Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.7 -1.4%
- DJIA Intraday % Swing .76% +46.6%
- Bloomberg Global Risk On/Risk Off Index 60.4 -2.9%
- Euro/Yen Carry Return Index 171.2 -.96%
- Emerging Markets Currency Volatility(VXY) 7.84 +.26%
- CBOE S&P 500 Implied Correlation Index 21.1 +2.2%
- ISE Sentiment Index 115.0 -7.0
- Total Put/Call .82 -7.9%
- NYSE Arms .91 +40.0%
- NYSE Non-Block Money Flow +$215.9M
Credit Investor Angst:
- North American Investment Grade CDS Index 61.4 -1.77%
- US Energy High-Yield OAS 336.7 -.16%
- Bloomberg TRACE # Distressed Bonds Traded 345 +15.0
- European Financial Sector CDS Index 76.6 -2.0%
- Deutsche Bank Subordinated 5Y Credit Default Swap 233.8 -1.9%
- Italian/German 10Y Yld Spread 174.0 basis points -4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 98.3 -.48%
- Emerging Market CDS Index 184.6 -1.6%
- Israel Sovereign CDS 114.6 -.43%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.38 -.11%
- 2-Year SOFR Swap Spread -18.5 basis points -.5 basis point
- TED Spread 25.0 basis points +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -12.0 +.25 basis point
- MBS 5/10 Treasury Spread 153.0 unch.
- Bloomberg CMBS Investment Grade Bbb Average OAS 944.0 -2.0 basis points
- Avg. Auto ABS OAS 88.0 -3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 41.8 +.18%
- 3-Month T-Bill Yield 5.37% -3.0 basis points
- China Iron Ore Spot 131.0 USD/Metric Tonne -.16%
- Dutch TTF Nat Gas(European benchmark) 43.5 euros/megawatt-hour +3.3%
- Citi US Economic Surprise Index 25.6 -4.2 points
- Citi Eurozone Economic Surprise Index -23.7 +6.9 points
- Citi Emerging Markets Economic Surprise Index 25.8 +3.8 points
- S&P 500 Current Quarter EPS Growth Rate YoY(491 of 500 reporting) +4.5% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 242.07 +.06: Growth Rate +9.3% unch., P/E 18.9 +.1
- S&P 500 Current Year Estimated Profit Margin 12.13% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +50.6% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 284.46 +.46: Growth Rate +33.4% +.2 percentage point, P/E 29.0 +.1
- Bloomberg US Financial Conditions Index .52 unch.
- Bloomberg Euro-Zone Financial Conditions Index .23 +5.0 basis points
- US Yield Curve -33.75 basis points (2s/10s) +2.75 basis points
- US Atlanta Fed 4Q GDPNow Forecast +1.77% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 55.3% -1.9 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +3.46% unch.: CPI YoY +3.04% unch.
- 10-Year TIPS Spread 2.22 -3.0 basis points
- Highest target rate probability for Jan. 31st FOMC meeting: 83.8%(-8.6 percentage points) chance of 5.25%-5.5%. Highest target rate probability for March 20th meeting: 57.3%(+15.8 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +34 open in Japan
- China A50 Futures: Indicating -20 open in China
- DAX Futures: Indicating +67 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/utility/transport sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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