Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.8 +.4%
- DJIA Intraday % Swing 1.02%
- Bloomberg Global Risk On/Risk Off Index 57.1 +3.1%
- Euro/Yen Carry Return Index 147.2 +.97%
- Emerging Markets Currency Volatility(VXY) 10.2 +.1%
- CBOE S&P 500 Implied Correlation Index 34.2 +9.2%
- ISE Sentiment Index 114.0 -13.0 point
- Total Put/Call .83 +5.1%
- NYSE Arms 1.14 -9.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 68.12 +.75%
- US Energy High-Yield OAS 342.97 -.48%
- Bloomberg TRACE # Distressed Bonds Traded 316.0 +2.0
- European Financial Sector CDS Index 80.88 -.03%
- Credit Suisse Subordinated 5Y Credit Default Swap 348.44 unch.
- Italian/German 10Y Yld Spread 183.0 basis points +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 97.54 -3.0%
- Emerging Market CDS Index 218.8 +3.90%
- China Corp. High-Yield Bond USD ETF(KHYB) 27.93 +.05%
- 2-Year Swap Spread 27.75 basis points -1.75 basis points
- TED Spread 16.5 basis points -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -10.0 +.75 basis point
- MBS 5/10 Treasury Spread 127.0 +5.0 basis points
- Bloomberg US Agg CMBS Avg OAS 105.0 -1.0 basis point
- Avg. Auto ABS OAS .70 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 48.5 -.7%
- 3-Month T-Bill Yield 4.64% +2.0 basis points
- China Iron Ore Spot 123.2 USD/Metric Tonne -1.3%
- Dutch TTF Nat Gas(European benchmark) 57.9 euros/megawatt-hour +1.5%
- Citi US Economic Surprise Index 19.70 +30.7 points
- Citi Eurozone Economic Surprise Index 100.1 +2.4 points
- Citi Emerging Markets Economic Surprise Index 3.3 +.9 point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 224.80 -.01: Growth Rate +.6% unch., P/E 18.5 -.1
- S&P 500 Current Year Estimated Profit Margin 12.23% unch.
- Bloomberg US Financial Conditions Index .49 +15.0 basis points
- Yield Curve -77.25 basis points (2s/10s) -7.75 basis points
- US Atlanta Fed 1Q GDPNow Forecast +.67% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +4.30% unch.: CPI YoY +6.44% unch.
- 10-Year TIPS Spread 2.23 unch.
- Highest target rate probability for May 3rd FOMC meeting: 58.3%(+28.3 percentage points) chance of 5.0%-5.25%. Highest target rate probability for June 14th meeting: 54.3%(+22.4 percentage points) chance of 5.0%-5.25%.
US Covid-19:
- 84
new infections/100K people(last 7 days total). 4.8%(-.4 percentage
point) of 1/14/22 peak(1,740) -7/100K people from prior report.
- New
Covid-19 patient hospital admissions per 100K population -82.4%(-.6
percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
- Nikkei 225 Futures: Indicating +66 open in Japan
- China A50 Futures: Indicating -94 open in China
- DAX Futures: Indicating -3 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to Market Neutral