Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.0 +.6%
- DJIA Intraday % Swing .74 -.69%
- Bloomberg Global Risk On/Risk Off Index 57.5 +2.6%
- Euro/Yen Carry Return Index 172.7 +.52%
- Emerging Markets Currency Volatility(VXY) 7.2 +.3%
- CBOE S&P 500 Implied Correlation Index 19.7 +7.3%
- ISE Sentiment Index 149.0 unch.
- Total Put/Call .96 -4.0%
- NYSE Arms .95 -31.2%
- NYSE Non-Block Money Flow -$158.3M
Credit Investor Angst:
- North American Investment Grade CDS Index 55.23 -.3%
- US Energy High-Yield OAS 319.99 -2.7%
- Bloomberg TRACE # Distressed Bonds Traded 326 -5
- European Financial Sector CDS Index 69.1 -2.3%
- Deutsche Bank Subordinated 5Y Credit Default Swap 206.4 -1.2%
- Italian/German 10Y Yld Spread 158.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 100.71 -1.9%
- Emerging Market CDS Index 179.4 +1.2%
- Israel Sovereign CDS 132.3 +2.2%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.49 +.08%
- 2-Year SOFR Swap Spread -13.0 basis points +1.5 basis points
- Treasury Repo 3M T-Bill Spread 6.0 basis points +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -8.5 +.25 basis point
- MBS 5/10 Treasury Spread 150.0 +11.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 873.0 -14.0 basis points
- Avg. Auto ABS OAS 71.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.7 -.5%
- 3-Month T-Bill Yield 5.37% +1.0 basis point
- China Iron Ore Spot 127.0 USD/Metric Tonne +.6%
- Dutch TTF Nat Gas(European benchmark) 29.3 euros/megawatt-hour +1.1%
- Citi US Economic Surprise Index 39.5 +8.8 points
- Citi Eurozone Economic Surprise Index 7.0 +2.6 points
- Citi Emerging Markets Economic Surprise Index -2.4 +2.5 points
- S&P 500 Current Quarter EPS Growth Rate YoY(230 of 500 reporting) +4.4% +4.4 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 244.14 +.11: Growth Rate +10.3% +.1 percentage point, P/E 20.3 +.3
- S&P 500 Current Year Estimated Profit Margin 11.44% -5.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +44.2% +13.1 percentage points
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 295.82 +.14: Growth Rate +38.7% +.1 percentage point, P/E 32.3 +1.5
- Bloomberg US Financial Conditions Index .90 +5.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .65 +5.0 basis points
- US Yield Curve -34.25 basis points (2s/10s) -.5 basis point
- US Atlanta Fed 1Q GDPNow Forecast +4.2% +1.2 percentage points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 64.2% -3.4 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.66% unch.: CPI YoY +2.96% unch.
- 10-Year TIPS Spread 2.21 +2.0 basis points
- Highest target rate probability for May 1st FOMC meeting: 56.2%(-3.4 percentage points) chance of 5.0%-5.25%. Highest target rate probability for June 12th meeting: 52.2%(+1.9 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +200 open in Japan
- China A50 Futures: Indicating -99 open in China
- DAX Futures: Indicating +97 open in Germany
Portfolio:
- Higher: On gains in my consumer discretionary/industrial/tech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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