Stocks Rising into Afternoon on Less European/Emerging Markets/US High-Yield Debt Angst, Dollar Weakness, Seasonality, Commodity/Consumer Discretionary Sector Strength

Broad Equity Market Tone:

• Advance/Decline Line: Modestly Higher
  

• Sector Performance: Most Sectors Rising
  

• Volume:  Below Average

• Market Leading Stocks: Underperforming
  

Equity Investor Angst:

• Volatility(VIX) 21.5 -3.8%
• DJIA Intraday % Swing .67%
  
• Bloomberg Global Risk On/Risk Off Index 48.2 +.87%

• Euro/Yen Carry Return Index 150.2 -.08%

• Emerging Markets Currency Volatility(VXY) 12.1 -.5%

• CBOE S&P 500 Implied Correlation Index 44.3 +.09% 

• ISE Sentiment Index 113.0 +11.0 points
  

• Total Put/Call 1.18 +37.2%

• NYSE Arms 1.29 +11.2%

Credit Investor Angst:

• North American Investment Grade CDS Index 80.9 -.77%
  

• US Energy High-Yield OAS 370.02 +.33%
• Bloomberg TRACE # Distressed Bonds Traded 422.0 +19.0
  

• European Financial Sector CDS Index 101.93 -1.99% 
• Credit Suisse Subordinated 5Y Credit Default Swap 357.25 +.5%
  

• Italian/German 10Y Yld Spread 194.0 basis points -1.0 basis point
  

• Asia Ex-Japan Investment Grade CDS Index 155.9 +1.0%
  

• Emerging Market CDS Index 243.63 -3.9%
  

• China Corp. High-Yield Bond USD ETF(KHYB) 25.57 -.14%

• 2-Year Swap Spread 30.0 basis points -1.25 basis points
  

• TED Spread 40.0 basis points -3.25 basis points
  

• 3-Month EUR/USD Cross-Currency Basis Swap -47.0 basis points +4.75 basis points
  
• MBS  5/10 Treasury Spread  144.0 +2.0 basis points
  
• Bloomberg US Agg CMBS Avg OAS 130.0 unch.
  
• Avg. Auto ABS OAS 1.22 +3.0 basis points
  

Economic Gauges:

• Bloomberg Emerging Markets Currency Index 47.26 +.22%
• 3-Month T-Bill Yield 4.21% +6.0 basis points
  

• Yield Curve -76.0 basis points (2s/10s) -4.0 basis points
  

• China Iron Ore Spot 93.5 USD/Metric Tonne -1.2%
• Dutch TTF Nat Gas(European benchmark) 124.5 euros/megawatt-hour +7.2%

• Citi US Economic Surprise Index 13.6 -.2 point

• Citi Eurozone Economic Surprise Index 11.4 -.3 point
  

• Citi Emerging Markets Economic Surprise Index 0.0 unch.
  
• S&P 500 Blended Forward 12 Months Mean EPS Estimate 230.11 +.21:  Growth Rate +11.4% +.1 percentage point, P/E 17.3 +.1
  
• Bloomberg US Financial Conditions Index -.59 +10.0 basis points
  
• US Atlanta Fed GDPNow Forecast +4.18% unch.
  

• Cleveland Fed Inflation Nowcast Core PCE YoY +5.02% unch.: CPI YoY +7.55% -5.0 basis points
  
• 10-Year TIPS Spread 2.33 unch.
  
• Highest target rate probability for Feb. 1st FOMC meeting: 53.2%(+2.4 percentage points) chance of 4.75%-5.0%. Highest target rate probability for March 22nd meeting: 45.2%(+2.5 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 -84.1%(+1.6 percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
  

Overseas Futures:

• Nikkei 225 Futures: Indicating +145 open in Japan 
• China A50 Futures: Indicating +40 open in China

• DAX Futures: Indicating +45 open in Germany

Portfolio:

• Higher:  On gains in my industrial/commodity/tech sector longs and emerging market shorts
  

• Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges
  

• Market Exposure: Moved to 75% Net Long