Stocks Reversing Slightly Lower into Afternoon on US Policy-Induced Stagflation Fears, Higher Long-Term Rates, Earnings Outlook Worries, Energy/Biotech Sector Weakness

Broad Equity Market Tone:

• Advance/Decline Line: Lower
  

• Sector Performance: Most Sectors Declining
  

• Volume:  Below Average

• Market Leading Stocks: Performing In Line
  

Equity Investor Angst:

• Volatility(VIX) 22.6 +1.2%
• DJIA Intraday % Swing .60%
  
• Bloomberg Global Risk On/Risk Off Index 48.3 +4.0%

• Euro/Yen Carry Return Index 148.84 -.24%

• Emerging Markets Currency Volatility(VXY) 11.2 -1.8%

• CBOE S&P 500 Implied Correlation Index 44.0 +1.3% 

• ISE Sentiment Index 100.0 -23.0 points
  

• Total Put/Call 1.13 +22.8%

• NYSE Arms .83 +2.5%

Credit Investor Angst:

• North American Investment Grade CDS Index 80.19 -1.9%
  

• US Energy High-Yield OAS 379.27 -1.3%
• Bloomberg TRACE # Distressed Bonds Traded 443.0 unch.
  

• European Financial Sector CDS Index 98.22 -3.2% 
• Credit Suisse Subordinated 5Y Credit Default Swap 461.18 +3.2%
  

• Italian/German 10Y Yld Spread 191.0 basis points +3.0 basis points
  

• Asia Ex-Japan Investment Grade CDS Index 132.51 -.59%
  

• Emerging Market CDS Index 236.66 +.45%
  

• China Corp. High-Yield Bond USD ETF(KHYB) 27.06 -.04%

• 2-Year Swap Spread 31.5 basis points unch.
  

• TED Spread 46.0 basis points -.5 basis point
  

• 3-Month EUR/USD Cross-Currency Basis Swap -29.75 basis points +2.5 basis points
  
• MBS  5/10 Treasury Spread  148.0 +2.0 basis points
  
• Bloomberg US Agg CMBS Avg OAS 125.0 -1.0 basis point
  
• Avg. Auto ABS OAS 1.16 -2.0 basis points
  

Economic Gauges:

• Bloomberg Emerging Markets Currency Index 47.83 -.02%
• 3-Month T-Bill Yield 4.26% +1.0 basis point
  

• China Iron Ore Spot 111.15 USD/Metric Tonne +1.2%
• Dutch TTF Nat Gas(European benchmark) 139.1 euros/megawatt-hour +.16%

• Citi US Economic Surprise Index 19.0 +1.5 points

• Citi Eurozone Economic Surprise Index 38.4 +.4 point
  

• Citi Emerging Markets Economic Surprise Index -3.3 +.2 point
  
• S&P 500 Blended Forward 12 Months Mean EPS Estimate 230.39 +.08:  Growth Rate +11.3% unch, P/E 17.2 unch.
  
• Bloomberg US Financial Conditions Index -.62 +7.0 basis points
  
• Yield Curve -74.75 basis points (2s/10s) +7.75 basis points
• US Atlanta Fed GDPNow Forecast +3.19% -18.0 basis points
  

• Cleveland Fed Inflation Nowcast Core PCE YoY +4.87% unch.: CPI YoY +7.49% unch.
  
• 10-Year TIPS Spread 2.28 -1.0 basis point
  
• Highest target rate probability for Feb. 1st FOMC meeting: 47.9%(+2.0 percentage points) chance of 4.75%-5.0%. Highest target rate probability for March 22nd meeting: 43.6%(-1.0 percentage point) chance of 4.75%-5.0%.
  

US Covid-19:

• 140 new infections/100K people(last 7 days total). 8.0%(+2.8 percentage points) of 1/14/22 peak(1,740) +49/100K people from prior report.
  
• New Covid-19 patient hospital admissions per 100K population -77.5%(+.3 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
  

Overseas Futures:

• Nikkei 225 Futures: Indicating -36 open in Japan 
• China A50 Futures: Indicating -38 open in China

• DAX Futures: Indicating -18 open in Germany

Portfolio:

• Higher:  On gains in my tech sector longs, index hedges and emerging market shorts
  

• Disclosed Trades:  Added to my (IWM)/(QQQ) hedges
  

• Market Exposure: Moved to 25% Net Long