Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.7 +8.9%
- DJIA Intraday % Swing .64 +7.9%
- Bloomberg Global Risk On/Risk Off Index 67.8 -3.6%
- Euro/Yen Carry Return Index 176.1 -.43%
- Emerging Markets Currency Volatility(VXY) 6.2 -.32%
- CBOE S&P 500 Implied Correlation Index 15.7 +8.6%
- ISE Sentiment Index 115.0 -45.0
- Total Put/Call 1.03 +21.2%
- NYSE Arms .88 unch.
- NYSE Non-Block Money Flow -$395.1M
Credit Investor Angst:
- North American Investment Grade CDS Index 52.2 +2.1%
- US Energy High-Yield OAS 306.3 +2.8%
- Bloomberg TRACE # Distressed Bonds Traded 278 -4
- European Financial Sector CDS Index 64.0 +.23%
- Deutsche Bank Subordinated 5Y Credit Default Swap 211.4 +.5%
- Italian/German 10Y Yld Spread 139.0 basis points -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 101.7 +3.4%
- Emerging Market CDS Index 168.3 +2.8%
- Israel Sovereign CDS 121.8 +.6%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.6 -.3%
- 2-Year SOFR Swap Spread -9.25 basis points +.5 basis point
- Treasury Repo 3M T-Bill Spread 6.5 basis points -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -5.0 -.5 basis point
- MBS 5/10 Treasury Spread 154.0 -2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 823.0 +3.0 basis points
- Avg. Auto ABS OAS 63.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.2 +.06%
- 3-Month T-Bill Yield 5.36% -1.0 basis point
- China Iron Ore Spot 114.0 USD/Metric Tonne -.34%
- Dutch TTF Nat Gas(European benchmark) 27.5 euros/megawatt-hour +2.2%
- Citi US Economic Surprise Index 27.6 -6.6 points
- Citi Eurozone Economic Surprise Index 54.8 +1.5 points
- Citi Emerging Markets Economic Surprise Index 12.9 -1.3 points
- S&P 500 Current Quarter EPS Growth Rate YoY(491 of 500 reporting) +7.8% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 247.38 +n/a: Growth Rate +11.0% +n/a, P/E 20.6 +n/a
- S&P 500 Current Year Estimated Profit Margin 12.83% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +57.3% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 315.51 +n/a: Growth Rate +30.9% +n/a, P/E 30.9 +n/a
- Bloomberg US Financial Conditions Index 1.10 -1.0 basis point
- Bloomberg Euro-Zone Financial Conditions Index .98 +3.0 basis points
- US Yield Curve -42.0 basis points (2s/10s) -3.0 basis points
- US Atlanta Fed 1Q GDPNow Forecast +2.1% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 56.2% +.3 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.72% unch.: CPI YoY +3.12% unch.
- 10-Year TIPS Spread 2.33 -1.0 basis point
- Highest target rate probability for May 1st FOMC meeting: 75.8%(-3.4 percentage points) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 55.0%(+2.3 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -247 open in Japan
- China A50 Futures: Indicating -39 open in China
- DAX Futures: Indicating +21 open in Germany
Portfolio:
- Lower: On losses in my consumer discretionary/industrial/tech/transport/biotch sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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