Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Most Sectors Rising
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.9 -.9%
- DJIA Intraday % Swing .40 -20.9%
- Bloomberg Global Risk On/Risk Off Index 61.8 +1.5%
- Euro/Yen Carry Return Index 172.3 +.3%
- Emerging Markets Currency Volatility(VXY) 7.1 -1.0%
- CBOE S&P 500 Implied Correlation Index 17.5 -1.2%
- ISE Sentiment Index 149.0 unch.
- Total Put/Call .88 +14.3%
- NYSE Arms 1.23 +40.0%
- NYSE Non-Block Money Flow +$262.9M
Credit Investor Angst:
- North American Investment Grade CDS Index 55.3 -.52%
- US Energy High-Yield OAS 318.57 -2.1%
- Bloomberg TRACE # Distressed Bonds Traded 338 +5
- European Financial Sector CDS Index 71.3 +.9%
- Deutsche Bank Subordinated 5Y Credit Default Swap 224.0 +2.2%
- Italian/German 10Y Yld Spread 157.0 basis points +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 99.4 -.6%
- Emerging Market CDS Index 178.35 -.08%
- Israel Sovereign CDS 125.6 +1.1%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.5+.02%
- 2-Year SOFR Swap Spread -14.0 basis points -.25 basis point
- Treasury Repo 3M T-Bill Spread 7.75 basis points +1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -6.5 -1.25 basis points
- MBS 5/10 Treasury Spread 150.0 +1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 851.0 -7.0 basis points
- Avg. Auto ABS OAS 70.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.5 -.17%
- 3-Month T-Bill Yield 5.38% +2.0 basis points
- China Iron Ore Spot 126.7 USD/Metric Tonne +1.3%
- Dutch TTF Nat Gas(European benchmark) 28.2 euros/megawatt-hour -1.5%
- Citi US Economic Surprise Index 43.5 +.6 point
- Citi Eurozone Economic Surprise Index 20.6 -1.9 points
- Citi Emerging Markets Economic Surprise Index -2.2 -.5 point
- S&P 500 Current Quarter EPS Growth Rate YoY(285 of 500 reporting) +4.2% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 245.02 +.04: Growth Rate +10.7% unch., P/E 20.4 +.2
- S&P 500 Current Year Estimated Profit Margin 11.34% -6.0 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 302.81 +.52: Growth Rate +42.0% +.3 percentage point, P/E 32.0 +.7
- Bloomberg US Financial Conditions Index 1.02 -1.0 basis point
- Bloomberg Euro-Zone Financial Conditions Index 1.10 +40.0 basis points
- US Yield Curve -32.0 basis points (2s/10s) unch.
- US Atlanta Fed 1Q GDPNow Forecast +3.4% -.8 percentage point
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 61.2% +1.6 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.66% unch.: CPI YoY +2.96% unch.
- 10-Year TIPS Spread 2.24 unch.
- Highest target rate probability for May 1st FOMC meeting: 56.7%(+1.3 percentage points) chance of 5.0%-5.25%. Highest target rate probability for June 12th meeting: 52.4%(+1.2 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +205 open in Japan
- China A50 Futures: Indicating -60 open in China
- DAX Futures: Indicating +121 open in Germany
Portfolio:
- Higher: On gains in my tech/consumer discretionary/industrial/utility sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
No comments:
Post a Comment