Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Gaining
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.4 +.5%
- DJIA Intraday % Swing .52% -6.9%
- Bloomberg Global Risk On/Risk Off Index 60.6 -1.2%
- Euro/Yen Carry Return Index 173.6 -.19%
- Emerging Markets Currency Volatility(VXY) 7.32 -1.4%
- CBOE S&P 500 Implied Correlation Index 17.9 -2.6%
- ISE Sentiment Index 142.0 +19.0
- Total Put/Call .85 -5.6%
- NYSE Arms 1.84 +106.7%
- NYSE Non-Block Money Flow +$98.2M
Credit Investor Angst:
- North American Investment Grade CDS Index 54.88 +.21%
- US Energy High-Yield OAS 327.74 -1.4%
- Bloomberg TRACE # Distressed Bonds Traded 306 -9
- European Financial Sector CDS Index 68.62 -1.6%
- Deutsche Bank Subordinated 5Y Credit Default Swap 203.01 -1.6%
- Italian/German 10Y Yld Spread 155.0 basis points +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 101.60 +1.0%
- Emerging Market CDS Index 178.97 +.79%
- Israel Sovereign CDS 124.99 +.81%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.37 -.05%
- 2-Year SOFR Swap Spread -16.5 basis points -.75 basis point
- Treasury Repo 3M T-Bill Spread 5.1 basis points +.1 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.5 +.25 basis point
- MBS 5/10 Treasury Spread 147.0 +2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 937.0 -7.0 basis points
- Avg. Auto ABS OAS 73.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.88 -.24%
- 3-Month T-Bill Yield 5.35% unch.
- China Iron Ore Spot 130.8 USD/Metric Tonne +1.4%
- Dutch TTF Nat Gas(European benchmark) 27.3 euros/megawatt-hour -4.1%
- Citi US Economic Surprise Index 11.1 -2.4 points
- Citi Eurozone Economic Surprise Index -9.5 +2.9 points
- Citi Emerging Markets Economic Surprise Index 2.1 -2.4 points
- S&P 500 Current Quarter EPS Growth Rate YoY(52 of 500 reporting) -2.9% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 243.94 +.21: Growth Rate +10.2% +.2 percentage point, P/E 19.9 +.2
- S&P 500 Current Year Estimated Profit Margin 11.70% -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 292.84 +.49: Growth Rate +37.3% +.2 percentage point, P/E 30.9 +.8
- Bloomberg US Financial Conditions Index .91 unch.
- Bloomberg Euro-Zone Financial Conditions Index .69 +8.0 basis points
- US Yield Curve -28.75 basis points (2s/10s) -3.25 basis points
- US Atlanta Fed 4Q GDPNow Forecast +2.38% -1.0 basis point
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 64.1% -.1 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +3.02% unch.: CPI YoY +2.96% unch.
- 10-Year TIPS Spread 2.30 -4.0 basis points
- Highest target rate probability for March 20th FOMC meeting: 58.4%(+5.5 percentage points) chance of 5.25%-5.5%. Highest target rate probability for May 1st meeting: 54.0%(+3.1 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +123 open in Japan
- China A50 Futures: Indicating +1 open in China
- DAX Futures: Indicating +101 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/consumer discretionary/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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