.9 point
  
• S&P 500 Blended Forward 12 Months Mean EPS Estimate 224.80 -.01:  Growth Rate +.6% unch., P/E 18.5 -.1
• S&P 500 Current Year Estimated Profit Margin 12.23% unch.
  
• Bloomberg US Financial Conditions Index .49 +15.0 basis points
  
• Yield Curve -77.25 basis points (2s/10s) -7.75 basis points
• US Atlanta Fed 1Q GDPNow Forecast +.67% unch.
  

• Cleveland Fed Inflation Nowcast Core PCE YoY +4.30% unch.: CPI YoY +6.44% unch.
  
• 10-Year TIPS Spread 2.23 unch.
  
• Highest target rate probability for May 3rd FOMC meeting: 58.3%(+28.3 percentage points) chance of 5.0%-5.25%. Highest target rate probability for June 14th meeting: 54.3%(+22.4 percentage points) chance of 5.0%-5.25%.
  

US Covid-19:

• 84 new infections/100K people(last 7 days total). 4.8%(-.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 -82.4%(-.6 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
  

Overseas Futures:

• Nikkei 225 Futures: Indicating +66 open in Japan 
• China A50 Futures: Indicating -94 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 and to my emerging market shorts
  

• Market Exposure: Moved to Market Neutral