Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.6 -1.3%
- DJIA Intraday % Swing .53 -6.7%
- Bloomberg Global Risk On/Risk Off Index 73.2 +1.9%
- Euro/Yen Carry Return Index 176.6 -.2%
- Emerging Markets Currency Volatility(VXY) 6.2 -2.7%
- CBOE S&P 500 Implied Correlation Index 15.7 -2.3%
- ISE Sentiment Index 200.0 +60.0
- Total Put/Call .95 -2.1%
- NYSE Arms .65 -35.6%
- NYSE Non-Block Money Flow +$6.3M
Credit Investor Angst:
- North American Investment Grade CDS Index 52.2 -.3%
- US Energy High-Yield OAS 300.1 +.7%
- Bloomberg TRACE # Distressed Bonds Traded 266 +1
- European Financial Sector CDS Index 65.1 +1.7%
- Deutsche Bank Subordinated 5Y Credit Default Swap 209.1 +1.4%
- Italian/German 10Y Yld Spread 144.0 basis points -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 97.3 +2.2%
- Emerging Market CDS Index 168.6 +.48%
- Israel Sovereign CDS 120.5 +1.3%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.6 -.3%
- 2-Year SOFR Swap Spread -10.5 basis points +3.5 basis points
- Treasury Repo 3M T-Bill Spread 7.5 basis points -3.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -5.5 -.25 basis point
- MBS 5/10 Treasury Spread 158.0 -1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 828.0 +3.0 basis points
- Avg. Auto ABS OAS 66.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.2 +.2%
- 3-Month T-Bill Yield 5.38% -3.0 basis points
- China Iron Ore Spot 116.9 USD/Metric Tonne -.6%
- Dutch TTF Nat Gas(European benchmark) 24.4 euros/megawatt-hour +1.6%
- Citi US Economic Surprise Index 38.3 -3.9 points
- Citi Eurozone Economic Surprise Index 47.1 +2.4 points
- Citi Emerging Markets Economic Surprise Index -3.3 +2..5 points
- S&P 500 Current Quarter EPS Growth Rate YoY(465 of 500 reporting) +7.4% +.3 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 247.52 +.22: Growth Rate +11.0% +1.0 percentage point, P/E 20.5 -.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 314.74 +.56: Growth Rate +47.6% +.3 percentage point, P/E 31.9 unch.
- Bloomberg US Financial Conditions Index 1.14 unch.
- Bloomberg Euro-Zone Financial Conditions Index .92 -2.0 basis points
- US Yield Curve -39.5 basis points (2s/10s) +4.75 basis points
- US Atlanta Fed 1Q GDPNow Forecast +3.3% +.4 percentage point
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 51.3% -.9 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.12% +1.0 basis point
- 10-Year TIPS Spread 2.32 +1.0 basis point
- Highest target rate probability for May 1st FOMC meeting: 84.2%(-3.0 percentage points) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 51.7%(-2.1 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +61 open in Japan
- China A50 Futures: Indicating +17 open in China
- DAX Futures: Indicating +47 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/consumer discretionary/tech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
No comments:
Post a Comment