Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 25.0 -1.1%
- DJIA Intraday % Swing 2.1%
- Bloomberg Global Risk On/Risk Off Index 50.3 +2.4%
- Euro/Yen Carry Return Index 150.5 +.9%
- Emerging Markets Currency Volatility(VXY) 12.2 -.4%
- CBOE S&P 500 Implied Correlation Index 50.2 -2.3%
- ISE Sentiment Index 89.0 -5.0 points
- Total Put/Call .99 -5.7%
- NYSE Arms .80 +15.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 92.53 -1.2%
- US Energy High-Yield OAS 360.18 -1.4%
- Bloomberg TRACE # Distressed Bonds Traded 500.0 +18.0
- European Financial Sector CDS Index 119.17 -3.8%
- Credit Suisse Subordinated 5Y Credit Default Swap 365.61 -1.6%
- Italian/German 10Y Yld Spread 217.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 214.20 -3.2%
- Emerging Market CDS Index 283.44 -4.6%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.91 -.13%
- 2-Year Swap Spread 36.5 basis points -1.75 basis points
- TED Spread 41.0 basis points +5.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -53.75 basis points +2.25 basis points
- MBS 5/10 Treasury Spread 171.0 -1.0 basis point
- Bloomberg US Agg CMBS Avg OAS 131.0 -1.0 basis point
- Avg. Auto ABS OAS 1.13 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 46.71 +.82%
- 3-Month T-Bill Yield 4.11% unch.
- Yield Curve -50.25 basis points (2s/10s) +7.5 basis points
- China Iron Ore Spot 86.7 USD/Metric Tonne +4.9%
- Dutch TTF Nat Gas(European benchmark) 115.0 euros/megawatt-hour -8.3%
- Citi US Economic Surprise Index 18.9 +4.8 points
- Citi Eurozone Economic Surprise Index 9.2 +1.0 point
- Citi Emerging Markets Economic Surprise Index 1.7 -2.1 points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 231.66 -.28: Growth Rate +12.1% -.2 percentage point, P/E 16.1 unch.
- Bloomberg US Financial Conditions Index .97 +7.0 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 2.46 +5.0 basis points
- Highest target rate probability for Feb. 1st FOMC meeting: 51.1%(+4.1 percentage points) chance of 4.75%-5.0%. Highest target rate probability for March 22nd meeting: 45.9%(+4.8 percentage points) chance of 5.0%-5.25%.
US Covid-19:
- 84
new infections/100K people(last 7 days total). 4.8%(+.4 percentage
point) of 1/14/22 peak(1,740) +7/100K people from prior report.
- New
Covid-19 patient hospital admissions per 100K population -84.8%(-.0
percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
- Nikkei 225 Futures: Indicating +119 open in Japan
- China A50 Futures: Indicating +101 open in China
- DAX Futures: Indicating -53 open in Germany
Portfolio:
- Slightly Lower: On losses in my emerging market shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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