Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.8 +2.5%
- DJIA Intraday % Swing .51 -2.7%
- Bloomberg Global Risk On/Risk Off Index 72.0 -1.8%
- Euro/Yen Carry Return Index 176.7 +.04%
- Emerging Markets Currency Volatility(VXY) 6.3 +.8%
- CBOE S&P 500 Implied Correlation Index 16.2 +3.7%
- ISE Sentiment Index 158.0 -7.0
- Total Put/Call .82 -14.6%
- NYSE Arms 1.19 +88.9%
- NYSE Non-Block Money Flow -$200.3M
Credit Investor Angst:
- North American Investment Grade CDS Index 52.6 +1.2%
- US Energy High-Yield OAS 304.3 +1.5%
- Bloomberg TRACE # Distressed Bonds Traded 279 +13
- European Financial Sector CDS Index 65.04 -.08%
- Deutsche Bank Subordinated 5Y Credit Default Swap 209.5 +.18%
- Italian/German 10Y Yld Spread 143.0 basis points -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 98.2 +.7%
- Emerging Market CDS Index 168.18 -.27%
- Israel Sovereign CDS 120.2 -.27%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.6 -.04%
- 2-Year SOFR Swap Spread -10.25 basis points +.25 basis point
- Treasury Repo 3M T-Bill Spread 9.5 basis points +2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -5.5 unch.
- MBS 5/10 Treasury Spread 156.0 -2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 826.0 -2.0 basis points
- Avg. Auto ABS OAS 64.0 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.2 -.17%
- 3-Month T-Bill Yield 5.39% +1.0 basis point
- China Iron Ore Spot 115.15 USD/Metric Tonne -.8%
- Dutch TTF Nat Gas(European benchmark) 25.6 euros/megawatt-hour +5.0%
- Citi US Economic Surprise Index 37.8 -.5 point
- Citi Eurozone Economic Surprise Index 35.2 -11.9 points
- Citi Emerging Markets Economic Surprise Index -3.8 -.5 point
- S&P 500 Current Quarter EPS Growth Rate YoY(476 of 500 reporting) +7.7% +.3 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 246.97 -.55: Growth Rate +10.8% -.2 percentage point, P/E 20.6 +.1
- S&P 500 Current Year Estimated Profit Margin 12.84% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(8 of 10 reporting) +57.2% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 314.63 -.11: Growth Rate +47.5% -.1 percentage point, P/E 31.8 -.1
- Bloomberg US Financial Conditions Index 1.13 -1.0 basis point
- Bloomberg Euro-Zone Financial Conditions Index .92 unch.
- US Yield Curve -38.5 basis points (2s/10s) +1.0 basis point
- US Atlanta Fed 1Q GDPNow Forecast +3.3% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 52.4% +.9 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.12% unch.
- 10-Year TIPS Spread 2.33 +1.0 basis point
- Highest target rate probability for May 1st FOMC meeting: 80.7%(-3.1 percentage points) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 52.8%(+1.1 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -145 open in Japan
- China A50 Futures: Indicating -12 open in China
- DAX Futures: Indicating +43 open in Germany
Portfolio:
- Slightly Higher: On gains in my consumer discretionary/industrial sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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