Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.8 +.6%
- DJIA Intraday % Swing .32 -32.6%
- Bloomberg Global Risk On/Risk Off Index 72.1 -.3%
- Euro/Yen Carry Return Index 176.9 +.4%
- Emerging Markets Currency Volatility(VXY) 6.3 -1.4%
- CBOE S&P 500 Implied Correlation Index 16.2 -1.6%
- ISE Sentiment Index 158.0 +2.0
- Total Put/Call .94 -1.0%
- NYSE Arms .72 -39.5%
- NYSE Non-Block Money Flow -$115.6M
Credit Investor Angst:
- North American Investment Grade CDS Index 52.2 +1.7%
- US Energy High-Yield OAS 295.69 +.29%
- Bloomberg TRACE # Distressed Bonds Traded 265 +11
- European Financial Sector CDS Index 63.98 +1.11%
- Deutsche Bank Subordinated 5Y Credit Default Swap 206.7 +.18%
- Italian/German 10Y Yld Spread 145.0 basis points +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 95.5 +.9%
- Emerging Market CDS Index 167.35 +.48%
- Israel Sovereign CDS 118.6 -.44%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.8 -.04%
- 2-Year SOFR Swap Spread -14.0 basis points -.5 basis point
- Treasury Repo 3M T-Bill Spread 10.5 basis points +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -5.25 +.25 basis point
- MBS 5/10 Treasury Spread 159.0 +5.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 825.0 -11.0 basis points
- Avg. Auto ABS OAS 66.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.2 -.1%
- 3-Month T-Bill Yield 5.41% +1.0 basis point
- China Iron Ore Spot 114.1 USD/Metric Tonne -1.2%
- Dutch TTF Nat Gas(European benchmark) 24.0 euros/megawatt-hour +4.7%
- Citi US Economic Surprise Index 42.2 -1.6 points
- Citi Eurozone Economic Surprise Index 44.7 +2.7 points
- Citi Emerging Markets Economic Surprise Index -5.8 -1.5 points
- S&P 500 Current Quarter EPS Growth Rate YoY(453 of 500 reporting) +7.1% +.3 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 247.28 +.20: Growth Rate +10.9% -1.0 percentage point, P/E 20.6 unch.
- S&P 500 Current Year Estimated Profit Margin 12.84% +1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(8 of 10 reporting) +57.2% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 314.18 +1.03: Growth Rate +47.3% +.5 percentage point, P/E 31.9 -.1
- Bloomberg US Financial Conditions Index 1.14 unch.
- Bloomberg Euro-Zone Financial Conditions Index .94 +3.0 basis points
- US Yield Curve -44.25 basis points (2s/10s) -1.25 basis points
- US Atlanta Fed 1Q GDPNow Forecast +2.9% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 52.2% +1.6 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.11% unch.
- 10-Year TIPS Spread 2.31 +1.0 basis point
- Highest target rate probability for May 1st FOMC meeting: 83.9%(+7.5 percentage points) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 51.4%(-.9 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +182 open in Japan
- China A50 Futures: Indicating -23 open in China
- DAX Futures: Indicating +52 open in Germany
Portfolio:
- Higher: On gains in my industrial/biotech/consumer discretionary/tech sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 75% Net Long
No comments:
Post a Comment