Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.7 +3.1%
- DJIA Intraday % Swing .29% -77.8%
- Bloomberg Global Risk On/Risk Off Index 61.2 -.32%
- Euro/Yen Carry Return Index 172.2 -.7%
- Emerging Markets Currency Volatility(VXY) 7.4 unch.
- CBOE S&P 500 Implied Correlation Index 17.5 -.6%
- ISE Sentiment Index 135.0 -17.0
- Total Put/Call .95 +5.6%
- NYSE Arms 1.44 +65.5%
- NYSE Non-Block Money Flow +$42.0M
Credit Investor Angst:
- North American Investment Grade CDS Index 54.4 -.12%
- US Energy High-Yield OAS 319.0 +1.3%
- Bloomberg TRACE # Distressed Bonds Traded 304 -11
- European Financial Sector CDS Index 66.79 -.17%
- Deutsche Bank Subordinated 5Y Credit Default Swap 195.34 -.72%
- Italian/German 10Y Yld Spread 150.0 basis points -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 101.31 +1.0%
- Emerging Market CDS Index 177.27 +.25%
- Israel Sovereign CDS 130.60 +6.3%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.35 -.15%
- 2-Year SOFR Swap Spread -15.0 basis points -.5 basis point
- Treasury Repo 3M T-Bill Spread 4.75 basis points +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -4.25 unch.
- MBS 5/10 Treasury Spread 146.0 +2.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 910.0 +1.0 basis point
- Avg. Auto ABS OAS 70.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.8 -.17%
- 3-Month T-Bill Yield 5.36% +1.0 basis point
- China Iron Ore Spot 135.1 USD/Metric Tonne -.24%
- Dutch TTF Nat Gas(European benchmark) 28.2 euros/megawatt-hour +.34%
- Citi US Economic Surprise Index 30.0 +2.7 points
- Citi Eurozone Economic Surprise Index -9.2 +.9 point
- Citi Emerging Markets Economic Surprise Index 1.5 +.5 point
- S&P 500 Current Quarter EPS Growth Rate YoY(125 of 500 reporting) -1.6% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 243.55 -.21: Growth Rate +10.0% -.1 percentage point, P/E 20.1 unch.
- S&P 500 Current Year Estimated Profit Margin 11.52% -5.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(2 of 10 reporting) -16.6% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 294.34 +.61: Growth Rate +38.0% +.3 percentage point, P/E 31.5 +.1
- Bloomberg US Financial Conditions Index .97 +2.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .83 +12.0 basis points
- US Yield Curve -25.0 basis points (2s/10s) -4.75 basis points
- US Atlanta Fed 1Q GDPNow Forecast +3.0% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 64.0% -.5 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.66% 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: 51.4%(+.5 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +85 open in Japan
- China A50 Futures: Indicating -65 open in China
- DAX Futures: Indicating +132 open in Germany
Portfolio:
- Higher: On gains in my biotech/tech/consumer discretionary/utility/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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