Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Gaining
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 14.5 +.5%
- DJIA Intraday % Swing .70 +17.5%
- Bloomberg Global Risk On/Risk Off Index 71.9 +22.0%
- Euro/Yen Carry Return Index 174.5 -.02%
- Emerging Markets Currency Volatility(VXY) 6.7 -2.2%
- CBOE S&P 500 Implied Correlation Index 16.7 -1.8%
- ISE Sentiment Index 147.0 -5.0
- Total Put/Call .89 -5.3%
- NYSE Arms 1.14 +18.8%
- NYSE Non-Block Money Flow +$257.3M
Credit Investor Angst:
- North American Investment Grade CDS Index 52.7 -2.8%
- US Energy High-Yield OAS 307.7 -.91%
- Bloomberg TRACE # Distressed Bonds Traded 306 +6
- European Financial Sector CDS Index 67.3 -1.4%
- Deutsche Bank Subordinated 5Y Credit Default Swap 211.83 -.02%
- Italian/German 10Y Yld Spread 150.0 basis points -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 101.75 -.8%
- Emerging Market CDS Index 176.40 -2.0%
- Israel Sovereign CDS 114.4 -1.7%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.6 +.24%
- 2-Year SOFR Swap Spread -11.75 basis points -.75 basis point
- Treasury Repo 3M T-Bill Spread 7.25 basis points unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -5.25 +.75 basis point
- MBS 5/10 Treasury Spread 154.0 -5.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 842.0 -1.0 basis point
- Avg. Auto ABS OAS 65.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.4 +.05%
- 3-Month T-Bill Yield 5.37% unch.
- China Iron Ore Spot 129.2 USD/Metric Tonne -.19%
- Dutch TTF Nat Gas(European benchmark) 25.0 euros/megawatt-hour +.44%
- Citi US Economic Surprise Index 45.8 -1.4 points
- Citi Eurozone Economic Surprise Index 34.6 unch.
- Citi Emerging Markets Economic Surprise Index -2.4 -2.1 points
- S&P 500 Current Quarter EPS Growth Rate YoY(388 of 500 reporting) +4.9% -.8 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 245.84 +.14: Growth Rate +11.1% +.1 percentage point, P/E 20.4 +.4
- S&P 500 Current Year Estimated Profit Margin 11.23% -1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +44.2% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 306.74 +.35: Growth Rate +43.8% +.2 percentage point, P/E 32.0 +.3
- Bloomberg US Financial Conditions Index 1.08 +3.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .85 -4.0 basis points
- US Yield Curve -32.75 basis points (2s/10s) -2.0 basis points
- US Atlanta Fed 1Q GDPNow Forecast +3.4% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 56.2% +1.1 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.06% unch.
- 10-Year TIPS Spread 2.30 unch.
- Highest target rate probability for May 1st FOMC meeting: 61.4%(-.3 percentage point) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 53.7%(-.1 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +440 open in Japan
- China A50 Futures: Indicating -23 open in China
- DAX Futures: Indicating +160 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 and some of my emerging market shorts
- Market Exposure: Moved to 100% Net Long
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