Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Most Sectors Gaining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.5 -4.3%
- DJIA Intraday % Swing .65% -20.6%
- Bloomberg Global Risk On/Risk Off Index 61.0 +1.9%
- Euro/Yen Carry Return Index 173.97 +.22%
- Emerging Markets Currency Volatility(VXY) 7.5 -1.2%
- CBOE S&P 500 Implied Correlation Index 18.9 -3.5%
- ISE Sentiment Index 142.0 +21.0
- Total Put/Call .94 unch.
- NYSE Arms .81 -35.7%
- NYSE Non-Block Money Flow +$223.7M
Credit Investor Angst:
- North American Investment Grade CDS Index 54.88 -1.43%
- US Energy High-Yield OAS 330.29 -2.1%
- Bloomberg TRACE # Distressed Bonds Traded 315 -11
- European Financial Sector CDS Index 69.7 -1.6%
- Deutsche Bank Subordinated 5Y Credit Default Swap 206.4 -2.4%
- Italian/German 10Y Yld Spread 154.0 basis points -4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 100.2 -2.0%
- Emerging Market CDS Index 178.28 -.1%
- Israel Sovereign CDS 122.8 +2.2%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.4 unch.
- 2-Year SOFR Swap Spread -15.75 basis points +1.0 basis point
- Treasury Repo 3M T-Bill Spread 5.0 basis points unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -3.75 +.25 basis point
- MBS 5/10 Treasury Spread 145.0 +1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 944.0 -2.0 basis points
- Avg. Auto ABS OAS 74.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.98 +.1%
- 3-Month T-Bill Yield 5.35% unch.
- China Iron Ore Spot 129.0 USD/Metric Tonne -.7%
- Dutch TTF Nat Gas(European benchmark) 28.4 euros/megawatt-hour +1.9%
- Citi US Economic Surprise Index 13.5 +8.6 points
- Citi Eurozone Economic Surprise Index -12.4 +.8 point
- Citi Emerging Markets Economic Surprise Index 4.5 -1.9 points
- S&P 500 Current Quarter EPS Growth Rate YoY(52 of 500 reporting) -2.9% +1.0 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 243.73 +.03: Growth Rate +10.0% unch., P/E 19.7 +.2
- S&P 500 Current Year Estimated Profit Margin 11.71% -2.0 basis points
- 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 292.35 +.20: Growth Rate +37.1% +.1 percentage point, P/E 30.1 +.1
- Bloomberg US Financial Conditions Index .91 +3.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .61 -20.0 basis points
- US Yield Curve -25.5 basis points (2s/10s) -3.5 basis points
- US Atlanta Fed 4Q GDPNow Forecast +2.39% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 64.2% -1.4 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +3.02% unch.: CPI YoY +2.96% unch.
- 10-Year TIPS Spread 2.34 -1.0 basis point
- Highest target rate probability for March 20th FOMC meeting: 52.6%(+8.0 percentage points) chance of 5.25%-5.5%. Highest target rate probability for May 1st meeting: 50.6%(+4.2 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +303 open in Japan
- China A50 Futures: Indicating +11 open in China
- DAX Futures: Indicating +172 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/consumer discretionary/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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