Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 23.5 -1.9%
- DJIA Intraday % Swing .85%
- Bloomberg Global Risk On/Risk Off Index 47.8 +1.0%
- Euro/Yen Carry Return Index 149.9 -.25%
- Emerging Markets Currency Volatility(VXY) 12.1 -.66%
- CBOE S&P 500 Implied Correlation Index 46.9 +.8%
- ISE Sentiment Index 124.0 +12.0 points
- Total Put/Call .84 -12.5%
- NYSE Arms 1.40 +79.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 82.18 -1.2%
- US Energy High-Yield OAS 366.70 -.98%
- Bloomberg TRACE # Distressed Bonds Traded 421.0 +7.0
- European Financial Sector CDS Index 103.65 -4.5%
- Credit Suisse Subordinated 5Y Credit Default Swap 362.84 -1.69%
- Italian/German 10Y Yld Spread 188.0 basis points -4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 151.31 +.39%
- Emerging Market CDS Index 255.19 +.48%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.73 +.14%
- 2-Year Swap Spread 32.5 basis points +.5 basis point
- TED Spread 44.25 basis points unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -52.0 basis points -.25 basis point
- MBS 5/10 Treasury Spread 140.0 -2.0 basis points
- Bloomberg US Agg CMBS Avg OAS 130.0 -1.0 basis point
- Avg. Auto ABS OAS 1.19 -4.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 47.27 -.07%
- 3-Month T-Bill Yield 4.23% +2.0 basis points
- Yield Curve -68.75 basis points (2s/10s) -.5 basis point
- China Iron Ore Spot 97.4 USD/Metric Tonne -.3%
- Dutch TTF Nat Gas(European benchmark) 109.0 euros/megawatt-hour -3.2%
- Citi US Economic Surprise Index 11.3 -.9 point
- Citi Eurozone Economic Surprise Index 15.5 -.8 point
- Citi Emerging Markets Economic Surprise Index .7 +1.0 point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 229.97 -.19: Growth Rate +11.3% unch., P/E 17.2 +.1
- Bloomberg US Financial Conditions Index -.73 +8.0 basis points
- US Atlanta Fed GDPNow Forecast +4.18% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +5.02% unch.: CPI YoY +7.60% unch.
- 10-Year TIPS Spread 2.26 -3.0 basis points
- Highest target rate probability for Feb. 1st FOMC meeting: 48.1%(+5.2 percentage points) chance of 4.75%-5.0%. Highest target rate probability for March 22nd meeting: 42.2%(-5.9 percentage points) chance of 4.75%-5.0%.
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 -84.6%(-.4
percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
- Nikkei 225 Futures: Indicating +1 open in Japan
- China A50 Futures: Indicating +12 open in China
- DAX Futures: Indicating -21 open in Germany
Portfolio:
- Higher: On gains in my medical/industrial sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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