Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 21.1 -4.0%
- DJIA Intraday % Swing 1.23%
- Bloomberg Global Risk On/Risk Off Index 54.5 +2.6%
- Euro/Yen Carry Return Index 146.0 +.6%
- Emerging Markets Currency Volatility(VXY) 10.8 +.7%
- CBOE S&P 500 Implied Correlation Index 44.3 -2.2%
- ISE Sentiment Index 98.0 +23.0 points
- Total Put/Call .97 -22.4%
- NYSE Arms .95 +20.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 81.1 -1.6%
- US Energy High-Yield OAS 382.6 -1.5%
- Bloomberg TRACE # Distressed Bonds Traded 362.0 -22.0
- European Financial Sector CDS Index 103.3 -1.3%
- Credit Suisse Subordinated 5Y Credit Default Swap 449.09 unch.
- Italian/German 10Y Yld Spread 210.0 basis points -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 133.4 +.09%
- Emerging Market CDS Index 240.26 unch.
- China Corp. High-Yield Bond USD ETF(KHYB) 27.33 unch.
- 2-Year Swap Spread 28.5 basis points -.75 basis points
- TED Spread 45.0 basis points -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -30.5 basis points -.25 basis point
- MBS 5/10 Treasury Spread 139.0 -1.0 basis point
- Bloomberg US Agg CMBS Avg OAS 119.0 -1.0 basis point
- Avg. Auto ABS OAS .91 -5.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 47.8 +.01%
- 3-Month T-Bill Yield 4.28% -2.0 basis points
- China Iron Ore Spot 110.4 USD/Metric Tonne -.1%
- Dutch TTF Nat Gas(European benchmark) 84.97 euros/megawatt-hour -7.6%
- Citi US Economic Surprise Index -5.80 +.6 point
- Citi Eurozone Economic Surprise Index 69.0 +.5 point
- Citi Emerging Markets Economic Surprise Index -19.8 -.5 point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 229.73 +.00: Growth Rate +11.3% -.0 percentage point, P/E 16.7 +.1
- Bloomberg US Financial Conditions Index -.42 +7.0 basis points
- Yield Curve -57.75 basis points (2s/10s) +1.5 basis points
- US Atlanta Fed GDPNow Forecast +3.66% +93.0 basis points
- Cleveland Fed Inflation Nowcast Core PCE YoY +4.52% -20.0 basis points: CPI YoY +6.69% unch.
- 10-Year TIPS Spread 2.23 +3.0 basis points
- Highest target rate probability for March 22nd FOMC meeting: 55.7%(+0.0 percentage points) chance of 4.75%-5.0%. Highest target rate probability for May 3rd meeting: 47.7%(-.1 percentage point) chance of 4.75%-5.0%.
US Covid-19:
- 154
new infections/100K people(last 7 days total). 8.9%(+.9 percentage
point) of 1/14/22 peak(1,740) +14/100K people from prior report.
- New
Covid-19 patient hospital admissions per 100K population -75.0%(+.4
percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
- Nikkei 225 Futures: Indicating -20 open in Japan
- China A50 Futures: Indicating -4 open in China
- DAX Futures: Indicating +59 open in Germany
Portfolio:
- Higher: On gains in my commodity/industrial/utility sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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