Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.4 -1.0%
- DJIA Intraday % Swing .41 -9.2%
- Bloomberg Global Risk On/Risk Off Index 66.9 +.8%
- Euro/Yen Carry Return Index 175.5 -.5%
- Emerging Markets Currency Volatility(VXY) 6.3 +.6%
- CBOE S&P 500 Implied Correlation Index 13.6 -7.5%
- ISE Sentiment Index 139.0 -8.0
- Total Put/Call .90 -14.3%
- NYSE Arms 1.27 +18.7%
- NYSE Non-Block Money Flow +$304.5M
Credit Investor Angst:
- North American Investment Grade CDS Index 50.0 -1.7%
- US Energy High-Yield OAS 298.0 -1.3%
- Bloomberg TRACE # Distressed Bonds Traded 287 +6
- European Financial Sector CDS Index 61.2 -2.0%
- Deutsche Bank Subordinated 5Y Credit Default Swap 196.2 -5.3%
- Italian/German 10Y Yld Spread 132.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 101.8 -.7%
- Emerging Market CDS Index 163.8 -.72%
- Israel Sovereign CDS 121.1 +.9%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.7 +.1%
- 2-Year SOFR Swap Spread -9.5 basis points -.25 basis point
- Treasury Repo 3M T-Bill Spread 8.5 basis points unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -5.0 unch.
- MBS 5/10 Treasury Spread 147.0 -4.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 827.0 +2.0 basis points
- Avg. Auto ABS OAS 63.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.0 +.1%
- 3-Month T-Bill Yield 5.39% +1.0 basis point
- China Iron Ore Spot 115.9 USD/Metric Tonne -.8%
- Dutch TTF Nat Gas(European benchmark) 26.0 euros/megawatt-hour -2.2%
- Citi US Economic Surprise Index 24.9 -.5 points
- Citi Eurozone Economic Surprise Index 50.1 -7.0 points
- Citi Emerging Markets Economic Surprise Index 14.4 +.2 point
- S&P 500 Current Quarter EPS Growth Rate YoY(494 of 500 reporting) +7.9% +.7 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 247.60 +.07: Growth Rate +11.1% +.1 percentage point, P/E 20.8 +.1
- S&P 500 Current Year Estimated Profit Margin 12.82% 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 315.75 +.12: Growth Rate +31.0% +.1 percentage point, P/E 31.6 +.4
- Bloomberg US Financial Conditions Index 1.03 +3.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .92 -3.0 basis points
- US Yield Curve -42.0 basis points (2s/10s) +2.5 basis points
- US Atlanta Fed 1Q GDPNow Forecast +2.5% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 57.7% -1.1 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.72% unch.: CPI YoY +3.12% unch.
- 10-Year TIPS Spread 2.28 -2.0 basis points
- Highest target rate probability for May 1st FOMC meeting: 76.3%(-.3 percentage point) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 55.7%(+.5 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +52 open in Japan
- China A50 Futures: Indicating +11 open in China
- DAX Futures: Indicating +53 open in Germany
Portfolio:
- Higher: On gains in my industrial/tech/transport/biotech/consumer discetionary 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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