Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 14.0 +.1%
- DJIA Intraday % Swing .52 -24.8%
- Bloomberg Global Risk On/Risk Off Index 73.3 +1.8%
- Euro/Yen Carry Return Index 175.0 +.24%
- Emerging Markets Currency Volatility(VXY) 6.7 -.6%
- CBOE S&P 500 Implied Correlation Index 16.3 +.4%
- ISE Sentiment Index 124.0 -18.0
- Total Put/Call .96 +6.7%
- NYSE Arms .90 -15.1%
- NYSE Non-Block Money Flow -$123.2M
Credit Investor Angst:
- North American Investment Grade CDS Index 52.7 +.04%
- US Energy High-Yield OAS 303.88 -.53%
- Bloomberg TRACE # Distressed Bonds Traded 294 -12
- European Financial Sector CDS Index 67.3 -1.5%
- Deutsche Bank Subordinated 5Y Credit Default Swap 211.3 -.3%
- Italian/German 10Y Yld Spread 148.0 basis points -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 99.9 -1.7%
- Emerging Market CDS Index 176.14 unch.
- Israel Sovereign CDS 115.4 +.8%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.6 -.12%
- 2-Year SOFR Swap Spread -13.5 basis points -1.75 basis points
- Treasury Repo 3M T-Bill Spread 7.5 basis points +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -4.75 +.5 basis point
- MBS 5/10 Treasury Spread 159.0 +5.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 833.0 -9.0 basis points
- Avg. Auto ABS OAS 66.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.4 -.06%
- 3-Month T-Bill Yield 5.37% unch.
- China Iron Ore Spot 130.8 USD/Metric Tonne -.4%
- Dutch TTF Nat Gas(European benchmark) 24.8 euros/megawatt-hour -.6%
- Citi US Economic Surprise Index 40.4 -5.4 points
- Citi Eurozone Economic Surprise Index 34.7 +.1
- Citi Emerging Markets Economic Surprise Index -2.1 +.3 point
- S&P 500 Current Quarter EPS Growth Rate YoY(396 of 500 reporting) +5.0% +.1 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 245.81 -.03: Growth Rate +11.0% -.1 percentage point, P/E 20.5 +.1
- S&P 500 Current Year Estimated Profit Margin 11.20% -3.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +44.2% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 306.94 +.20: Growth Rate +43.9% +.1 percentage point, P/E 32.2 +.2
- Bloomberg US Financial Conditions Index 1.08 unch.
- Bloomberg Euro-Zone Financial Conditions Index .89 +4.0 basis points
- US Yield Curve -36.0 basis points (2s/10s) -3.25 basis points
- US Atlanta Fed 1Q GDPNow Forecast +2.9% -.5 percentage point
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 54.3% -1.9 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.06% unch.
- 10-Year TIPS Spread 2.33 +3.0 basis points
- Highest target rate probability for May 1st FOMC meeting: 66.2%(+4.6 percentage points) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 52.2%(-1.5 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +73 open in Japan
- China A50 Futures: Indicating +142 open in China
- DAX Futures: Indicating +63 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/industrial/transport sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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