Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.9 -6.0%
- DJIA Intraday % Swing .51% +32.2%
- Bloomberg Global Risk On/Risk Off Index 60.3 -2.5%
- Euro/Yen Carry Return Index 168.5 -.1%
- Emerging Markets Currency Volatility(VXY) 7.81 -.5%
- CBOE S&P 500 Implied Correlation Index 18.8 -3.9%
- ISE Sentiment Index 152.0 +12.0
- Total Put/Call .93 -2.1%
- NYSE Arms 1.55 +74.2%
- NYSE Non-Block Money Flow +$74.3M
Credit Investor Angst:
- North American Investment Grade CDS Index 60.5 -1.5%
- US Energy High-Yield OAS 366.67 +1.6%
- Bloomberg TRACE # Distressed Bonds Traded 370 +9.0
- European Financial Sector CDS Index 75.87 +.22%
- Deutsche Bank Subordinated 5Y Credit Default Swap 212.69 -.19%
- Italian/German 10Y Yld Spread 178.0 basis points -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 98.4 -1.3%
- Emerging Market CDS Index 184.0 -.23%
- Israel Sovereign CDS 114.61 +.07%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.55 -.08%
- 2-Year SOFR Swap Spread -19.75 basis points unch.
- TED Spread 26.5 basis points +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -10.25 +.25 basis point
- MBS 5/10 Treasury Spread 148.0 unch.
- Bloomberg CMBS Investment Grade Bbb Average OAS 962.0 +2.0 basis points
- Avg. Auto ABS OAS 82.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 41.5 -.22%
- 3-Month T-Bill Yield 5.38% -1.0 basis point
- China Iron Ore Spot 134.3 USD/Metric Tonne -1.3%
- Dutch TTF Nat Gas(European benchmark) 34.7 euros/megawatt-hour -3.9%
- Citi US Economic Surprise Index 16.0 -1.2 points
- Citi Eurozone Economic Surprise Index -17.8 +1.6 points
- Citi Emerging Markets Economic Surprise Index 27.3 +2.5 points
- S&P 500 Current Quarter EPS Growth Rate YoY(2 of 500 reporting) +13.1% +2.0 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 242.94 +.06: Growth Rate +11.6% +.1 percentage point, P/E 19.1 +.1
- S&P 500 Current Year Estimated Profit Margin 12.09% -2.0 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 285.80 +7.10: Growth Rate +37.3% +.1 percentage point, P/E 28.5 +.1
- Bloomberg US Financial Conditions Index .64 +4.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .34 unch.
- US Yield Curve -52.5 basis points (2s/10s) -3.25 basis points
- US Atlanta Fed 4Q GDPNow Forecast +1.25% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 54.5% +2.3 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +3.43% -3.0 basis points: CPI YoY +3.38% +34.0 basis points
- 10-Year TIPS Spread 2.18 -2.0 basis points
- Highest target rate probability for Jan. 31st FOMC meeting: 94.4%(-3.4 percentage points) chance of 5.25%-5.5%. Highest target rate probability for March 20th meeting: 57.2%(+.4 percentage point) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +70 open in Japan
- China A50 Futures: Indicating -20 open in China
- DAX Futures: Indicating +31 open in Germany
Portfolio:
- Higher: On gains in my industrial/tech/transport sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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