Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Every Sector Rising
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 21.5 -3.1%
- DJIA Intraday % Swing .82%
- Bloomberg Global Risk On/Risk Off Index 56.4 +.9%
- Euro/Yen Carry Return Index 146.99 -.51%
- Emerging Markets Currency Volatility(VXY) 10.9 +.5%
- CBOE S&P 500 Implied Correlation Index 44.7 -.9%
- ISE Sentiment Index 95.0 +6.0 points
- Total Put/Call 1.32 -32.3%
- NYSE Arms .61 -57.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 81.8 -2.1%
- US Energy High-Yield OAS 395.8 +.61%
- Bloomberg TRACE # Distressed Bonds Traded 299.0 +1.0
- European Financial Sector CDS Index 100.73 -1.9%
- Credit Suisse Subordinated 5Y Credit Default Swap 449.09 n/a
- Italian/German 10Y Yld Spread 209.0 basis points -4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 132.56 +.55%
- Emerging Market CDS Index 237.88 -.87%
- China Corp. High-Yield Bond USD ETF(KHYB) 27.04 +.86%
- 2-Year Swap Spread 30.25 basis points -1.0 basis point
- TED Spread 28.5 basis points -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -19.5 basis points +6.75 basis points
- MBS 5/10 Treasury Spread 140.0 -4.0 basis points
- Bloomberg US Agg CMBS Avg OAS 118.0 unch.
- Avg. Auto ABS OAS .88 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 47.6 +.11%
- 3-Month T-Bill Yield 4.39% -6.0 basis points
- China Iron Ore Spot 114.9 USD/Metric Tonne -.17%
- Dutch TTF Nat Gas(European benchmark) 83.8 euros/megawatt-hour +3.1%
- Citi US Economic Surprise Index -4.20 +.2 point
- Citi Eurozone Economic Surprise Index 68.1 -.6 point
- Citi Emerging Markets Economic Surprise Index -20.2 -1.2 points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 229.73 -.14: Growth Rate +10.8% -.1 percentage point, P/E 16.8 +.3
- Bloomberg US Financial Conditions Index -.29 -3.0 basis points
- Yield Curve -54.0 basis points (2s/10s) -6.0 basis points
- US Atlanta Fed GDPNow Forecast +3.66% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +4.52% unch.: CPI YoY +6.64% unch.
- 10-Year TIPS Spread 2.29 +1.0 basis point
- Highest target rate probability for March 22nd FOMC meeting: 62.2%(+3.7 percentage points) chance of 4.75%-5.0%. Highest target rate probability for May 3rd meeting: 46.5%(+1.2 percentage points) chance of 4.75%-5.0%.
US Covid-19:
- 154
new infections/100K people(last 7 days total). 8.9%(+.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 -74.1%(+.0
percentage points) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
- Nikkei 225 Futures: Indicating +197 open in Japan
- China A50 Futures: Indicating +117 open in China
- DAX Futures: Indicating +50 open in Germany
Portfolio:
- Higher: On gains in my tech/utility/industrial/medical/commodity sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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