Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 25.8 +8.8%
- DJIA Intraday % Swing 1.99%
- Bloomberg Global Risk On/Risk Off Index 48.3 -1.9%
- Euro/Yen Carry Return Index 148.3 -.63%
- Emerging Markets Currency Volatility(VXY) 12.2 -.8%
- CBOE S&P 500 Implied Correlation Index 46.9 +3.9%
- ISE Sentiment Index 98.0 +5.0 points
- Total Put/Call .79 -9.2%
- NYSE Arms .99 -13.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 82.9 -.6%
- US Energy High-Yield OAS 361.55 -.41%
- Bloomberg TRACE # Distressed Bonds Traded 406.0 -71
- European Financial Sector CDS Index 102.60 -2.7%
- Credit Suisse Subordinated 5Y Credit Default Swap 328.8 -1.6%
- Italian/German 10Y Yld Spread 195.0 basis points -8.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 141.64 -1.4%
- Emerging Market CDS Index 240.66 -1.0%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.7 +.8%
- 2-Year Swap Spread 33.25 basis points -2.25 basis points
- TED Spread 42.75 basis points -2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -52.25 basis points -1.25 basis points
- MBS 5/10 Treasury Spread 146.0 unch.
- Bloomberg US Agg CMBS Avg OAS 132.0 unch.
- Avg. Auto ABS OAS 1.22 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 47.55 -.01%
- 3-Month T-Bill Yield 4.15% -2.0 basis points
- Yield Curve -57.5 basis points (2s/10s) -3.5 basis points
- China Iron Ore Spot 96.1 USD/Metric Tonne +1.1%
- Dutch TTF Nat Gas(European benchmark) 121.5 euros/megawatt-hour +6.9%
- Citi US Economic Surprise Index 10.8 +2.4 points
- Citi Eurozone Economic Surprise Index 17.6 +5.1 points
- Citi Emerging Markets Economic Surprise Index -.4 -3.7 points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 230.71 -.16: Growth Rate +11.4% -.2 percentage point, P/E 17.3 unch.
- Bloomberg US Financial Conditions Index -.87 -10.0 basis points
- US Atlanta Fed GDPNow Forecast +4.0% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +5.02% unch.: CPI YoY +7.60% -2.0 basis points
- 10-Year TIPS Spread 2.37 -2.0 basis points
- Highest target rate probability for Feb. 1st FOMC meeting: 50.7%(+3.2 percentage points) chance of 4.5%-4.75%. Highest target rate probability for March 22nd meeting: 47.7%(+1.2 percentage points) chance of 4.75%-5.0%.
US Covid-19:
- 84
new infections/100K people(last 7 days total). 4.8%(+.0 percentage
point) of 1/14/22 peak(1,740) +0/100K people from prior report.
- New
Covid-19 patient hospital admissions per 100K population -84.4%(+.6
percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
- Nikkei 225 Futures: Indicating +45 open in Japan
- China A50 Futures: Indicating +57 open in China
- DAX Futures: Indicating -94 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/commodity/industrial/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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