Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 25.4 -1.9%
- DJIA Intraday % Swing 1.43%
- Bloomberg Global Risk On/Risk Off Index 48.5 +3.8%
- Euro/Yen Carry Return Index 149.15 -.43%
- Emerging Markets Currency Volatility(VXY) 12.4 +.3%
- CBOE S&P 500 Implied Correlation Index 51.5 -1.0%
- ISE Sentiment Index 92.0 -3.0 points
- Total Put/Call 1.0 -14.2%
- NYSE Arms .62 -75.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 93.07 +2.34%
- US Energy High-Yield OAS 362.67 +3.8%
- Bloomberg TRACE # Distressed Bonds Traded 482.0 +6.0
- European Financial Sector CDS Index 123.87 +2.2%
- Credit Suisse Subordinated 5Y Credit Default Swap 362.83 +5.8%
- Italian/German 10Y Yld Spread 217.0 basis points +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 221.72 +1.74%
- Emerging Market CDS Index 297.58 -.07%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.98 +.71%
- 2-Year Swap Spread 38.25 basis points -1.75 basis points
- TED Spread 34.5 basis points +1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -56.0 basis points -2.25 basis points
- MBS 5/10 Treasury Spread 172.0 +7.0 basis points
- Bloomberg US Agg CMBS Avg OAS 132.0 +1.0 basis point
- Avg. Auto ABS OAS 1.14 +3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 46.32 -.35%
- 3-Month T-Bill Yield 4.11% +1.0 basis point
- Yield Curve -57.75 basis points (2s/10s) -11.5 basis points
- China Iron Ore Spot 82.3 USD/Metric Tonne +1.7%
- Dutch TTF Nat Gas(European benchmark) 125.10 euros/megawatt-hour -.6%
- Citi US Economic Surprise Index 14.1 +.6 point
- Citi Eurozone Economic Surprise Index 8.2 -.7 point
- Citi Emerging Markets Economic Surprise Index 3.8 -.6 point
- S&P
500 Blended Forward 12 Months Mean EPS Estimate 231.94 -.10: Growth
Rate +12.3% +.2 percentage point, P/E 16.1 -.6 point
- Bloomberg US Financial Conditions Index 1.02 +1.0 basis point
- US Atlanta Fed GDPNow Forecast +3.60% +100.0 basis points
- Cleveland Fed Inflation Nowcast Core PCE YoY +5.16% unch.: CPI YoY +8.09% unch.
- 10-Year TIPS Spread 2.41 -13.0 basis points
- Highest target rate probability for March 22nd FOMC meeting: 46.6%(+5.5 percentage points) chance of 5.0%-5.25%. Highest target rate probability for May 3rd meeting: 38.7%(unch.) chance of 5.0%-5.25%.
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 -84.8%(-.4
percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
- Nikkei 225 Futures: Indicating -313 open in Japan
- China A50 Futures: Indicating +30 open in China
- DAX Futures: Indicating +23 open in Germany
Portfolio:
- Higher: On gains in my industrial/commodity/ sector longs and index hedges
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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