Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.5 -2.0%
- S&P 500 Intraday % Swing .32 -56.3%.
- Bloomberg Global Risk On/Risk Off Index 71.4 +1.4%
- Euro/Yen Carry Return Index 175.5 -1.0%
- Emerging Markets Currency Volatility(VXY) 8.5 -.8%
- CBOE S&P 500 Implied Correlation Index 12.6 +2.5%
- ISE Sentiment Index 194.0 +42.0 points
- Total Put/Call .79 -1.3%
- NYSE Arms 1.21 -28.8%
- NYSE Non-Block Money Flow -$39.0M
Credit Investor Angst:
- North American Investment Grade CDS Index 48.0 +.4%
- US Energy High-Yield OAS 283.8 +.3%
- Bloomberg TRACE # Distressed Bonds Traded 177 +3
- European Financial Sector CDS Index 58.9 -1.3%
- Deutsche Bank Subordinated 5Y Credit Default Swap 142.0 -.7%
- Italian/German 10Y Yld Spread 107.0 basis points -3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 75.8 -2.0%
- Emerging Market CDS Index 158.0 +.3%
- Israel Sovereign CDS 84.8 -.7%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.96 +.2%
- 2-Year SOFR Swap Spread -15.5 basis points -.25 basis point
- 3M T-Bill Treasury Repo Spread .5 basis point +3.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -.5 +1.25 basis points
- MBS 5/10 Treasury Spread 136.0 -1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 606.0 -1.0 basis point
- Avg. Auto ABS OAS 47.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 37.2 +.2%
- 3-Month T-Bill Yield 4.32% +1.0 basis point
- China Iron Ore Spot 106.20 USD/Metric Tonne +.2%
- Dutch TTF Nat Gas(European benchmark) 54.5 euros/megawatt-hour +2.0%
- Citi US Economic Surprise Index 7.7 -2.5 points
- Citi Eurozone Economic Surprise Index 5.2 +7.2 points
- Citi Emerging Markets Economic Surprise Index 12.7 +2.7 points
- S&P 500 Current Quarter EPS Growth Rate YoY(293 of 500 reporting) +12.2% +.2 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 273.94 +.02: Growth Rate +15.6% unch., P/E 22.2 +.2
- S&P 500 Current Year Estimated Profit Margin 11.87% -4.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(6 of 10 reporting) +19.7% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 401.91 unch.: Growth Rate +30.0% unch., P/E 34.2 +.1
- Bloomberg US Financial Conditions Index .78 +4.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.74 -2.0 basis points
- US Yield Curve 22.75 basis points (2s/10s) -.5 basis point
- US Atlanta Fed GDPNow Q1 Forecast +2.89% -99.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 26.5% -.6 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.52% unch.: CPI YoY +2.85% unch.
- 10-Year TIPS Spread 2.41 unch.
- Highest target rate probability for May 7th FOMC meeting: 62.2% (+3.4 percentage points) chance of 4.25%-4.5%. Highest target rate probability for June 18th meeting: 45.8%(+.1 percentage point) chance of 4.0%-4.25%. (current target rate is 4.25-4.5%)
Overseas Futures:
- Nikkei 225 Futures: Indicating -125 open in Japan
- China A50 Futures: Indicating -35 open in China
- DAX Futures: Indicating +70 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/financial sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
No comments:
Post a Comment