Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Light
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.2 +1.5%
- DJIA Intraday % Swing .42% -3.5%
- Bloomberg Global Risk On/Risk Off Index 56.2 +.8%
- Euro/Yen Carry Return Index 168.9 +.34%
- Emerging Markets Currency Volatility(VXY) 7.89 -.5%
- CBOE S&P 500 Implied Correlation Index 20.0 -1.1%
- ISE Sentiment Index 169.0 +40.0
- Total Put/Call .88 +1.2%
- NYSE Arms 1.1 -3.5%
- NYSE Non-Block Money Flow +$171.7M
Credit Investor Angst:
- North American Investment Grade CDS Index 55.76 +.3%
- US Energy High-Yield OAS 335.72 -.95%
- Bloomberg TRACE # Distressed Bonds Traded 293 -26
- European Financial Sector CDS Index 67.6 -1.9%
- Deutsche Bank Subordinated 5Y Credit Default Swap 208.35 +.01%
- Italian/German 10Y Yld Spread 158.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 90.9 +.38%
- Emerging Market CDS Index 166.49 -.21%
- Israel Sovereign CDS 111.2 +.82%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.0 -.12%
- 2-Year SOFR Swap Spread -21.75 basis points +.25 basis point
- TED Spread 23.75 basis points -2.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -9.0 unch.
- MBS 5/10 Treasury Spread 141.0 -3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 961.0 -2.0 basis points
- Avg. Auto ABS OAS 77.0 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 41.7 -.07%
- 3-Month T-Bill Yield 5.36% +1.0 basis point
- China Iron Ore Spot 139.5 USD/Metric Tonne -.6%
- Dutch TTF Nat Gas(European benchmark) 34.20 euros/megawatt-hour unch.
- Citi US Economic Surprise Index 14.3 -3.9 points
- Citi Eurozone Economic Surprise Index -42.2 +.7 point
- Citi Emerging Markets Economic Surprise Index 16.2 -2.1 points
- S&P 500 Current Quarter EPS Growth Rate YoY(17 of 500 reporting) +13.5% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 242.93 +.18: Growth Rate +11.6% +.1 percentage point, P/E 19.6 unch.
- S&P 500 Current Year Estimated Profit Margin 12.04% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) +0.0% -0.0 percentage points
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 288.53 +.60: Growth Rate +35.3% +.3 percentage point, P/E 30.4 unch.
- Bloomberg US Financial Conditions Index n/a
- Bloomberg Euro-Zone Financial Conditions Index .46 +73.0 basis points
- US Yield Curve -45.5 basis points (2s/10s) -2.25 basis points
- US Atlanta Fed 4Q GDPNow Forecast +2.26% -42.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 64.9% -2.8 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +3.02% unch.: CPI YoY +3.33% unch.
- 10-Year TIPS Spread 2.19 -1.0 basis point
- Highest target rate probability for March 20th FOMC meeting: 72.7%(-2.9 percentage points) chance of 5.0%-5.25%. Highest target rate probability for May 1st meeting: 71.8%(-1.8 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +119 open in Japan
- China A50 Futures: Indicating +1 open in China
- DAX Futures: Indicating n/a open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/industrial/transport/utility/consumer discretionary sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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