Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Most Sectors Gaining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.4 -2.8%
- DJIA Intraday % Swing .82% +68.4%
- Bloomberg Global Risk On/Risk Off Index 59.6 +1.7%
- Euro/Yen Carry Return Index 173.5 -.13%
- Emerging Markets Currency Volatility(VXY) 7.5 -1.2%
- CBOE S&P 500 Implied Correlation Index 20.0 -4.1%
- ISE Sentiment Index 137.0 +26.0
- Total Put/Call .94 -6.0%
- NYSE Arms 1.54 -.7%
- NYSE Non-Block Money Flow +$56.5M
Credit Investor Angst:
- North American Investment Grade CDS Index 56.0 -.97%
- US Energy High-Yield OAS 337.60 +.14%
- Bloomberg TRACE # Distressed Bonds Traded 326 +13
- European Financial Sector CDS Index 70.83 -2.9%
- Deutsche Bank Subordinated 5Y Credit Default Swap 211.79 -3.4%
- Italian/German 10Y Yld Spread 158.0 basis points -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 102.5 -1.0%
- Emerging Market CDS Index 179.18 -1.1%
- Israel Sovereign CDS 120.14 +.02%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.4 unch.
- 2-Year SOFR Swap Spread -16.75 basis points -.75 basis point
- Treasury Repo 3M T-Bill Spread 5.0 basis points -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -4.0 +1.0 basis point
- MBS 5/10 Treasury Spread 144.0 -3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 946.0 -4.0 basis points
- Avg. Auto ABS OAS 74.0 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.9 +.02%
- 3-Month T-Bill Yield 5.35% -2.0 basis points
- China Iron Ore Spot 127.8 USD/Metric Tonne -1.3%
- Dutch TTF Nat Gas(European benchmark) 27.9 euros/megawatt-hour +.7%
- Citi US Economic Surprise Index 4.9 +3.5 points
- Citi Eurozone Economic Surprise Index -13.2 +.7 point
- Citi Emerging Markets Economic Surprise Index 6.4 unch.
- S&P 500 Current Quarter EPS Growth Rate YoY(36 of 500 reporting) -3.9% -2.8 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 243.70 -.14: Growth Rate +10.0% -1.9 percentage points, P/E 19.5 +.1
- S&P 500 Current Year Estimated Profit Margin 11.73% -3.0 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 292.15 +.12: Growth Rate +37.0% +.1 percentage point, P/E 30.0 +.4
- Bloomberg US Financial Conditions Index .88 -3.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .81 +1.0 basis point
- US Yield Curve -21.75 basis points (2s/10s) +3.25 basis points
- US Atlanta Fed 4Q GDPNow Forecast +2.39% +18.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 65.6% -1.5 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +3.02% unch.: CPI YoY +2.96% unch.
- 10-Year TIPS Spread 2.35 +5.0 basis points
- Highest target rate probability for March 20th FOMC meeting: 55.7%(+1.9 percentage points) chance of 5.0%-5.25%. Highest target rate probability for May 1st meeting: 45.4%(-1.5 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +594 open in Japan
- China A50 Futures: Indicating -80 open in China
- DAX Futures: Indicating +141 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/consumer discretionary/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 100% Net Long
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