Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.3 -.8%
- DJIA Intraday % Swing .57% +.7%
- Bloomberg Global Risk On/Risk Off Index 62.6 -1.2%
- Euro/Yen Carry Return Index 173.5 +.5%
- Emerging Markets Currency Volatility(VXY) 7.4 -1.1%
- CBOE S&P 500 Implied Correlation Index 17.5 +.5%
- ISE Sentiment Index 152.0 +17.0
- Total Put/Call .84 -10.6%
- NYSE Arms .82 -21.2%
- NYSE Non-Block Money Flow +$120.9M
Credit Investor Angst:
- North American Investment Grade CDS Index 54.2 -1.0%
- US Energy High-Yield OAS 312.54 -2.4%
- Bloomberg TRACE # Distressed Bonds Traded 315 +4
- European Financial Sector CDS Index 66.9 -1.2%
- Deutsche Bank Subordinated 5Y Credit Default Swap 196.76 -1.1%
- Italian/German 10Y Yld Spread 152.0 basis points -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 100.75 +1.3%
- Emerging Market CDS Index 177.07 -.33%
- Israel Sovereign CDS 122.89 -.32%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.5 unch.
- 2-Year SOFR Swap Spread -14.5 basis points -.5 basis point
- Treasury Repo 3M T-Bill Spread 4.0 basis points -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -4.25 +.5 basis point
- MBS 5/10 Treasury Spread 144.0 -1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 909.0 -3.0 basis points
- Avg. Auto ABS OAS 71.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.8 -.1%
- 3-Month T-Bill Yield 5.35% unch.
- China Iron Ore Spot 136.4 USD/Metric Tonne +1.0%
- Dutch TTF Nat Gas(European benchmark) 28.1 euros/megawatt-hour +1.1%
- Citi US Economic Surprise Index 27.3 +2.0 points
- Citi Eurozone Economic Surprise Index -10.1 +.4 point
- Citi Emerging Markets Economic Surprise Index 1.0 -.9 point
- S&P 500 Current Quarter EPS Growth Rate YoY(124 of 500 reporting) -1.6% +2.0 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 243.76 -.18: Growth Rate +10.1% -.1 percentage point, P/E 20.1 +.1
- S&P 500 Current Year Estimated Profit Margin 11.57% -6.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(2 of 10 reporting) -16.6% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 293.63 -1.05: Growth Rate +37.7% -.4 percentage point, P/E 31.4 -.1
- Bloomberg US Financial Conditions Index .95 -6.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .71 -6.0 basis points
- US Yield Curve -20.25 basis points (2s/10s) -1.5 basis points
- US Atlanta Fed 1Q GDPNow Forecast +3.0% n/a
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 64.5% +.4 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.66% -36.0 basis points: CPI YoY +2.96% unch.
- 10-Year TIPS Spread 2.30 +1.0 basis point
- Highest target rate probability for March 20th FOMC meeting: 52.6%(+1.9 percentage points) chance of 5.25%-5.5%. Highest target rate probability for May 1st meeting: 51.3%(+.9 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +190 open in Japan
- China A50 Futures: Indicating +8 open in China
- DAX Futures: Indicating +80 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/consumer discretionary sector longs and index hedges
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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