Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.7 -.6%
- DJIA Intraday % Swing .43 -21.4%
- Bloomberg Global Risk On/Risk Off Index 61.9 +1.2%
- Euro/Yen Carry Return Index 174.0 +.13%
- Emerging Markets Currency Volatility(VXY) 6.9 -1.9%
- CBOE S&P 500 Implied Correlation Index 16.9 -2.0%
- ISE Sentiment Index 164.0 +8.0
- Total Put/Call .73 -13.1%
- NYSE Arms 1.56 +47.2%
- NYSE Non-Block Money Flow +$64.5M
Credit Investor Angst:
- North American Investment Grade CDS Index 54.2 -2.0%
- US Energy High-Yield OAS 308.5 -1.8%
- Bloomberg TRACE # Distressed Bonds Traded 332 -8
- European Financial Sector CDS Index 69.6 -2.0%
- Deutsche Bank Subordinated 5Y Credit Default Swap 219.9 -2.6%
- Italian/German 10Y Yld Spread 158.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 100.3 +.43%
- Emerging Market CDS Index 178.57 -.61%
- Israel Sovereign CDS 122.4 -.26%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.54 +.18%
- 2-Year SOFR Swap Spread -13.75 basis points unch.
- Treasury Repo 3M T-Bill Spread 8.0 basis points -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -6.25 -.75 basis point
- MBS 5/10 Treasury Spread 152.0 +1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 842.0 -4.0 basis points
- Avg. Auto ABS OAS 68.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.5 -.2%
- 3-Month T-Bill Yield 5.38% unch.
- China Iron Ore Spot 127.8 USD/Metric Tonne +.9%
- Dutch TTF Nat Gas(European benchmark) 27.1 euros/megawatt-hour -1.3%
- Citi US Economic Surprise Index 44.1 +.1 point
- Citi Eurozone Economic Surprise Index 20.9 +.2 point
- Citi Emerging Markets Economic Surprise Index -.5 +3.6 points
- S&P 500 Current Quarter EPS Growth Rate YoY(334 of 500 reporting) +5.1% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 245.15 +.01: Growth Rate +10.7% unch., P/E 20.4 unch.
- S&P 500 Current Year Estimated Profit Margin 11.28% -2.0 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 303.38 +.09: Growth Rate +42.2% unch., P/E 32.5 +.3
- Bloomberg US Financial Conditions Index 1.08 +2.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .81 -42.0 basis points
- US Yield Curve -30.0 basis points (2s/10s) -.5 basis point
- US Atlanta Fed 1Q GDPNow Forecast +3.4% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 59.0% -1.5 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.66% unch.: CPI YoY +2.94% -2.0 basis points
- 10-Year TIPS Spread 2.26 +1.0 basis point
- Highest target rate probability for May 1st FOMC meeting: 53.4%(+3.1 percentage points) chance of 5.0%-5.25%. Highest target rate probability for June 12th meeting: 44.4%(-2.2 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +263 open in Japan
- China A50 Futures: Indicating -171 open in China
- DAX Futures: Indicating +106 open in Germany
Portfolio:
- Higher: On gains in my tech/consumer discretionary/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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