Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.7 -3.5%
- DJIA Intraday % Swing .50 unch.
- Bloomberg Global Risk On/Risk Off Index 66.9 +.3%
- Euro/Yen Carry Return Index 178.1 +.07%
- Emerging Markets Currency Volatility(VXY) 8.7 -.2%
- CBOE S&P 500 Implied Correlation Index 10.9 -7.0%
- ISE Sentiment Index 185.0 -8.0 points
- Total Put/Call .77 -8.3%
- NYSE Arms 1.56 +38.0%
- NYSE Non-Block Money Flow +$117.2M
Credit Investor Angst:
- North American Investment Grade CDS Index 46.8 -1.25%
- US Energy High-Yield OAS 300.9 -.98%
- Bloomberg TRACE # Distressed Bonds Traded 186 unch.
- European Financial Sector CDS Index 59.1 -1.1%
- Deutsche Bank Subordinated 5Y Credit Default Swap 148.7 -.6%
- Italian/German 10Y Yld Spread 106.0 basis points -3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 69.7 +1.7%
- Emerging Market CDS Index 152.1 -1.5%
- Israel Sovereign CDS 103.8 +1.0%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.9 +.16%
- 2-Year SOFR Swap Spread -18.75 basis points unch.
- 3M T-Bill Treasury Repo Spread -25.0 basis points -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.25 +.5 basis point
- MBS 5/10 Treasury Spread 130.0 unch.
- Bloomberg CMBS Investment Grade Bbb Average OAS 644.0 -6.0 basis points
- Avg. Auto ABS OAS 45.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 37.5 -.07%
- 3-Month T-Bill Yield 4.36% unch.
- China Iron Ore Spot 105.3 USD/Metric Tonne +.6%
- Dutch TTF Nat Gas(European benchmark) 44.7 euros/megawatt-hour -1.9%
- Citi US Economic Surprise Index 25.7 -.6 point
- Citi Eurozone Economic Surprise Index -25.9 +.6 point
- Citi Emerging Markets Economic Surprise Index -1.1 +.9
- S&P 500 Current Quarter EPS Growth Rate YoY(2 of 500 reporting) +8.9% +.7 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 270.84 +.11: Growth Rate +13.5% unch., P/E 22.5 +.1
- S&P 500 Current Year Estimated Profit Margin 12.58% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 384.86 +.54: Growth Rate +22.7% unch., P/E 34.7 +.8
- Bloomberg US Financial Conditions Index .86 -4.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.42 -9.0 basis points
- US Yield Curve 10.75 basis points (2s/10s) +4.0 basis points
- US Atlanta Fed Q4 GDPNow Forecast +3.33% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 31.6% -2.3 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.97% +3.0 basis points: CPI YoY +2.86% +16.0 basis points
- 10-Year TIPS Spread 2.31 +4.0 basis points
- Highest target rate probability for Jan. 29th FOMC meeting: 75.7%(+3.4 percentage points) chance of 4.25%-4.5%. Highest target rate probability for March 19th meeting: 54.7%(+.5 percentage point) chance of 4.0%-4.25%. (current target rate is 4.5-4.75%)
Overseas Futures:
- Nikkei 225 Futures: Indicating +853 open in Japan
- China A50 Futures: Indicating -26 open in China
- DAX Futures: Indicating +53 open in Germany
Portfolio:
- Higher: On gains in my financial/tech/industrial/consumer discretionary sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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