Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 24.5 -.5%
- DJIA Intraday % Swing 1.2%
- Bloomberg Global Risk On/Risk Off Index 51.9 +3.0%
- Euro/Yen Carry Return Index 151.7 +.7%
- Emerging Markets Currency Volatility(VXY) 12.3 +.2%
- CBOE S&P 500 Implied Correlation Index 48.5 -3.4%
- ISE Sentiment Index 127.0 +42.0 points
- Total Put/Call .88 -12.9%
- NYSE Arms 1.30 +62.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 88.7 -2.2%
- US Energy High-Yield OAS 356.50 -.8%
- Bloomberg TRACE # Distressed Bonds Traded 498.0 -2.0
- European Financial Sector CDS Index 115.88 -2.8%
- Credit Suisse Subordinated 5Y Credit Default Swap 358.14 -.07%
- Italian/German 10Y Yld Spread 215.0 basis points -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 194.33 -9.5%
- Emerging Market CDS Index 271.05 -4.4%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.90 -.61%
- 2-Year Swap Spread 35.0 basis points -1.5 basis points
- TED Spread 45.0 basis points +4.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -53.25 basis points +.5 basis point
- MBS 5/10 Treasury Spread 167.0 -4.0 basis points
- Bloomberg US Agg CMBS Avg OAS 130.0 -1.0 basis point
- Avg. Auto ABS OAS 1.15 +2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 46.89 +.42%
- 3-Month T-Bill Yield 4.08% -3.0 basis points
- Yield Curve -51.75 basis points (2s/10s) -1.5 basis points
- China Iron Ore Spot 86.8 USD/Metric Tonne +.2%
- Dutch TTF Nat Gas(European benchmark) 113.4 euros/megawatt-hour -1.2%
- Citi US Economic Surprise Index 21.5 +2.6 points
- Citi Eurozone Economic Surprise Index 10.9 +1.7 points
- Citi Emerging Markets Economic Surprise Index 1.2 -.5 point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 231.22 -.44: Growth Rate +11.7% -.4 percentage point, P/E 16.5 +.4
- Bloomberg US Financial Conditions Index 1.01 -4.0 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 2.53 +7.0 basis points
- Highest target rate probability for Feb. 1st FOMC meeting: 50.6%(-1.5 percentage points) chance of 4.75%-5.0%. Highest target rate probability for March 22nd meeting: 46.8%(+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 -85.6%(-.8
percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
- Nikkei 225 Futures: Indicating +168 open in Japan
- China A50 Futures: Indicating -10 open in China
- DAX Futures: Indicating +49 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/tech/commodity/medical sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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