Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 14.0 -4.0%
- DJIA Intraday % Swing .40 -21.0%
- Bloomberg Global Risk On/Risk Off Index 72.3 -.8%
- Euro/Yen Carry Return Index 176.1 -.04%
- Emerging Markets Currency Volatility(VXY) 6.4 unch.
- CBOE S&P 500 Implied Correlation Index 16.8 -2.4%
- ISE Sentiment Index 152.0 +26.0
- Total Put/Call .90 -3.2%
- NYSE Arms 1.39 +76.9%
- NYSE Non-Block Money Flow +$126.3M
Credit Investor Angst:
- North American Investment Grade CDS Index 51.0 -.64%
- US Energy High-Yield OAS 295.6 +1.2%
- Bloomberg TRACE # Distressed Bonds Traded 254 -7
- European Financial Sector CDS Index 63.3 -1.8%
- Deutsche Bank Subordinated 5Y Credit Default Swap 206.6 -.42%
- Italian/German 10Y Yld Spread 144.0 basis points -4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 94.6 -1.6%
- Emerging Market CDS Index 166.5 -1.4%
- Israel Sovereign CDS 119.4 -.49%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.8 +.04%
- 2-Year SOFR Swap Spread -13.5 basis points +.5 basis point
- Treasury Repo 3M T-Bill Spread 9.5 basis points -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -5.5 unch.
- MBS 5/10 Treasury Spread 154.0 -4.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 836.0 +2.0 basis points
- Avg. Auto ABS OAS 65.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.1 -.5%
- 3-Month T-Bill Yield 5.40% unch.
- China Iron Ore Spot 119.4 USD/Metric Tonne -.5%
- Dutch TTF Nat Gas(European benchmark) 22.9 euros/megawatt-hour -1.1%
- Citi US Economic Surprise Index 43.8 unch.
- Citi Eurozone Economic Surprise Index 42.0 +.6 point
- Citi Emerging Markets Economic Surprise Index -4.3 -.1 point
- S&P 500 Current Quarter EPS Growth Rate YoY(449 of 500 reporting) +6.8% +.1 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 247.08 +.69: Growth Rate +11.9% +.3 percentage point, P/E 20.6 unch.
- S&P 500 Current Year Estimated Profit Margin 12.83% +2.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(8 of 10 reporting) +57.2% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 313.15 +4.15: Growth Rate +46.8% +1.9 percentage points, P/E 32.0 -.3
- Bloomberg US Financial Conditions Index 1.14 +7.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .91 +10.0 basis points
- US Yield Curve -43.0 basis points (2s/10s) -4.0 basis points
- US Atlanta Fed 1Q GDPNow Forecast +2.9% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 50.6% -2.1 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.11% unch.
- 10-Year TIPS Spread 2.30 -1.0 basis point
- Highest target rate probability for May 1st FOMC meeting: 78.1%(+4.3 percentage points) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 55.5%(+3.5 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +446 open in Japan
- China A50 Futures: Indicating +16 open in China
- DAX Futures: Indicating +42 open in Germany
Portfolio:
- Higher: On gains in my industrial/biotech/consumer discretionary/transport sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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