Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 12.7 -.3%
- DJIA Intraday % Swing .60% +62.8%
- Bloomberg Global Risk On/Risk Off Index 63.9 -1.5%
- Euro/Yen Carry Return Index 173.4 -.54%
- Emerging Markets Currency Volatility(VXY) 7.7 -.13%
- CBOE S&P 500 Implied Correlation Index 19.9 +.7%
- ISE Sentiment Index 137.0 +12.0
- Total Put/Call 1.0 -10.7%
- NYSE Arms .81 -44.1%
- NYSE Non-Block Money Flow -$107.2M
Credit Investor Angst:
- North American Investment Grade CDS Index 63.4 -.48%
- US Energy High-Yield OAS 343.3 +.79%
- Bloomberg TRACE # Distressed Bonds Traded 328 unch.
- European Financial Sector CDS Index 79.5 -1.2%
- Deutsche Bank Subordinated 5Y Credit Default Swap 249.1 +1.3%
- Italian/German 10Y Yld Spread 176.0 basis points +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 99.7 +2.72%
- Emerging Market CDS Index 189.02 +.58%
- Israel Sovereign CDS 118.2 -.93%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.4 -.1%
- 2-Year SOFR Swap Spread -14.75 basis points +4.0 basis points
- TED Spread 24.5 basis points +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -15.5 -.5 basis point
- MBS 5/10 Treasury Spread 153.0 -4.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 946.0 +8.0 basis points
- Avg. Auto ABS OAS 94.0 +2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 41.93 +.25%
- 3-Month T-Bill Yield 5.41% +1.0 basis point
- China Iron Ore Spot 128.5 USD/Metric Tonne -.27%
- Dutch TTF Nat Gas(European benchmark) 42.77 euros/megawatt-hour -2.75%
- Citi US Economic Surprise Index 27.5 -2.7 points
- Citi Eurozone Economic Surprise Index -17.10 +1.6 points
- Citi Emerging Markets Economic Surprise Index 21.9 -.8 point
- S&P 500 Current Quarter EPS Growth Rate YoY(482 of 500 reporting) +4.3% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 242.14 +.08: Growth Rate +9.4% unch., P/E 18.9 +.1
- S&P 500 Current Year Estimated Profit Margin 12.14% -1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(8 of 10 reporting) +50.6% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 283.18 +.40: Growth Rate +33.1% +.2 percentage point, P/E 29.2 -.2
- Bloomberg US Financial Conditions Index .46 -1.0 basis point
- Bloomberg Euro-Zone Financial Conditions Index .28 -10.0 basis points
- US Yield Curve -40.75 basis points (2s/10s) +9.5 basis points
- US Atlanta Fed 4Q GDPNow Forecast +2.10% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 49.6% +2.7 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +3.55% unch.: CPI YoY +3.04% -3.0 basis points
- 10-Year TIPS Spread 2.24 +1.0 basis point
- Highest target rate probability for Jan. 31st FOMC meeting: 95.6%(+6.2 percentage points) chance of 5.25%-5.5%. Highest target rate probability for March 20th meeting: 64.6%(-5.8 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -113 open in Japan
- China A50 Futures: Indicating +19 open in China
- DAX Futures: Indicating +32 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/utility sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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