Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 21.9 +5.5%
- DJIA Intraday % Swing 1.54%
- Bloomberg Global Risk On/Risk Off Index 47.6 -4.4%
- Euro/Yen Carry Return Index 148.25 -.08%
- Emerging Markets Currency Volatility(VXY) 11.7 +1.0%
- CBOE S&P 500 Implied Correlation Index 42.8 +3.9%
- ISE Sentiment Index 99.0 -6.0 points
- Total Put/Call 1.02 +9.7%
- NYSE Arms .94 -61.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 83.0 +4.0%
- US Energy High-Yield OAS 381.7 +3.1%
- Bloomberg TRACE # Distressed Bonds Traded 428.0 +19.0
- European Financial Sector CDS Index 101.1 +1.7%
- Credit Suisse Subordinated 5Y Credit Default Swap 431.5 -1.7%
- Italian/German 10Y Yld Spread 185.0 basis points -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 128.0 +1.0%
- Emerging Market CDS Index 244.1 +1.4%
- China Corp. High-Yield Bond USD ETF(KHYB) 27.3 +.42%
- 2-Year Swap Spread 31.5 basis points +.25 basis point
- TED Spread 45.0 basis points -3.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -32.25 basis points +1.0 basis point
- MBS 5/10 Treasury Spread 150.0 +8.0 basis points
- Bloomberg US Agg CMBS Avg OAS 124.0 unch.
- Avg. Auto ABS OAS 1.19 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 47.7 -.06%
- 3-Month T-Bill Yield 4.26% -2.0 basis points
- Yield Curve -83.0 basis points (2s/10s) -4.0 basis points
- China Iron Ore Spot 108.60 USD/Metric Tonne +.4%
- Dutch TTF Nat Gas(European benchmark) 141.3 euros/megawatt-hour +4.9%
- Citi US Economic Surprise Index 18.8 -.9 point
- Citi Eurozone Economic Surprise Index 33.1 +1.6 points
- Citi Emerging Markets Economic Surprise Index .3 -.3 point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 230.25 +.11: Growth Rate +11.3% unch, P/E 17.1 -.2
- Bloomberg US Financial Conditions Index -.52 -3.0 basis points
- US Atlanta Fed GDPNow Forecast +3.37% +53.0 bps
- Cleveland Fed Inflation Nowcast Core PCE YoY +4.87% unch.: CPI YoY +7.49% unch.
- 10-Year TIPS Spread 2.34 -5.0 basis points
- Highest target rate probability for Feb. 1st FOMC meeting: 50.6%(-.5 percentage point) chance of 4.75%-5.0%. Highest target rate probability for March 22nd meeting: 41.4%(+1.2 percentage points) chance of 4.75%-5.0%.
US Covid-19:
- 91
new infections/100K people(last 7 days total). 5.2%(+.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 -79.4%(+1.1
percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
- Nikkei 225 Futures: Indicating -340 open in Japan
- China A50 Futures: Indicating -24 open in China
- DAX Futures: Indicating -77 open in Germany
Portfolio:
- Slightly Higher: On gains in my utility longs, index hedges and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges, then covered some of them
- Market Exposure: 25% Net Long
No comments:
Post a Comment