Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.9 -3.1%
- DJIA Intraday % Swing .74 +69.3%
- Bloomberg Global Risk On/Risk Off Index 55.8 -3.0%
- Euro/Yen Carry Return Index 171.7 +.09%
- Emerging Markets Currency Volatility(VXY) 7.2 -.96%
- CBOE S&P 500 Implied Correlation Index 18.8 -4.5%
- ISE Sentiment Index 149.0 unch.
- Total Put/Call 1.01 +12.2%
- NYSE Arms 1.49 +2.05%
- NYSE Non-Block Money Flow +$181.1M
Credit Investor Angst:
- North American Investment Grade CDS Index 55.4 -1.2%
- US Energy High-Yield OAS 333.40 -.29%
- Bloomberg TRACE # Distressed Bonds Traded 331 +21
- European Financial Sector CDS Index 70.66 +2.5%
- Deutsche Bank Subordinated 5Y Credit Default Swap 208.92 +3.8%
- Italian/German 10Y Yld Spread 158.0 basis points +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 102.81 +2.1%
- Emerging Market CDS Index 179.0 -2.1%
- Israel Sovereign CDS 129.4 -.3%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.47 +.14%
- 2-Year SOFR Swap Spread -14.5 basis points +.25 basis point
- Treasury Repo 3M T-Bill Spread 5.25 basis points +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -8.75 +1.75 basis points
- MBS 5/10 Treasury Spread 139.0 +1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 887.0 -10.0 basis points
- Avg. Auto ABS OAS 70.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.88 +.19%
- 3-Month T-Bill Yield 5.36% unch.
- China Iron Ore Spot 128.8 USD/Metric Tonne -1.7%
- Dutch TTF Nat Gas(European benchmark) 29.0 euros/megawatt-hour -4.1%
- Citi US Economic Surprise Index 30.7 +5.0 points
- Citi Eurozone Economic Surprise Index 4.4 +5.5 points
- Citi Emerging Markets Economic Surprise Index -4.9 -3.4 points
- S&P 500 Current Quarter EPS Growth Rate YoY(208 of 500 reporting) -.4% -.8 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 244.03 +.28: Growth Rate +10.2% +.1 percentage point, P/E 20.0 unch.
- S&P 500 Current Year Estimated Profit Margin 11.49% +1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(4 of 10 reporting) +31.1% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 295.66 +1.08: Growth Rate +38.6% +.5 percentage point, P/E 30.8 -.1
- Bloomberg US Financial Conditions Index .85 -9.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .60 -16.0 basis points
- US Yield Curve -33.75 basis points (2s/10s) -4.5 basis points
- US Atlanta Fed 1Q GDPNow Forecast +3.0% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 67.6% +3.2 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.66% unch.: CPI YoY +2.96% unch.
- 10-Year TIPS Spread 2.19 -6.0 basis points
- Highest target rate probability for May 1st FOMC meeting: 59.6%(+13.3 percentage points) chance of 5.0%-5.25%. Highest target rate probability for June 12th meeting: 50.3%(+8.8 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +140 open in Japan
- China A50 Futures: Indicating +9 open in China
- DAX Futures: Indicating +170 open in Germany
Portfolio:
- Higher: On gains in my consumer discretionary/industrial/tech/biotech/utility 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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