Stocks Falling into Afternoon on Diminishing Fed Pivot Hopes, Escalating China Social Unrest, Crypto Contagion Worries, Tech/Alt Energy Sector Weakness

Broad Equity Market Tone:

• Advance/Decline Line: Substantially Lower
  

• Sector Performance: Every Sector Declining
  

• Volume:  Below Average

• Market Leading Stocks: Underperforming
  

Equity Investor Angst:

• Volatility(VIX) 21.9 +6.9%
• DJIA Intraday % Swing 1.2%
  
• Bloomberg Global Risk On/Risk Off Index 47.6 -1.7%

• Euro/Yen Carry Return Index 148.8 -.4%

• Emerging Markets Currency Volatility(VXY) 12.0 +1.1%

• CBOE S&P 500 Implied Correlation Index 43.2 +3.6% 

• ISE Sentiment Index 82.0 -21.0 points
  

• Total Put/Call .97 +4.3%

• NYSE Arms 1.46 +19.7%

Credit Investor Angst:

• North American Investment Grade CDS Index 81.4 +4.4%
  

• US Energy High-Yield OAS 376.4 +3.6%
• Bloomberg TRACE # Distressed Bonds Traded 449.0 +25.0
  

• European Financial Sector CDS Index 102.1 +2.8% 
• Credit Suisse Subordinated 5Y Credit Default Swap 351.66 unch.
  

• Italian/German 10Y Yld Spread 192.0 basis points +4.0 basis points
  

• Asia Ex-Japan Investment Grade CDS Index 142.3 +.7%
  

• Emerging Market CDS Index 241.2 +4.0%
  

• China Corp. High-Yield Bond USD ETF(KHYB) 26.2 +.5%

• 2-Year Swap Spread 32.0 basis points +.5 basis point
  

• TED Spread 47.25 basis points +8.25 basis points
  

• 3-Month EUR/USD Cross-Currency Basis Swap -43.0 basis points -5.5 basis points
  
• MBS  5/10 Treasury Spread  142.0 -2.0 basis points
  
• Bloomberg US Agg CMBS Avg OAS 127.0 unch.
  
• Avg. Auto ABS OAS 1.19 -2.0 basis points
  

Economic Gauges:

• Bloomberg Emerging Markets Currency Index 47.47 -.01%
• 3-Month T-Bill Yield 4.28% -1.0 basis point
  

• Yield Curve -77.0 basis points (2s/10s) unch.
  

• China Iron Ore Spot 100.8 USD/Metric Tonne +3.6%
• Dutch TTF Nat Gas(European benchmark) 122.7 euros/megawatt-hour -1.4%

• Citi US Economic Surprise Index 14.2 +.7 point

• Citi Eurozone Economic Surprise Index 37.5 +7.4 points
  

• Citi Emerging Markets Economic Surprise Index 2.4 +3.0 points
  
• S&P 500 Blended Forward 12 Months Mean EPS Estimate 229.65 -.12:  Growth Rate +11.1% -.1 percentage point, P/E 17.3 -.2
  
• Bloomberg US Financial Conditions Index -.67 -11.0 basis points
  
• US Atlanta Fed GDPNow Forecast +4.26% unch.
  

• Cleveland Fed Inflation Nowcast Core PCE YoY +5.02% unch.: CPI YoY +7.55% unch.
  
• 10-Year TIPS Spread 2.28 -4.0 basis points
  
• Highest target rate probability for Feb. 1st FOMC meeting: 52.8%(+.1 percentage point) chance of 4.75%-5.0%. Highest target rate probability for March 22nd meeting: 41.9%(+.7 percentage point) chance of 5.0%-5.25%.
  

US Covid-19:

• 91 new infections/100K people(last 7 days total). 5.2%(+.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 -85.5%(-1.8 percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
  

Overseas Futures:

• Nikkei 225 Futures: Indicating -32 open in Japan 
• China A50 Futures: Indicating +88 open in China

• DAX Futures: Indicating -17 open in Germany

Portfolio:

• Slightly Higher:  On gains in my index hedges and emerging market shorts
  

• Disclosed Trades:  Added to my (IWM)/(QQQ) hedges
  

• Market Exposure: Moved to Market Neutral