Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Most Sectors Rising
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.0 -.2%
- DJIA Intraday % Swing .52% +76.2%
- Bloomberg Global Risk On/Risk Off Index 62.3 +1.8%
- Euro/Yen Carry Return Index 172.8 -.05%
- Emerging Markets Currency Volatility(VXY) 7.8 +1.2%
- CBOE S&P 500 Implied Correlation Index 20.7 +1.5%
- ISE Sentiment Index 116.0 -38.0
- Total Put/Call .87 +10.1%
- NYSE Arms .80 -27.9%
- NYSE Non-Block Money Flow +$153.9M
Credit Investor Angst:
- North American Investment Grade CDS Index 62.88 -.25%
- US Energy High-Yield OAS 335.04 -.81%
- Bloomberg TRACE # Distressed Bonds Traded 330 +3.0
- European Financial Sector CDS Index 78.18 +1.1%
- Deutsche Bank Subordinated 5Y Credit Default Swap 238.21 -1.7%
- Italian/German 10Y Yld Spread 178.0 basis points +4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 98.79 +.2%
- Emerging Market CDS Index 188.19 +.94%
- Israel Sovereign CDS 115.11 +.38%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.4 unch.
- 2-Year SOFR Swap Spread -18.0 basis points -2.0 basis points
- TED Spread 24.0 basis points -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -12.25 +1.75 basis points
- MBS 5/10 Treasury Spread 153.0 -1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 946.0 unch.
- Avg. Auto ABS OAS 91.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 41.7 -.33%
- 3-Month T-Bill Yield 5.40% -1.0 basis point
- China Iron Ore Spot 129.2 USD/Metric Tonne -.29%
- Dutch TTF Nat Gas(European benchmark) 42.1 euros/megawatt-hour +1.9%
- Citi US Economic Surprise Index 29.8 +1.8 points
- Citi Eurozone Economic Surprise Index -30.6 -16.9 points
- Citi Emerging Markets Economic Surprise Index 22.0 +1.5 points
- S&P 500 Current Quarter EPS Growth Rate YoY(490 of 500 reporting) +4.5% +.2 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 242.01 +.08: Growth Rate +9.3% unch., P/E 18.8 -.1
- S&P 500 Current Year Estimated Profit Margin 12.13% -1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +50.6% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 284.0 +.14: Growth Rate +33.2% -.2 percentage point, P/E 28.9 -.3
- Bloomberg US Financial Conditions Index .52 +6.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .18 -6.0 basis points
- US Yield Curve -36.5 basis points (2s/10s) +2.0 basis points
- US Atlanta Fed 4Q GDPNow Forecast +1.77% -33.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 57.2% -.8 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +3.46% -9.0 basis points: CPI YoY +3.04% unch.
- 10-Year TIPS Spread 2.25 +3.0 basis points
- Highest target rate probability for Jan. 31st FOMC meeting: 87.9%(-5.3 percentage points) chance of 5.25%-5.5%. Highest target rate probability for March 20th meeting: 51.1%(+3.1 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +38 open in Japan
- China A50 Futures: Indicating -2 open in China
- DAX Futures: Indicating +67 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/utility/transport sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
No comments:
Post a Comment