Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.9 -1.3%
- DJIA Intraday % Swing .46% -19.8%
- Bloomberg Global Risk On/Risk Off Index 57.0 -.8%
- Euro/Yen Carry Return Index 169.88 unch.
- Emerging Markets Currency Volatility(VXY) 7.71 -1.3%
- CBOE S&P 500 Implied Correlation Index 18.7 -2.8%
- ISE Sentiment Index 149.0 +40.0
- Total Put/Call .90 +7.1%
- NYSE Arms 1.25 -3.9%
- NYSE Non-Block Money Flow -$309.3M
Credit Investor Angst:
- North American Investment Grade CDS Index 56.70 -.95%
- US Energy High-Yield OAS 336.5 -.05%
- Bloomberg TRACE # Distressed Bonds Traded 313 +15
- European Financial Sector CDS Index 71.9 -1.4%
- Deutsche Bank Subordinated 5Y Credit Default Swap 219.8 -1.2%
- Italian/German 10Y Yld Spread 166.0 basis points -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 102.4 -1.5%
- Emerging Market CDS Index 181.45 +.41%
- Israel Sovereign CDS 124.74 +9.7%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.24 +.04%
- 2-Year SOFR Swap Spread -15.75 basis points -.75 basis point
- TED Spread 21.75 basis points -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.25 +.25 basis point
- MBS 5/10 Treasury Spread 149.0 +4.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 969.0 +3.0 basis points
- Avg. Auto ABS OAS 75.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 41.2 -.22%
- 3-Month T-Bill Yield 5.37% unch.
- China Iron Ore Spot 135.5 USD/Metric Tonne -1.7%
- Dutch TTF Nat Gas(European benchmark) 30.6 euros/megawatt-hour -3.0%
- Citi US Economic Surprise Index 6.5 +.6 point
- Citi Eurozone Economic Surprise Index -17.5 -.1 point
- Citi Emerging Markets Economic Surprise Index 16.9 -.6 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 243.52 -.11: Growth Rate +11.9% -.1 percentage point, P/E 19.5 +.1
- S&P 500 Current Year Estimated Profit Margin 12.05% unch.
- 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 290.63 +.26: Growth Rate +36.2% +.1 percentage point, P/E 29.8 +.3
- Bloomberg US Financial Conditions Index n/a
- Bloomberg Euro-Zone Financial Conditions Index .39 -1.0 basis point
- US Yield Curve -35.25 basis points (2s/10s) +.25 basis point
- US Atlanta Fed 4Q GDPNow Forecast +2.23% -28.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 64.3% +.1 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +3.02% unch.: CPI YoY +3.32% unch.
- 10-Year TIPS Spread 2.22 -1.0 basis point
- Highest target rate probability for March 20th FOMC meeting: 62.7%(+.1 percentage point) chance of 5.0%-5.25%. Highest target rate probability for May 1st meeting: 52.5%(-1.3 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +122 open in Japan
- China A50 Futures: Indicating -52 open in China
- DAX Futures: Indicating +131 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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