Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 15.2 +3.1%
- DJIA Intraday % Swing .68 +23.2%
- Bloomberg Global Risk On/Risk Off Index 65.0 +.1%
- Euro/Yen Carry Return Index 173.9 -.2%
- Emerging Markets Currency Volatility(VXY) 6.4 -.16%
- CBOE S&P 500 Implied Correlation Index 14.6 +5.2%
- ISE Sentiment Index 146.0 unch.
- Total Put/Call .99 +8.8%
- NYSE Arms .62 -47.5%
- NYSE Non-Block Money Flow -$156.6M
Credit Investor Angst:
- North American Investment Grade CDS Index 49.7 -.03%
- US Energy High-Yield OAS 299.8 -.36%
- Bloomberg TRACE # Distressed Bonds Traded 284 -3
- European Financial Sector CDS Index 60.7 +.7%
- Deutsche Bank Subordinated 5Y Credit Default Swap 191.6 -.55%
- Italian/German 10Y Yld Spread 133.0 basis points +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 100.1 -.15%
- Emerging Market CDS Index 164.6 -.11%
- Israel Sovereign CDS 118.1 +.02%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.7 +.02%
- 2-Year SOFR Swap Spread -11.25 basis points -1.75 basis points
- Treasury Repo 3M T-Bill Spread 9.75 basis points +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -5.25 -.25 basis point
- MBS 5/10 Treasury Spread 145.0 -2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 819.0 -8.0 basis points
- Avg. Auto ABS OAS 62.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.0 -.04%
- 3-Month T-Bill Yield 5.40% +1.0 basis point
- China Iron Ore Spot 107.6 USD/Metric Tonne -4.8%
- Dutch TTF Nat Gas(European benchmark) 24.9 euros/megawatt-hour -5.5%
- Citi US Economic Surprise Index 26.5 -1.3 points
- Citi Eurozone Economic Surprise Index 54.7 +3.3 points
- Citi Emerging Markets Economic Surprise Index 14.8 +.5 point
- S&P 500 Current Quarter EPS Growth Rate YoY(495 of 500 reporting) +8.0% +.1 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 247.99 +.39: Growth Rate +11.1% unch., P/E 20.6 -.2
- 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% -2.1 percentage points
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 316.09 +.34: Growth Rate +31.6% +.6 percentage point, P/E 30.8 -.8
- Bloomberg US Financial Conditions Index 1.01 -2.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.04 +12.0 basis points
- US Yield Curve -43.75 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) 61.0% +3.3 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.72% unch.: CPI YoY +3.12% unch.
- 10-Year TIPS Spread 2.27 -1.0 basis point
- Highest target rate probability for May 1st FOMC meeting: 77.5%(+1.6 percentage points) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 55.2%(-2.2 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -535 open in Japan
- China A50 Futures: Indicating +52 open in China
- DAX Futures: Indicating +41 open in Germany
Portfolio:
- Slightly Lower: On losses in my industrial/tech/transport sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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