Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 13.4 -1.7%
- DJIA Intraday % Swing .57% +45.4%
- Bloomberg Global Risk On/Risk Off Index 60.2 -.70%
- Euro/Yen Carry Return Index 172.69 +.22%
- Emerging Markets Currency Volatility(VXY) 7.3 -.41%
- CBOE S&P 500 Implied Correlation Index 16.8 -3.9%
- ISE Sentiment Index 132.0 -3.0
- Total Put/Call .88 -4.4%
- NYSE Arms 1.13 -8.1%
- NYSE Non-Block Money Flow +$13.8M
Credit Investor Angst:
- North American Investment Grade CDS Index 54.02 +.03%
- US Energy High-Yield OAS 317.46 +.57%
- Bloomberg TRACE # Distressed Bonds Traded 307 +3
- European Financial Sector CDS Index 67.46 +1.0%
- Deutsche Bank Subordinated 5Y Credit Default Swap 191.86 -1.8%
- Italian/German 10Y Yld Spread 153.0 basis points +3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 101.5 +.5%
- Emerging Market CDS Index 177.69 +.51%
- Israel Sovereign CDS 129.7 -.7%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.4 +.26%
- 2-Year SOFR Swap Spread -14.0 basis points +1.0 basis point
- Treasury Repo 3M T-Bill Spread 5.0 basis points +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -4.5 -.25 basis point
- MBS 5/10 Treasury Spread 143.0 -3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 909.0 -1.0 basis point
- Avg. Auto ABS OAS 71.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.8 +.09%
- 3-Month T-Bill Yield 5.35% -1.0 basis point
- China Iron Ore Spot 131.5 USD/Metric Tonne -1.0%
- Dutch TTF Nat Gas(European benchmark) 29.4 euros/megawatt-hour +4.3%
- Citi US Economic Surprise Index 27.8 -2.2 points
- Citi Eurozone Economic Surprise Index -1.3 +7.9 points
- Citi Emerging Markets Economic Surprise Index -3.6 -4.1 points
- S&P 500 Current Quarter EPS Growth Rate YoY(144 of 500 reporting) -7.3% -5.7 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 243.72 +.17: Growth Rate +10.1% +.1 percentage point, P/E 20.2 +.1
- S&P 500 Current Year Estimated Profit Margin 11.54% +2.0 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 294.60 +.26: Growth Rate +38.1% +.1 percentage point, P/E 31.7 +.2
- Bloomberg US Financial Conditions Index .94 -3.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .73 -10.0 basis points
- US Yield Curve -30.25 basis points (2s/10s) -5.25 basis points
- US Atlanta Fed 1Q GDPNow Forecast +3.0% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 64.7% +.7 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.66% unch.: CPI YoY +2.96% unch.
- 10-Year TIPS Spread 2.26 -3.0 basis points
- Highest target rate probability for March 20th FOMC meeting: 58.3%(+5.4 percentage points) chance of 5.25%-5.5%. Highest target rate probability for May 1st meeting: 54.5%(+3.1 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -85 open in Japan
- China A50 Futures: Indicating -66 open in China
- DAX Futures: Indicating +101 open in Germany
Portfolio:
- Higher: On gains in my consumer discretionary/industrial sector longs, index hedges and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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