Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 26.4 +2.4%
- DJIA Intraday % Swing 1.59%
- Bloomberg Global Risk On/Risk Off Index 46.0 -2.1%
- Euro/Yen Carry Return Index 150.20 -.59%
- Emerging Markets Currency Volatility(VXY) 12.5 -.32%
- CBOE S&P 500 Implied Correlation Index 52.1 +.2%
- ISE Sentiment Index 99.0 +19.0 points
- Total Put/Call .95 +1.1%
- NYSE Arms .85 +4.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 87.3 -1.8%
- US Energy High-Yield OAS 353.92 +.97%
- Bloomberg TRACE # Distressed Bonds Traded 476.0 +5.0
- European Financial Sector CDS Index 122.5 +1.9%
- Credit Suisse Subordinated 5Y Credit Default Swap 339.55 +2.5%
- Italian/German 10Y Yld Spread 216.0 basis points +3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 218.1 -5.0%
- Emerging Market CDS Index 280.19 -1.7%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.87 +.11%
- 2-Year Swap Spread 40.0 basis points +2.5 basis points
- TED Spread 32.75 basis points -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -53.75 basis points +1.0 basis point
- MBS 5/10 Treasury Spread 165.0 -4.0 basis points
- Bloomberg US Agg CMBS Avg OAS 131.0 -2.0 basis points
- Avg. Auto ABS OAS 1.11 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 46.63 +.2%
- 3-Month T-Bill Yield 4.10% +3.0 basis points
- Yield Curve -46.25 basis points (2s/10s) +2.75 basis points
- China Iron Ore Spot 80.9 USD/Metric Tonne +1.4%
- Dutch TTF Nat Gas(European benchmark) 135.90 euros/megawatt-hour +17.0%
- Citi US Economic Surprise Index 13.5 +1.1 points
- Citi Eurozone Economic Surprise Index 8.9 -9.3 points
- Citi Emerging Markets Economic Surprise Index 3.8 -.6 point
- S&P
500 Blended Forward 12 Months Mean EPS Estimate 232.04 +.05: Growth
Rate +12.1% -.8 percentage point, P/E 16.7 +.1 point
- Bloomberg US Financial Conditions Index -.99 +3.0 basis points
- US Atlanta Fed GDPNow Forecast +2.60% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +5.16% unch.: CPI YoY +8.09% unch.
- 10-Year TIPS Spread 2.54 +3.0 basis points
- Highest target rate probability for February 1st FOMC meeting: 44.0%(-3.0 percentage points) chance of 4.75%-5.0%. Highest target rate probability for March 22nd meeting: 41.0%(+9.4 percentage points) 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 -84.4%(+.3
percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
- Nikkei 225 Futures: Indicating +12 open in Japan
- China A50 Futures: Indicating -63 open in China
- DAX Futures: Indicating +83 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 25% Net Long
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