Stocks Modestly Lower into Afternoon on Rising Long-Term Rates, European/Emerging Markets/US High-Yield Debt Angst, Technical Selling, Consumer Discretionary/Alt Energy Sector Weakness

Broad Equity Market Tone:

• Advance/Decline Line: Substantially Lower
  

• Sector Performance:  Most Sectors Declining
  

• Volume:  Below Average

• Market Leading Stocks: Underperforming
  

Equity Investor Angst:

• Volatility(VIX) 20.1 +2.3%
• DJIA Intraday % Swing .59% -45.2%
  
• Bloomberg Global Risk On/Risk Off Index 3,949.0 +158.0 points

• Euro/Yen Carry Return Index 141.53 +.88%

• Emerging Markets Currency Volatility(VXY) 11.8 -.08%

• CBOE S&P 500 Implied Correlation Index 41.5 +.68% 

• ISE Sentiment Index 103.0 +9.0 points
  

• Total Put/Call .87 +3.6%

• NYSE Arms .97 +34.7%

Credit Investor Angst:

• North American Investment Grade CDS Index 77.52 +2.6%
  

• US Energy High-Yield OAS 389.77 -.44%
• Bloomberg TRACE # Distressed Bonds Traded 332.0 +9.0
  

• European Financial Sector CDS Index 107.61 +4.9%

• Italian/German 10Y Yld Spread 223.0 basis points +7.0 basis points
  

• Asia Ex-Japan Investment Grade CDS Index 133.95 +2.43%
  

• Emerging Market CDS Index 306.87 +3.7%
  

• China Corp. High-Yield Bond USD ETF(KHYB) 26.57 -.4%
  
• Ukraine Sovereign Debt Credit Default Swap 9,933.9 +10.2%
  

• 2-Year Swap Spread 31.5 basis points +1.0 basis point
  

• TED Spread 28.5 basis points -4.25 basis points
  

• 3-Month EUR/USD Cross-Currency Basis Swap -16.25 basis points +.75 basis point
  
• MBS  5/10 Treasury Spread  129.0 +15.0 basis points
  
• iShares CMBS ETF 48.10 -.55%
• Avg. Auto ABS OAS .92 -4.0 basis points
  

Economic Gauges:

• Bloomberg Emerging Markets Currency Index 49.29 -.33%
• 3-Month T-Bill Yield 2.62% +2.0 basis points
  

• Yield Curve -41.25 basis points (2s/10s) +2.25 basis points
  

• China Iron Ore Spot 101.75 USD/Metric Tonne -4.3%

• Citi US Economic Surprise Index -25.4 +6.1 points

• Citi Eurozone Economic Surprise Index -51.8 -2.8 points
  

• Citi Emerging Markets Economic Surprise Index 32.9 -1.2 points
  
• S&P 500 Blended Forward 12 Months Mean EPS Estimate 236.57 +.14:  Growth Rate +16.6% -.1 percentage point, P/E 18.1 -.2 point
  
• US Atlanta Fed GDPNow Q3 Forecast +1.62% -19.0 basis points
  
• Bloomberg US Financial Conditions Index -.10 -1.0 basis point
  

• 10-Year TIPS Spread 2.47 +2.0 basis point
  
• Highest target rate probability for November 2nd FOMC meeting: 51.0%(+.8 percentage point) chance of 3.25%-3.5%. Highest target rate probability for December 14th meeting: 46.9%(+2.3 percentage points) chance of 3.50%-3.75%.
  

US Covid-19:

• 217 new infections/100K people(last 7 days total). 12.5%(-.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 -72.8%(+.1 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
  

Overseas Futures:

• Nikkei 225 Futures: Indicating -141 open in Japan 
• China A50 Futures: Indicating -31 open in China

• DAX Futures: Indicating +69 open in Germany

Portfolio:

• Slightly Higher:  On gains in my commodity/utility sector longs and index hedges
  

• Disclosed Trades:  None
  

• Market Exposure:  50% net long