Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.3 -2.7%
- DJIA Intraday % Swing .55% n/a
- Bloomberg Global Risk On/Risk Off Index 55.5 +.3%
- Euro/Yen Carry Return Index 168.6 +.33%
- Emerging Markets Currency Volatility(VXY) 7.83 +.26%
- CBOE S&P 500 Implied Correlation Index 20.5 +.6%
- ISE Sentiment Index 137.0 +33.0
- Total Put/Call .79 -15.0%
- NYSE Arms 1.19 +176.7%
- NYSE Non-Block Money Flow +$267.6M
Credit Investor Angst:
- North American Investment Grade CDS Index 55.64 -.85%
- US Energy High-Yield OAS 336.59 -.04%
- Bloomberg TRACE # Distressed Bonds Traded 319 -12
- European Financial Sector CDS Index 67.6 -1.9%
- Deutsche Bank Subordinated 5Y Credit Default Swap 208.90 -1.2%
- Italian/German 10Y Yld Spread 158.0 basis points -4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 91.6 +1.4%
- Emerging Market CDS Index 166.84 -1.11%
- Israel Sovereign CDS 110.0 -.02%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.05 +.13%
- 2-Year SOFR Swap Spread -22.0 basis points -.25 basis point
- TED Spread 26.5 basis points +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -9.0 -2.5 basis points
- MBS 5/10 Treasury Spread 144.0 +1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 963.0 -1.0 basis point
- Avg. Auto ABS OAS 79.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 41.7 -.07%
- 3-Month T-Bill Yield 5.35% -2.0 basis points
- China Iron Ore Spot 138.1 USD/Metric Tonne -.43%
- Dutch TTF Nat Gas(European benchmark) 34.20 euros/megawatt-hour -.08%
- Citi US Economic Surprise Index 18.2 +.9 point
- Citi Eurozone Economic Surprise Index -42.9 -.6 point
- Citi Emerging Markets Economic Surprise Index 18.3 unch.
- S&P 500 Current Quarter EPS Growth Rate YoY(17 of 500 reporting) +13.5% +.5 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 242.75 +.14: Growth Rate +11.5% +.1 percentage point, P/E 19.6 +.2
- 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 287.93 +.18: Growth Rate +35.0% +.1 percentage point, P/E 30.4 +.2
- Bloomberg US Financial Conditions Index n/a
- Bloomberg Euro-Zone Financial Conditions Index -.27 -65.0 basis points
- US Yield Curve -43.0 basis points (2s/10s) +2.75 basis points
- US Atlanta Fed 4Q GDPNow Forecast +2.68% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 67.7% -.1 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +3.02% -.41 percentage point: CPI YoY +3.33% unch.
- 10-Year TIPS Spread 2.20 -2.0 basis points
- Highest target rate probability for March 20th FOMC meeting: 74.1%(+2.8 percentage points) chance of 5.0%-5.25%. Highest target rate probability for May 1st meeting: 69.5%(-.1 percentage point) chance of 4.75%-5.0%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +176 open in Japan
- China A50 Futures: Indicating +39 open in China
- DAX Futures: Indicating +189 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/transport/utility sector longs and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
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