Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.4 -1.4%
- DJIA Intraday % Swing .55% n/a
- Bloomberg Global Risk On/Risk Off Index 57.1 -1.5%
- Euro/Yen Carry Return Index 169.5 +1.3%
- Emerging Markets Currency Volatility(VXY) 7.84 -.38%
- CBOE S&P 500 Implied Correlation Index 19.7 +1.44%
- ISE Sentiment Index 143.0 -12.0
- Total Put/Call .93 -7.0%
- NYSE Arms .96 -13.1%
- NYSE Non-Block Money Flow +$291.5M
Credit Investor Angst:
- North American Investment Grade CDS Index 56.81 -1.7%
- US Energy High-Yield OAS 339.40 -1.9%
- Bloomberg TRACE # Distressed Bonds Traded 357 -12
- European Financial Sector CDS Index 68.81 -2.8%
- Deutsche Bank Subordinated 5Y Credit Default Swap 211.55 -.55%
- Italian/German 10Y Yld Spread 162.0 basis points -7.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 89.90 -.28%
- Emerging Market CDS Index 170.23 -1.20%
- Israel Sovereign CDS 108.77 -.77%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.99 +.31%
- 2-Year SOFR Swap Spread -19.25 basis points +.25 basis point
- TED Spread 28.25 basis points +3.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -5.75 +1.5 basis points
- MBS 5/10 Treasury Spread 143.0 -4.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 964.0 +2.0 basis points
- Avg. Auto ABS OAS 81.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 41.79 +.16%
- 3-Month T-Bill Yield 5.37% -1.0 basis point
- China Iron Ore Spot 132.55 USD/Metric Tonne +.17%
- Dutch TTF Nat Gas(European benchmark) 32.60 euros/megawatt-hour -8.3%
- Citi US Economic Surprise Index 18.1 +5.1 points
- Citi Eurozone Economic Surprise Index -45.5 +.5 point
- Citi Emerging Markets Economic Surprise Index 19.2 -.5 point
- S&P 500 Current Quarter EPS Growth Rate YoY(9 of 500 reporting) +10.9% -1.3 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 242.61 +.13: Growth Rate +11.4% unch., P/E 19.6 unch.
- S&P 500 Current Year Estimated Profit Margin 12.04% -4.0 basis points
- 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 287.52 -6.93: Growth Rate +34.8% -3.2 percentage points, P/E 30.4 +.8
- Bloomberg US Financial Conditions Index .67 -1.0 basis point
- Bloomberg Euro-Zone Financial Conditions Index .42 unch.
- US Yield Curve -51.5 basis points (2s/10s) -.75 basis point
- US Atlanta Fed 4Q GDPNow Forecast +2.68% +7.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 64.1% +1.0 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +3.43% unch.: CPI YoY +3.33% -5.0 basis points
- 10-Year TIPS Spread 2.20 -2.0 basis points
- Highest target rate probability for March 20th FOMC meeting: 67.5%(+4.1 percentage points) chance of 5.0%-5.25%. Highest target rate probability for May 1st meeting: 58.8%(+3.2 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +171 open in Japan
- China A50 Futures: Indicating +48 open in China
- DAX Futures: Indicating +211 open in Germany
Portfolio:
- Higher: On gains in my consumer discretionary/tech/industrial/transport/utility sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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