Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.3 -1.1%
- DJIA Intraday % Swing .45 -60.7%
- Bloomberg Global Risk On/Risk Off Index 65.9 -2.6%
- Euro/Yen Carry Return Index 176.2 -.1%
- Emerging Markets Currency Volatility(VXY) 6.2 -.16%
- CBOE S&P 500 Implied Correlation Index 14.3 -5.0%
- ISE Sentiment Index 172.0 +55.0
- Total Put/Call .87 -16.4%
- NYSE Arms 1.14 +32.6%
- NYSE Non-Block Money Flow +$298.0M
Credit Investor Angst:
- North American Investment Grade CDS Index 50.9 -1.34%
- US Energy High-Yield OAS 303.82 -.18%
- Bloomberg TRACE # Distressed Bonds Traded 281 +3
- European Financial Sector CDS Index 62.4 -2.5%
- Deutsche Bank Subordinated 5Y Credit Default Swap 207.2 -1.97%
- Italian/German 10Y Yld Spread 132.0 basis points -7.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 102.7 +1.0%
- Emerging Market CDS Index 165.0 -1.7%
- Israel Sovereign CDS 120.1 -1.4%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.6 +.02%
- 2-Year SOFR Swap Spread -9.25 basis points unch.
- Treasury Repo 3M T-Bill Spread 8.5 basis points +2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -5.0 unch.
- MBS 5/10 Treasury Spread 151.0 -3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 825.0 +2.0 basis points
- Avg. Auto ABS OAS 63.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.0 +.03%
- 3-Month T-Bill Yield 5.38% +2.0 basis points
- China Iron Ore Spot 115.9 USD/Metric Tonne +.5%
- Dutch TTF Nat Gas(European benchmark) 26.6 euros/megawatt-hour -3.3%
- Citi US Economic Surprise Index 25.4 -2.2 points
- Citi Eurozone Economic Surprise Index 57.1 +2.3 points
- Citi Emerging Markets Economic Surprise Index 14.2 +1.3 points
- S&P 500 Current Quarter EPS Growth Rate YoY(493 of 500 reporting) +7.2% -.6 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 247.53 +.15: Growth Rate +11.0% unch., P/E 20.7 +.1
- S&P 500 Current Year Estimated Profit Margin 12.82% -1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +57.3% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 315.63 +.12: Growth Rate +30.9% unch., P/E 31.2 +.3
- Bloomberg US Financial Conditions Index 1.0 -10.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .95 -3.0 basis points
- US Yield Curve -44.5 basis points (2s/10s) -2.5 basis points
- US Atlanta Fed 1Q GDPNow Forecast +2.5% +.4 percentage point
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 58.8% +2.6 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.72% unch.: CPI YoY +3.12% unch.
- 10-Year TIPS Spread 2.30 -3.0 basis points
- Highest target rate probability for May 1st FOMC meeting: 78.7%(-1.5 percentage points) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 57.1%(-2.1 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +210 open in Japan
- China A50 Futures: Indicating +13 open in China
- DAX Futures: Indicating +12 open in Germany
Portfolio:
- Higher: On gains in my industrial/tech/transport/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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