Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 26.2 +1.7%
- DJIA Intraday % Swing .91%
- Bloomberg Global Risk On/Risk Off Index 46.6 +2.2%
- Euro/Yen Carry Return Index 151.62 -.17%
- Emerging Markets Currency Volatility(VXY) 12.7 -1.1%
- CBOE S&P 500 Implied Correlation Index 53.0 +.08%
- ISE Sentiment Index 96.0 +6.0 points
- Total Put/Call .87 -7.5%
- NYSE Arms .87 -19.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 89.70 +1.6%
- US Energy High-Yield OAS 356.72 +.94%
- Bloomberg TRACE # Distressed Bonds Traded 457.0 +2.0
- European Financial Sector CDS Index 123.4 +1.3%
- Credit Suisse Subordinated 5Y Credit Default Swap 333.64 +.2%
- Italian/German 10Y Yld Spread 216.0 basis points +9.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 231.40 +4.1%
- Emerging Market CDS Index 294.77 +3.6%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.06 +.35%
- 2-Year Swap Spread 37.25 basis points -.75 basis point
- TED Spread 39.5 basis points +2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -55.0 basis points -3.25 basis points
- MBS 5/10 Treasury Spread 170.0 +4.0 basis points
- Bloomberg US Agg CMBS Avg OAS 130.0 +1.0 basis point
- Avg. Auto ABS OAS 1.09 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 46.54 -.20%
- 3-Month T-Bill Yield 4.06% +3.0 basis points
- Yield Curve -44.25 basis points (2s/10s) -4.75 basis points
- China Iron Ore Spot 75.25 USD/Metric Tonne -2.1%
- Dutch TTF Nat Gas(European benchmark) 122.0 euros/megawatt-hour +12.4%
- Citi US Economic Surprise Index 8.1 -6.4 points
- Citi Eurozone Economic Surprise Index 18.2 +9.2 points
- Citi Emerging Markets Economic Surprise Index 7.2 -1.1 points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 232.30 -.57: Growth Rate +13.1% -1.4 percentage points, P/E 16.7 unch.
- Bloomberg US Financial Conditions Index -1.03 +4.0 basis points
- US Atlanta Fed GDPNow Forecast +3.07% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +5.16% unch.: CPI YoY +8.11% unch.
- 10-Year TIPS Spread 2.51 unch.
- Highest target rate probability for December 14th FOMC meeting: 49.5%(+6.1 percentage points) chance of 4.5%-4.75%. Highest target rate probability for February 1st meeting: 47.1%(+1.9 percentage points) chance of 4.75%-5.0%.
US Covid-19:
- 77
new infections/100K people(last 7 days total). 4.4%(+0.0 percentage
points) of 1/14/22 peak(1,740) +0/100K people from prior report.
- New
Covid-19 patient hospital admissions per 100K population -86.0%(-1.1
percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
- Nikkei 225 Futures: Indicating -42 open in Japan
- China A50 Futures: Indicating +1 open in China
- DAX Futures: Indicating +33 open in Germany
Portfolio:
- Higher: On gains in my commodity sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long