Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 25.7 -.7%
- DJIA Intraday % Swing 1.50%
- Bloomberg Global Risk On/Risk Off Index 46.5 +2.7%
- Euro/Yen Carry Return Index 151.21 -.3%
- Emerging Markets Currency Volatility(VXY) 12.5 -.9%
- CBOE S&P 500 Implied Correlation Index 51.6 -.8%
- ISE Sentiment Index 70.0 -25.0 points
- Total Put/Call .92 +1.1%
- NYSE Arms .72 -35.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 88.51 -1.6%
- US Energy High-Yield OAS 351.28 -1.64%
- Bloomberg TRACE # Distressed Bonds Traded 471.0 +14.0
- European Financial Sector CDS Index 120.26 -2.5%
- Credit Suisse Subordinated 5Y Credit Default Swap 330.4 -.27%
- Italian/German 10Y Yld Spread 213.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 229.7 -.7%
- Emerging Market CDS Index 285.17 -3.75%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.80 -1.08%
- 2-Year Swap Spread 37.5 basis points +.25 basis point
- TED Spread 34.75 basis points -4.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -54.75 basis points +.25 basis point
- MBS 5/10 Treasury Spread 169.0 +1.0 basis point
- Bloomberg US Agg CMBS Avg OAS 133.0 +3.0 basis points
- Avg. Auto ABS OAS 1.10 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 46.60 +.20%
- 3-Month T-Bill Yield 4.07% +1.0 basis point
- Yield Curve -49.0 basis points (2s/10s) -5.75 basis points
- China Iron Ore Spot 78.4 USD/Metric Tonne +1.9%
- Dutch TTF Nat Gas(European benchmark) 116.6 euros/megawatt-hour -5.5%
- Citi US Economic Surprise Index 12.4 +4.3 points
- Citi Eurozone Economic Surprise Index 18.2 +9.2 points
- Citi Emerging Markets Economic Surprise Index 4.4 -2.8 points
- S&P
500 Blended Forward 12 Months Mean EPS Estimate 231.99 -.31: Growth
Rate +12.9% -.2 percentage point, P/E 16.6 -.1 point
- Bloomberg US Financial Conditions Index -1.06 -2.0 basis points
- US Atlanta Fed GDPNow Forecast +2.60% -47.0 basis points
- Cleveland Fed Inflation Nowcast Core PCE YoY +5.16% unch.: CPI YoY +8.09% -2.0 basis points
- 10-Year TIPS Spread 2.51 unch.
- Highest target rate probability for December 14th FOMC meeting: 50.3%(+.6 percentage point) chance of 4.5%-4.75%. Highest target rate probability for February 1st meeting: 47.3%(+.1 percentage point) chance of 4.75%-5.0%.
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 -84.7%(+1.3
percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
- Nikkei 225 Futures: Indicating -96 open in Japan
- China A50 Futures: Indicating -101 open in China
- DAX Futures: Indicating +33 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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