Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.4 -6.0%
- DJIA Intraday % Swing .50% -31.9%
- Bloomberg Global Risk On/Risk Off Index 66.2 +4.6%
- Euro/Yen Carry Return Index 173.0 +.30%
- Emerging Markets Currency Volatility(VXY) 7.76 +.39%
- CBOE S&P 500 Implied Correlation Index 22.4 -8.9%
- ISE Sentiment Index 110.0 +4.0
- Total Put/Call .96 -13.5%
- NYSE Arms 1.39 +19.8%
- NYSE Non-Block Money Flow +$250.6M
Credit Investor Angst:
- North American Investment Grade CDS Index 68.28 -2.8%
- US Energy High-Yield OAS 342.79 -1.0%
- Bloomberg TRACE # Distressed Bonds Traded 350 -18
- European Financial Sector CDS Index 87.46 +.26%
- Deutsche Bank Subordinated 5Y Credit Default Swap 273.12 +2.6%
- Italian/German 10Y Yld Spread 186.0 basis points -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 115.5 +.67%
- Emerging Market CDS Index 211.24 -1.7%
- Israel Sovereign CDS 123.14 +.3%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.8 unch.
- 2-Year SOFR Swap Spread -17.0 basis points -.75 basis point
- TED Spread 22.75 basis points +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -17.5 unch.
- MBS 5/10 Treasury Spread 172.0 -1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 910.0 +1.0 basis point
- Avg. Auto ABS OAS 98.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 41.47 -.13%
- 3-Month T-Bill Yield 5.41% -1.0 basis point
- China Iron Ore Spot 128.2 USD/Metric Tonne +1.1%
- Dutch TTF Nat Gas(European benchmark) 46.6 euros/megawatt-hour -3.11%
- Citi US Economic Surprise Index 45.1 -4.5 points
- Citi Eurozone Economic Surprise Index -44.5 +.4 point
- Citi Emerging Markets Economic Surprise Index 21.0 -1.5 point
- S&P 500 Current Quarter EPS Growth Rate YoY(458 of 500 reporting) +2.8% +.1 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 239.86 +.06: Growth Rate +8.6% +.1 percentage point, P/E 18.1 -.2
- S&P 500 Current Year Estimated Profit Margin 12.12% -2.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +38.4% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 275.01 +.27: Growth Rate +62.2% +.1 percentage point, P/E 28.8 unch.
- Bloomberg US Financial Conditions Index .17 unch.
- Bloomberg Euro-Zone Financial Conditions Index .24 unch.
- US Yield Curve -43.0 basis points (2s/10s) -4.0 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 -2.0 basis points
- Highest target rate probability for Jan. 31st FOMC meeting: 77.7%(+1.2 percentage points) chance of 5.25%-5.5%. Highest target rate probability for March 20th meeting: 68.6%(+.8 percentage point) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +304 open in Japan
- China A50 Futures: Indicating +12 open in China
- DAX Futures: Indicating +130 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/utility/transport sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 100% Net Long
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