Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.8 unch.
- DJIA Intraday % Swing .35% -24.3%
- Bloomberg Global Risk On/Risk Off Index 57.4 -.2%
- Euro/Yen Carry Return Index 171.9 +1.2%
- Emerging Markets Currency Volatility(VXY) 7.75 +.13%
- CBOE S&P 500 Implied Correlation Index 18.1 -3.5%
- ISE Sentiment Index 179.0 +34.0
- Total Put/Call .83 -9.8%
- NYSE Arms 1.53 +3.4%
- NYSE Non-Block Money Flow +$90.6M
Credit Investor Angst:
- North American Investment Grade CDS Index 55.4 -2.2%
- US Energy High-Yield OAS 327.9 -2.2%
- Bloomberg TRACE # Distressed Bonds Traded 326 +13
- European Financial Sector CDS Index 69.05 -4.0%
- Deutsche Bank Subordinated 5Y Credit Default Swap 212.68 -3.3%
- Italian/German 10Y Yld Spread 163.0 basis points -3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 100.3 -2.0%
- Emerging Market CDS Index 175.0 -3.2%
- Israel Sovereign CDS 116.18 -6.9%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.21 unch.
- 2-Year SOFR Swap Spread -16.5 basis points -.75 basis point
- TED Spread 21.75 basis points n/a
- 3-Month EUR/USD Cross-Currency Basis Swap -4.25 -1.0 basis point
- MBS 5/10 Treasury Spread 145.0 -4.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 966.0 -3.0 basis points
- Avg. Auto ABS OAS 75.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 41.2 +.03%
- 3-Month T-Bill Yield 5.38% +1.0 basis point
- China Iron Ore Spot 132.3 USD/Metric Tonne -.4%
- Dutch TTF Nat Gas(European benchmark) 30.94 euros/megawatt-hour +.98%
- Citi US Economic Surprise Index 6.8 +.3 point
- Citi Eurozone Economic Surprise Index -16.0 +1.5 points
- Citi Emerging Markets Economic Surprise Index 16.4 -.5 point
- 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 243.45 -.07: Growth Rate +11.9% unch., P/E 19.6 +.1
- S&P 500 Current Year Estimated Profit Margin 12.04% -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 290.58 -.05: Growth Rate +36.2% unch., P/E 30.0 +.2
- Bloomberg US Financial Conditions Index .84 n/a
- Bloomberg Euro-Zone Financial Conditions Index .45 +6.0 basis points
- US Yield Curve -34.0 basis points (2s/10s) +1.25 basis points
- US Atlanta Fed 4Q GDPNow Forecast +2.21% -2.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 65.4% +1.1 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +3.02% unch.: CPI YoY +3.32% unch.
- 10-Year TIPS Spread 2.22 unch.
- Highest target rate probability for March 20th FOMC meeting: 64.5%(+3.7 percentage points) chance of 5.0%-5.25%. Highest target rate probability for May 1st meeting: 55.4%(+6.7 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +424 open in Japan
- China A50 Futures: Indicating -10 open in China
- DAX Futures: Indicating +180 open in Germany
Portfolio:
- Higher: On gains in my tech/utility/transport/consumer discretionary sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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