Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.0 +5.0%
- DJIA Intraday % Swing .44% +15.0%
- Bloomberg Global Risk On/Risk Off Index 58.6 -3.9%
- Euro/Yen Carry Return Index 171.2 -.9%
- Emerging Markets Currency Volatility(VXY) 7.3 unch.
- CBOE S&P 500 Implied Correlation Index 18.4 +9.6%
- ISE Sentiment Index 149.0 +18.0
- Total Put/Call .84 -5.6%
- NYSE Arms .83 -30.8%
- NYSE Non-Block Money Flow -$46.8M
Credit Investor Angst:
- North American Investment Grade CDS Index 55.3 +2.1%
- US Energy High-Yield OAS 331.62 +3.6%
- Bloomberg TRACE # Distressed Bonds Traded 310 +3
- European Financial Sector CDS Index 68.93 +2.2%
- Deutsche Bank Subordinated 5Y Credit Default Swap 201.30 +4.9%
- Italian/German 10Y Yld Spread 156.0 basis points +3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 100.81 -.59%
- Emerging Market CDS Index 180.18 +1.4%
- Israel Sovereign CDS 129.7 +.02%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.44 +.10%
- 2-Year SOFR Swap Spread -14.75 basis points -.75 basis point
- Treasury Repo 3M T-Bill Spread 4.25 basis points -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -10.5 -6.0 basis points
- MBS 5/10 Treasury Spread 138.0 -5.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 897.0 -12.0 basis points
- Avg. Auto ABS OAS 70.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.79 -.01%
- 3-Month T-Bill Yield 5.36% +1.0 basis point
- China Iron Ore Spot 130.0 USD/Metric Tonne +.16%
- Dutch TTF Nat Gas(European benchmark) 30.2 euros/megawatt-hour +2.2%
- Citi US Economic Surprise Index 25.7 -2.1 points
- Citi Eurozone Economic Surprise Index -1.1 +.2 point
- Citi Emerging Markets Economic Surprise Index -1.5 +2.1 points
- S&P 500 Current Quarter EPS Growth Rate YoY(176 of 500 reporting) +.4% +7.7 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 243.75 +.03: Growth Rate +10.1% unch., P/E 20.0 -.2
- S&P 500 Current Year Estimated Profit Margin 11.48% -6.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(4 of 10 reporting) +31.1% +47.7 percentage points
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 294.58 -.02: Growth Rate +38.1% unch., P/E 30.9 -.9
- Bloomberg US Financial Conditions Index .94 unch.
- Bloomberg Euro-Zone Financial Conditions Index .76 +3.0 basis points
- US Yield Curve -29.25 basis points (2s/10s) +1.0 basis point
- US Atlanta Fed 1Q GDPNow Forecast +3.0% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 64.4% -.3 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.66% unch.: CPI YoY +2.96% unch.
- 10-Year TIPS Spread 2.25 -1.0 basis point
- Highest target rate probability for March 20th FOMC meeting: 62.5%(+3.7 percentage points) chance of 5.25%-5.5%. Highest target rate probability for May 1st meeting: 58.6%(+4.4 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -306 open in Japan
- China A50 Futures: Indicating +13 open in China
- DAX Futures: Indicating -1 open in Germany
Portfolio:
- Lower: On losses in my consumer discretionary/industrial/tech/biotech sector longs
- 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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