Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.4 -2.9%
- DJIA Intraday % Swing .68 +32.5%
- Bloomberg Global Risk On/Risk Off Index 71.6 -1.2%
- Euro/Yen Carry Return Index 175.4 -.8%
- Emerging Markets Currency Volatility(VXY) 6.2 -1.4%
- CBOE S&P 500 Implied Correlation Index 16.0 -.7%
- ISE Sentiment Index 143.0 +7.0
- Total Put/Call .94 +10.6%
- NYSE Arms 1.29 +25.5%
- NYSE Non-Block Money Flow +$127.5M
Credit Investor Angst:
- North American Investment Grade CDS Index 52.3 -1.0%
- US Energy High-Yield OAS 303.3 -.8%
- Bloomberg TRACE # Distressed Bonds Traded 292 +13
- European Financial Sector CDS Index 64.1 -1.4%
- Deutsche Bank Subordinated 5Y Credit Default Swap 211.4 +.9%
- Italian/German 10Y Yld Spread 143.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 98.3 -.23%
- Emerging Market CDS Index 165.9 -1.5%
- Israel Sovereign CDS 123.9 +3.0%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.7 +.21%
- 2-Year SOFR Swap Spread -10.25 basis points unch.
- Treasury Repo 3M T-Bill Spread 7.75 basis points -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -4.75 +.75 basis point
- MBS 5/10 Treasury Spread 156.0 unch.
- Bloomberg CMBS Investment Grade Bbb Average OAS 826.0 unch.
- Avg. Auto ABS OAS 65.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.2 +.06%
- 3-Month T-Bill Yield 5.38% -1.0 basis point
- China Iron Ore Spot 118.0 USD/Metric Tonne +1.3%
- Dutch TTF Nat Gas(European benchmark) 24.9 euros/megawatt-hour -2.9%
- Citi US Economic Surprise Index 40.6 +2.8 points
- Citi Eurozone Economic Surprise Index 37.3 +2.1 points
- Citi Emerging Markets Economic Surprise Index 8.8 +11.0 points
- S&P 500 Current Quarter EPS Growth Rate YoY(485 of 500 reporting) +7.8% +.1 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 247.02 +.05: Growth Rate +10.8% unch., P/E 20.6 unch.
- S&P 500 Current Year Estimated Profit Margin 12.84% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +57.3% +.1 percentage point
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 314.63 -.28: Growth Rate +30.6% -16.9 percentage points, P/E 31.2 -.6
- Bloomberg US Financial Conditions Index 1.08 -5.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .92 unch.
- US Yield Curve -37.5 basis points (2s/10s) +1.0 basis point
- US Atlanta Fed 1Q GDPNow Forecast +3.0% -.3 percentage point
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 52.4% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.72% -2.0 basis points: CPI YoY +3.12% unch.
- 10-Year TIPS Spread 2.32 -1.0 basis point
- Highest target rate probability for May 1st FOMC meeting: 78.9%(-2.4 percentage points) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 54.1%(+1.4 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +545 open in Japan
- China A50 Futures: Indicating -51 open in China
- DAX Futures: Indicating +115 open in Germany
Portfolio:
- Higher: On gains in my consumer discretionary/industrial/tech/transport sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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