Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 22.8 +2.6%
- DJIA Intraday % Swing .81%
- Bloomberg Global Risk On/Risk Off Index 45.6 -3.4%
- Euro/Yen Carry Return Index 148.22 -.07%
- Emerging Markets Currency Volatility(VXY) 11.6 -.1%
- CBOE S&P 500 Implied Correlation Index 44.5 +3.7%
- ISE Sentiment Index 107.0 +10.0 points
- Total Put/Call 1.27 +22.1%
- NYSE Arms 1.95 +111.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 82.7 +.4%
- US Energy High-Yield OAS 395.60 +3.0%
- Bloomberg TRACE # Distressed Bonds Traded 438.0 +10.0
- European Financial Sector CDS Index 101.22 +.09%
- Credit Suisse Subordinated 5Y Credit Default Swap 431.5 unch.
- Italian/German 10Y Yld Spread 182.0 basis points -3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 133.4 +4.2%
- Emerging Market CDS Index 240.0 -1.4%
- China Corp. High-Yield Bond USD ETF(KHYB) 27.3 -.03%
- 2-Year Swap Spread 32.25 basis points +.75 basis point
- TED Spread 43.0 basis points -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -33.5 basis points -.75 basis point
- MBS 5/10 Treasury Spread 144.0 -6.0 basis points
- Bloomberg US Agg CMBS Avg OAS 124.0 unch.
- Avg. Auto ABS OAS 1.19 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 47.78 +.29%
- 3-Month T-Bill Yield 4.27% +1.0 basis point
- China Iron Ore Spot 106.50 USD/Metric Tonne -2.1%
- Dutch TTF Nat Gas(European benchmark) 149.6 euros/megawatt-hour +8.0%
- Citi US Economic Surprise Index 18.2 -.6 point
- Citi Eurozone Economic Surprise Index 37.7 +4.6 points
- Citi Emerging Markets Economic Surprise Index -3.5 -3.8 points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 230.24 -.01: Growth Rate +11.3% unch, P/E 17.1 unch.
- Bloomberg US Financial Conditions Index -.67 -8.0 basis points
- Yield Curve -84.25 basis points (2s/10s) -1.25 basis points
- US Atlanta Fed GDPNow Forecast +3.37% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +4.87% unch.: CPI YoY +7.49% unch.
- 10-Year TIPS Spread 2.26 -8.0 basis points
- Highest target rate probability for Feb. 1st FOMC meeting: 46.1%(-5.1 percentage points) chance of 4.75%-5.0%. Highest target rate probability for March 22nd meeting: 44.3%(+2.4 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 -77.2%(+2.2
percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
- Nikkei 225 Futures: Indicating -116 open in Japan
- China A50 Futures: Indicating -18 open in China
- DAX Futures: Indicating +28 open in Germany
Portfolio:
- Higher: On gains in my medical/industrial sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
No comments:
Post a Comment