Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Gaining
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 14.6 -7.7%
- DJIA Intraday % Swing .59 -49.3%
- Bloomberg Global Risk On/Risk Off Index 59.8 +6.2%
- Euro/Yen Carry Return Index 174.5 +.02%
- Emerging Markets Currency Volatility(VXY) 6.8 -.6%
- CBOE S&P 500 Implied Correlation Index 17.0 -5.7%
- ISE Sentiment Index 154.0 +29.0
- Total Put/Call .96 +9.1%
- NYSE Arms 1.11 +3.7%
- NYSE Non-Block Money Flow +$129.0M
Credit Investor Angst:
- North American Investment Grade CDS Index 54.2 -1.1%
- US Energy High-Yield OAS 310.62 +.75%
- Bloomberg TRACE # Distressed Bonds Traded 300 -9
- European Financial Sector CDS Index 68.2 -.24%
- Deutsche Bank Subordinated 5Y Credit Default Swap 211.9 +1.0%
- Italian/German 10Y Yld Spread 152.0 basis points -3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 102.0 +1.8%
- Emerging Market CDS Index 180.9 -1.5%
- Israel Sovereign CDS 116.4 +1.6%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.4 -.29%
- 2-Year SOFR Swap Spread -11.0 basis points +.75 basis point
- Treasury Repo 3M T-Bill Spread 7.25 basis points -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -6.0 unch.
- MBS 5/10 Treasury Spread 159.0 unch.
- Bloomberg CMBS Investment Grade Bbb Average OAS 843.0 +4.0 basis points
- Avg. Auto ABS OAS 65.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.4 -.01%
- 3-Month T-Bill Yield 5.37% -1.0 basis point
- China Iron Ore Spot 129.2 USD/Metric Tonne +.05%
- Dutch TTF Nat Gas(European benchmark) 24.9 euros/megawatt-hour -2.3%
- Citi US Economic Surprise Index 47.2 +2.5 points
- Citi Eurozone Economic Surprise Index 34.6 +12.3 points
- Citi Emerging Markets Economic Surprise Index -.3 -.5 point
- S&P 500 Current Quarter EPS Growth Rate YoY(369 of 500 reporting) +5.7% +.4 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 245.70 +.15: Growth Rate +11.0% +.1 percentage point, P/E 20.2 unch.
- S&P 500 Current Year Estimated Profit Margin 11.24% -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 306.39 +.46: Growth Rate +43.6% +.2 percentage point, P/E 31.7 unch.
- Bloomberg US Financial Conditions Index 1.05 -4.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .89 +6.0 basis points
- US Yield Curve -30.75 basis points (2s/10s) +3.0 basis points
- US Atlanta Fed 1Q GDPNow Forecast +3.4% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 55.1% -4.7 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.06% unch.
- 10-Year TIPS Spread 2.30 +1.0 basis point
- Highest target rate probability for May 1st FOMC meeting: 61.5%(-4.0 percentage points) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 53.7%(+1.6 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +317 open in Japan
- China A50 Futures: Indicating -65 open in China
- DAX Futures: Indicating +86 open in Germany
Portfolio:
- Higher: On gains in my tech/consumer discretionary/industrial/biotech/transport sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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