Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 24.9 +2.1%
- DJIA Intraday % Swing 1.5%
- Bloomberg Global Risk On/Risk Off Index 49.8 -4.0%
- Euro/Yen Carry Return Index 151.3 -.23%
- Emerging Markets Currency Volatility(VXY) 12.2 -.33%
- CBOE S&P 500 Implied Correlation Index 50.3 +2.6%
- ISE Sentiment Index 99.0 -16.0 points
- Total Put/Call 1.01 +14.8%
- NYSE Arms 1.20 +11.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 88.3 -.41%
- US Energy High-Yield OAS 360.91 +1.9%
- Bloomberg TRACE # Distressed Bonds Traded 478.0 -20.0
- European Financial Sector CDS Index 114.20 -1.5%
- Credit Suisse Subordinated 5Y Credit Default Swap 355.0 -.2%
- Italian/German 10Y Yld Spread 211.0 basis points -4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 194.33 -1.9%
- Emerging Market CDS Index 270.52 -.01%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.0 +.50%
- 2-Year Swap Spread 36.0 basis points +1.0 basis point
- TED Spread 40.75 basis points -4.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -55.75 basis points -2.5 basis points
- MBS 5/10 Treasury Spread 162.0 -5.0 basis points
- Bloomberg US Agg CMBS Avg OAS 129.0 -1.0 basis point
- Avg. Auto ABS OAS 1.17 +2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 47.01 +.18%
- 3-Month T-Bill Yield 4.14% +6.0 basis points
- Yield Curve -54.25 basis points (2s/10s) -3.5 basis points
- China Iron Ore Spot 88.5 USD/Metric Tonne +1.7%
- Dutch TTF Nat Gas(European benchmark) 118.2 euros/megawatt-hour +7.8%
- Citi US Economic Surprise Index 21.6 +.1 point
- Citi Eurozone Economic Surprise Index 10.5 -.4 point
- Citi Emerging Markets Economic Surprise Index 2.8 +1.6 points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 231.22 -.0: Growth Rate +12.0% +.3 percentage point, P/E 16.5 +.0
- Bloomberg US Financial Conditions Index .95 +2.0 basis points
- US Atlanta Fed GDPNow Forecast +3.60% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +5.16% unch.: CPI YoY +8.09% unch.
- 10-Year TIPS Spread 2.49 -4.0 basis points
- Highest target rate probability for Feb. 1st FOMC meeting: 50.3%(-.2 percentage point) chance of 4.75%-5.0%. Highest target rate probability for March 22nd meeting: 45.5%(-1.5 percentage points) chance of 5.0%-5.25%.
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 -83.7%(+1.9
percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
- Nikkei 225 Futures: Indicating -87 open in Japan
- China A50 Futures: Indicating -13 open in China
- DAX Futures: Indicating -70 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial sector longs and index hedges
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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