Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.5 -1.3%
- DJIA Intraday % Swing 1.0% +73.7%
- Bloomberg Global Risk On/Risk Off Index 59.5 +4.3%
- Euro/Yen Carry Return Index 172.0 -.06%
- Emerging Markets Currency Volatility(VXY) 7.63 -1.7%
- CBOE S&P 500 Implied Correlation Index 17.72 -3.2%
- ISE Sentiment Index 135.0 -4.0
- Total Put/Call .94 -26.6%
- NYSE Arms 1.20 -16.7%
- NYSE Non-Block Money Flow -$106.2M
Credit Investor Angst:
- North American Investment Grade CDS Index 54.90 -1.0%
- US Energy High-Yield OAS 330.3 +.52%
- Bloomberg TRACE # Distressed Bonds Traded 344 +18
- European Financial Sector CDS Index 68.78 -.4%
- Deutsche Bank Subordinated 5Y Credit Default Swap 211.10 -.74%
- Italian/German 10Y Yld Spread 157.0 basis points -6.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 98.11 -2.6%
- Emerging Market CDS Index 174.3 -.79%
- Israel Sovereign CDS 119.0 +2.4%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.33 +.25%
- 2-Year SOFR Swap Spread -17.25 basis points -.75 basis point
- TED Spread 21.75 basis points n/a
- 3-Month EUR/USD Cross-Currency Basis Swap -4.25 -1.0 basis point
- MBS 5/10 Treasury Spread 143.0 -2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 960.0 -6.0 basis points
- Avg. Auto ABS OAS 75.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 41.27 +.12%
- 3-Month T-Bill Yield 5.37% -1.0 basis point
- China Iron Ore Spot 132.4 USD/Metric Tonne -1.5%
- Dutch TTF Nat Gas(European benchmark) 30.8 euros/megawatt-hour -.4%
- Citi US Economic Surprise Index 8.1 +1.3 points
- Citi Eurozone Economic Surprise Index -15.90 +.1 point
- Citi Emerging Markets Economic Surprise Index 13.6 -2.8 points
- S&P 500 Current Quarter EPS Growth Rate YoY(21 of 500 reporting) +9.1% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 243.46 +.01: Growth Rate +11.9% unch., P/E 19.5 -.1
- S&P 500 Current Year Estimated Profit Margin 12.04% 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 290.73 +.15: Growth Rate +36.3% +.1 percentage point, P/E 30.0 unch.
- Bloomberg US Financial Conditions Index .96 +12.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .49 +4.0 basis points
- US Yield Curve -34.0 basis points (2s/10s) +5.25 basis points
- US Atlanta Fed 4Q GDPNow Forecast +2.21% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 65.9% +.5 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +3.02% unch.: CPI YoY +2.97% -35.0 basis points
- 10-Year TIPS Spread 2.23 +1.0 basis point
- Highest target rate probability for March 20th FOMC meeting: 68.1%(+3.4 percentage points) chance of 5.0%-5.25%. Highest target rate probability for May 1st meeting: 62.6%(+9.2 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +221 open in Japan
- China A50 Futures: Indicating -57 open in China
- DAX Futures: Indicating +202 open in Germany
Portfolio:
- Slightly Lower: On losses in my utility/consumer discretionary/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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