Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.6 +3.2%
- DJIA Intraday % Swing .95% +35.6%
- Bloomberg Global Risk On/Risk Off Index 65.8 -.4%
- Euro/Yen Carry Return Index 173.4 +.19%
- Emerging Markets Currency Volatility(VXY) 7.74 +.13%
- CBOE S&P 500 Implied Correlation Index 21.9 -1.2%
- ISE Sentiment Index 131.0 +17.0
- Total Put/Call 1.05 +.96%
- NYSE Arms 1.07 +3.9%
- NYSE Non-Block Money Flow -$124.2M
Credit Investor Angst:
- North American Investment Grade CDS Index 67.8 -1.15%
- US Energy High-Yield OAS 344.05 +1.2%
- Bloomberg TRACE # Distressed Bonds Traded 350 unch.
- European Financial Sector CDS Index 85.12 -2.3%
- Deutsche Bank Subordinated 5Y Credit Default Swap 269.5 -1.3%
- Italian/German 10Y Yld Spread 185.0 basis points -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 115.3 +.43%
- Emerging Market CDS Index 210.72 -.25%
- Israel Sovereign CDS 128.2 +4.8%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.8 unch.
- 2-Year SOFR Swap Spread -17.5 basis points -.5 basis point
- TED Spread 23.5 basis points +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -19.0 -1.5 basis points
- MBS 5/10 Treasury Spread 170.0 -2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 914.0 +4.0 basis points
- Avg. Auto ABS OAS 94.0 -4.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 41.5 -.01%
- 3-Month T-Bill Yield 5.42% +1.0 basis point
- China Iron Ore Spot 127.5 USD/Metric Tonne -.55%
- Dutch TTF Nat Gas(European benchmark) 47.9 euros/megawatt-hour +2.66%
- Citi US Economic Surprise Index 41.6 -3.5 points
- Citi Eurozone Economic Surprise Index -44.5 unch.
- Citi Emerging Markets Economic Surprise Index 21.4 +.4 point
- S&P 500 Current Quarter EPS Growth Rate YoY(460 of 500 reporting) +2.6% -.2 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 239.97 +.11: Growth Rate +8.6% unch., P/E 18.4 +.3
- S&P 500 Current Year Estimated Profit Margin 12.13% +1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +38.4% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 275.32 +.31: Growth Rate +62.4% +.2 percentage point, P/E 29.1 +.3
- Bloomberg US Financial Conditions Index .17 -2.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .25 +1.0 basis point
- US Yield Curve -40.75 basis points (2s/10s) +2.25 basis points
- US Atlanta Fed 3Q GDPNow Forecast +2.06% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +3.63% unch.: CPI YoY +3.28% unch.
- 10-Year TIPS Spread 2.34 unch.
- Highest target rate probability for Jan. 31st FOMC meeting: 73.3%(-4.4 percentage points) chance of 5.25%-5.5%. Highest target rate probability for March 20th meeting: 65.5%(-3.1 percentage point) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +225 open in Japan
- China A50 Futures: Indicating +98 open in China
- DAX Futures: Indicating +75 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/utility/transport sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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