Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.8 -.22%
- DJIA Intraday % Swing .41 -20.1%
- Bloomberg Global Risk On/Risk Off Index 68.0 +.6%
- Euro/Yen Carry Return Index 175.1 +.2%
- Emerging Markets Currency Volatility(VXY) 6.2 -2.7%
- CBOE S&P 500 Implied Correlation Index 12.0 -2.4%
- ISE Sentiment Index 158.0 +30.0
- Total Put/Call .73 -31.1%
- NYSE Arms .81 -28.3%
- NYSE Non-Block Money Flow +$107.6M
Credit Investor Angst:
- North American Investment Grade CDS Index 48.0 -1.4%
- US Energy High-Yield OAS 290.5 -1.8%
- Bloomberg TRACE # Distressed Bonds Traded 271 -5
- European Financial Sector CDS Index 58.9 -1.7%
- Deutsche Bank Subordinated 5Y Credit Default Swap 182.0 -2.6%
- Italian/German 10Y Yld Spread 123.0 basis points -5.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 99.4 -.5%
- Emerging Market CDS Index 159.9 -1.9%
- Israel Sovereign CDS 114.5 +.7%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.7 unch.
- 2-Year SOFR Swap Spread -11.0 basis points +.5 basis point
- Treasury Repo 3M T-Bill Spread 9.0 basis points +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -5.0 unch.
- MBS 5/10 Treasury Spread 142.0 -4.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 816.0 -3.0 basis points
- Avg. Auto ABS OAS 62.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.06 +.20%
- 3-Month T-Bill Yield 5.39% unch.
- China Iron Ore Spot 106.0 USD/Metric Tonne +.4%
- Dutch TTF Nat Gas(European benchmark) 24.9 euros/megawatt-hour +.5%
- Citi US Economic Surprise Index 29.7 +.7 point
- Citi Eurozone Economic Surprise Index 51.4 -4.8 points
- Citi Emerging Markets Economic Surprise Index 17.3 +1.0 point
- S&P 500 Current Quarter EPS Growth Rate YoY(497 of 500 reporting) +7.9% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 248.17 +.11: Growth Rate +11.2% +.1 percentage point, P/E 20.8 unch.
- S&P 500 Current Year Estimated Profit Margin 12.82% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(10 of 10 reporting) +55.2% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 316.27 +.16: Growth Rate +31.6% unch., P/E 31.1 -.1
- Bloomberg US Financial Conditions Index 1.12 +20.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.11 +6.0 basis points
- US Yield Curve -43.0 basis points (2s/10s) +1.75 basis points
- US Atlanta Fed 1Q GDPNow Forecast +2.5% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 56.5% -4.5 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.78% unch.: CPI YoY +3.33% unch.
- 10-Year TIPS Spread 2.30 unch.
- Highest target rate probability for May 1st FOMC meeting: 87.6%(-2.3 percentage points) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 58.0%(-4.6 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -240 open in Japan
- China A50 Futures: Indicating +16 open in China
- DAX Futures: Indicating +31 open in Germany
Portfolio:
- Higher: On gains in my industrial/transport/consumer discretionary/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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