Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Most Sectors Rising
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 15.5 +1.1%
- S&P 500 Intraday % Swing .39 +15.6%.
- Bloomberg Global Risk On/Risk Off Index 77.5 -.2%
- Euro/Yen Carry Return Index 176.7 -.5%
- Emerging Markets Currency Volatility(VXY) 7.72 -.1%
- CBOE S&P 500 Implied Correlation Index 11.9 unch.
- ISE Sentiment Index 184.0 +7.0 points
- Total Put/Call .89 +18.7%
- NYSE Arms .90 +31.9%
- NYSE Non-Block Money Flow -$254.0M
Credit Investor Angst:
- North American Investment Grade CDS Index 46.6 +.01%
- US Energy High-Yield OAS 288.01 +.67%
- Bloomberg TRACE # Distressed Bonds Traded 161.0 -13
- European Financial Sector CDS Index 56.0 +.8%
- Deutsche Bank Subordinated 5Y Credit Default Swap 135.5 +.8%
- Italian/German 10Y Yld Spread 108.0 basis points +3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 68.0 +2.7%
- Emerging Market CDS Index 151.2 +.5%
- Israel Sovereign CDS 88.1 +.06%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.2 +.17%
- 2-Year SOFR Swap Spread -14.5 basis points +.5 basis point
- 3M T-Bill Treasury Repo Spread -2.0 basis point -2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -.5 +.25 basis point
- MBS 5/10 Treasury Spread 131.0 unch.
- Bloomberg CMBS Investment Grade Bbb Average OAS 594.0 -5.0 basis points
- Avg. Auto ABS OAS 47.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 37.3 -.09%
- 3-Month T-Bill Yield 4.32% +1.0 basis point
- China Iron Ore Spot 106.7 USD/Metric Tonne +.2%
- Dutch TTF Nat Gas(European benchmark) 48.2 euros/megawatt-hour -1.9%
- Citi US Economic Surprise Index .5 +.1 point
- Citi Eurozone Economic Surprise Index 30.8 +4.8 points
- Citi Emerging Markets Economic Surprise Index 3.0 -.5 point
- S&P 500 Current Quarter EPS Growth Rate YoY(403 of 500 reporting) +10.6% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 275.14 unch.: Growth Rate +16.1% unch., P/E 22.3 +.1
- S&P 500 Current Year Estimated Profit Margin 11.87% +3.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +26.6% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 405.93 +.71: Growth Rate +31.3% +.3 percentage point, P/E 34.2 -.1
- Bloomberg US Financial Conditions Index .86 +5.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.65 -48.0 basis points
- US Yield Curve 26.0 basis points (2s/10s) +1.75 basis points
- US Atlanta Fed GDPNow Q1 Forecast +2.34% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 23.9% -1.1 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.66% unch.: CPI YoY +2.82% +1.0 basis point
- 10-Year TIPS Spread 2.46 unch.
- Highest target rate probability for May 7th FOMC meeting: 87.3% (+1.7 percentage points) chance of 4.25%-4.5%. Highest target rate probability for June 18th meeting: 53.4%(-1.7 percentage points) chance of 4.25%-4.5%. (current target rate is 4.25-4.5%)
Overseas Futures:
- Nikkei 225 Futures: Indicating -149 open in Japan
- China A50 Futures: Indicating -22 open in China
- DAX Futures: Indicating +55 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/utility/industrial sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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