Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.8 -2.9%
- DJIA Intraday % Swing .46% -10.8%
- Bloomberg Global Risk On/Risk Off Index 62.3 +1.9%
- Euro/Yen Carry Return Index 173.4 -.15%
- Emerging Markets Currency Volatility(VXY) 7.43 +.81%
- CBOE S&P 500 Implied Correlation Index 17.4 -1.6%
- ISE Sentiment Index 167.0 +19.0
- Total Put/Call .94 +10.6%
- NYSE Arms .60 -68.1%
- NYSE Non-Block Money Flow +$18.8M
Credit Investor Angst:
- North American Investment Grade CDS Index 55.75 +1.23%
- US Energy High-Yield OAS 326.35 -.30%
- Bloomberg TRACE # Distressed Bonds Traded 317 +11
- European Financial Sector CDS Index 69.64 +1.5%
- Deutsche Bank Subordinated 5Y Credit Default Swap 202.62 -.19%
- Italian/German 10Y Yld Spread 157.0 basis points +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 102.1 +1.1%
- Emerging Market CDS Index 181.8 +1.6%
- Israel Sovereign CDS 125.20 +.16%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.37 unch.
- 2-Year SOFR Swap Spread -16.5 basis points unch.
- Treasury Repo 3M T-Bill Spread 5.53 basis points +.43 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -4.5 -1.0 basis point
- MBS 5/10 Treasury Spread 150.0 +3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 930.0 -7.0 basis points
- Avg. Auto ABS OAS 72.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.8 -.17%
- 3-Month T-Bill Yield 5.35% unch.
- China Iron Ore Spot 132.0 USD/Metric Tonne +.05%
- Dutch TTF Nat Gas(European benchmark) 27.2 euros/megawatt-hour -.14%
- Citi US Economic Surprise Index 8.3 -2.8 points
- Citi Eurozone Economic Surprise Index -11.4 -1.9 points
- Citi Emerging Markets Economic Surprise Index .7 -1.4 points
- S&P 500 Current Quarter EPS Growth Rate YoY(67 of 500 reporting) -2.7%+.2 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 243.93 -.01: Growth Rate +10.2% unch., P/E 19.9 unch.
- S&P 500 Current Year Estimated Profit Margin 11.70% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) +0.0% -0.0 percentage points
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 293.11 +.27: Growth Rate +37.4% +.1 percentage point, P/E 30.8 -.1
- Bloomberg US Financial Conditions Index .94 +3.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .68 -1.0 basis point
- US Yield Curve -24.75 basis points (2s/10s) +4.0 basis points
- US Atlanta Fed 4Q GDPNow Forecast +2.38% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 62.3% -1.8 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +3.02% unch.: CPI YoY +2.96% unch.
- 10-Year TIPS Spread 2.29 -1.0 basis point
- Highest target rate probability for March 20th FOMC meeting: 52.6%(-.3 percentage point) chance of 5.25%-5.5%. Highest target rate probability for May 1st meeting: 50.7%(-.2 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -7 open in Japan
- China A50 Futures: Indicating +82 open in China
- DAX Futures: Indicating +150 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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