Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.3 -.7%
- DJIA Intraday % Swing .58% -27.7%
- Bloomberg Global Risk On/Risk Off Index 57.2 -2.0%
- Euro/Yen Carry Return Index 169.88 -.19%
- Emerging Markets Currency Volatility(VXY) 7.79 -1.6%
- CBOE S&P 500 Implied Correlation Index 19.5 -4.9%
- ISE Sentiment Index 109.0 -36.0
- Total Put/Call .81 -33.0%
- NYSE Arms 1.49 +129.2%
- NYSE Non-Block Money Flow +$144.1M
Credit Investor Angst:
- North American Investment Grade CDS Index 57.69 -3.1%
- US Energy High-Yield OAS 341.33 -1.5%
- Bloomberg TRACE # Distressed Bonds Traded 298 +1
- European Financial Sector CDS Index 72.96 +.4%
- Deutsche Bank Subordinated 5Y Credit Default Swap 222.5 -.45%
- Italian/German 10Y Yld Spread 168.0 basis points -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 104.1 +2.0%
- Emerging Market CDS Index 181.92 -.03%
- Israel Sovereign CDS 113.68 +.76%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.24 unch.
- 2-Year SOFR Swap Spread -15.0 basis points +1.75 basis points
- TED Spread 22.5 basis points +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.5 +1.0 basis point
- MBS 5/10 Treasury Spread 145.0 -4.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 966.0 unch.
- Avg. Auto ABS OAS 74.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 41.3 -.11%
- 3-Month T-Bill Yield 5.37% -1.0 basis point
- China Iron Ore Spot 137.5 USD/Metric Tonne -.36%
- Dutch TTF Nat Gas(European benchmark) 31.6 euros/megawatt-hour -8.6%
- Citi US Economic Surprise Index 5.9 -.2 point
- Citi Eurozone Economic Surprise Index -17.4 +13.9 points
- Citi Emerging Markets Economic Surprise Index 17.5 +2.0 points
- S&P 500 Current Quarter EPS Growth Rate YoY(21 of 500 reporting) +9.1% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 243.63 +.15: Growth Rate +12.0% +.1 percentage point, P/E 19.4 +.1
- S&P 500 Current Year Estimated Profit Margin 12.05% +1.0 basis point
- 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 290.37 +.34: Growth Rate +36.1% +.1 percentage point, P/E 29.5 +.4
- Bloomberg US Financial Conditions Index n/a
- Bloomberg Euro-Zone Financial Conditions Index .39 -1.0 basis point
- US Yield Curve -35.5 basis points (2s/10s) unch.
- US Atlanta Fed 4Q GDPNow Forecast +2.51% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 64.2% +1.2 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +3.02% unch.: CPI YoY +3.32% unch.
- 10-Year TIPS Spread 2.23 unch.
- Highest target rate probability for March 20th FOMC meeting: 60.9%(-1.2 percentage points) chance of 5.0%-5.25%. Highest target rate probability for May 1st meeting: 51.1%(-2.1 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +538 open in Japan
- China A50 Futures: Indicating +22 open in China
- DAX Futures: Indicating +127 open in Germany
Portfolio:
- Higher: On gains in my tech/consumer discretionary/biotech/utility/transport sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 75% Net Long
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