Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.6 +.9%
- DJIA Intraday % Swing .70 unch.
- Bloomberg Global Risk On/Risk Off Index 64.5 +3.0%
- Euro/Yen Carry Return Index 174.5 -.9%
- Emerging Markets Currency Volatility(VXY) 8.9 +2.1%
- CBOE S&P 500 Implied Correlation Index 12.3 +1.7%
- ISE Sentiment Index 195.0 +22.0 points
- Total Put/Call .81 -8.0%
- NYSE Arms 1.40 -18.5%
- NYSE Non-Block Money Flow -$110.4M
Credit Investor Angst:
- North American Investment Grade CDS Index 47.5 -.2%
- US Energy High-Yield OAS 288.7 -.3%
- Bloomberg TRACE # Distressed Bonds Traded 175 -13
- European Financial Sector CDS Index 63.5 +1.1%
- Deutsche Bank Subordinated 5Y Credit Default Swap 161.7 +.7%
- Italian/German 10Y Yld Spread 123.0 basis points +3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 72.8 -.7%
- Emerging Market CDS Index 156.3 -.14%
- Israel Sovereign CDS 108.7 -1.1%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.8 +.05%
- 2-Year SOFR Swap Spread -17.5 basis points -3.5 basis points
- 3M T-Bill Treasury Repo Spread -9.0 basis points -2.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -3.75 -1.0 basis point
- MBS 5/10 Treasury Spread 136.0 -2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 646.0 unch.
- Avg. Auto ABS OAS 45.0 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 37.3 -.3%
- 3-Month T-Bill Yield 4.49% -1.0 basis point
- China Iron Ore Spot 105.0 USD/Metric Tonne +.3%
- Dutch TTF Nat Gas(European benchmark) 48.7 euros/megawatt-hour +1.8%
- Citi US Economic Surprise Index 34.3 +4.3 points
- Citi Eurozone Economic Surprise Index -24.3 -2.5 points
- Citi Emerging Markets Economic Surprise Index .3 -1.0 point
- S&P 500 Current Quarter EPS Growth Rate YoY(485 of 500 reporting) +8.2% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 270.22 +.26: Growth Rate +13.3% +.1 percentage point, P/E 22.4 +.1
- S&P 500 Current Year Estimated Profit Margin 12.59% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +33.3% unch.
- NYSE
FANG+ Blended Forward 12 Months Mean EPS Estimate 383.37 +1.36: Growth
Rate +22.4% +1.0 percentage point, P/E 32.8 +.1 point
- Bloomberg US Financial Conditions Index .83 +2.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.04 -24.0 basis points
- US Yield Curve -.5 basis point (2s/10s) -1.0 basis point
- US Atlanta Fed Q4 GDPNow Forecast +3.16% +58.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 34.7% -.6 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.94% +18.0 basis points: CPI YoY +2.70% unch.
- 10-Year TIPS Spread 2.27 +1.0 basis point
- Highest target rate probability for Jan. 29th FOMC meeting: 57.7%(-.1 percentage point) chance of 4.25%-4.5%. Highest target rate probability for March 19th meeting: 42.9%(+3.3 percentage points) chance of 4.25%-4.5%. (current target rate is 4.5-4.75%)
Overseas Futures:
- Nikkei 225 Futures: Indicating +177 open in Japan
- China A50 Futures: Indicating +3 open in China
- DAX Futures: Indicating +51 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/consumer discretionary sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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