Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.9 +.8%
- DJIA Intraday % Swing .55 +36.7%
- Bloomberg Global Risk On/Risk Off Index 61.0 -1.4%
- Euro/Yen Carry Return Index 173.8 +.9%
- Emerging Markets Currency Volatility(VXY) 7.0 -1.8%
- CBOE S&P 500 Implied Correlation Index 17.3 -1.1%
- ISE Sentiment Index 161.0 +12.0
- Total Put/Call .82 -14.6%
- NYSE Arms 1.11 -6.7%
- NYSE Non-Block Money Flow +$109.2M
Credit Investor Angst:
- North American Investment Grade CDS Index 55.2 -.68%
- US Energy High-Yield OAS 314.68 -.48%
- Bloomberg TRACE # Distressed Bonds Traded 340 +2
- European Financial Sector CDS Index 71.0 -.4%
- Deutsche Bank Subordinated 5Y Credit Default Swap 225.7 +.8%
- Italian/German 10Y Yld Spread 158.0 basis points +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 99.9 +.7%
- Emerging Market CDS Index 179.4 +.7%
- Israel Sovereign CDS 122.7 -2.1%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.5 +.4%
- 2-Year SOFR Swap Spread -13.75 basis points +.25 basis point
- Treasury Repo 3M T-Bill Spread 8.25 basis points +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -5.5 +1.0 basis point
- MBS 5/10 Treasury Spread 151.0 +1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 846.0 -5.0 basis points
- Avg. Auto ABS OAS 69.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.5 -.2%
- 3-Month T-Bill Yield 5.38% unch.
- China Iron Ore Spot 127.5 USD/Metric Tonne -.8%
- Dutch TTF Nat Gas(European benchmark) 27.8 euros/megawatt-hour -1.3%
- Citi US Economic Surprise Index 44.0 +.5 point
- Citi Eurozone Economic Surprise Index 20.7 +.1 point
- Citi Emerging Markets Economic Surprise Index -4.1 -1.9 points
- S&P 500 Current Quarter EPS Growth Rate YoY(321 of 500 reporting) +5.1% +.9 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 245.14 +.12: Growth Rate +10.7% unch., P/E 20.4 unch.
- S&P 500 Current Year Estimated Profit Margin 11.30% -4.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +44.2% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 303.29 +.38: Growth Rate +42.2% +.2 percentage point, P/E 32.2 +.2
- Bloomberg US Financial Conditions Index 1.06 +4.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.23 +13.0 basis points
- US Yield Curve -29.5 basis points (2s/10s) +2.5 basis points
- US Atlanta Fed 1Q GDPNow Forecast +3.4% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 60.5% -.7 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.66% unch.: CPI YoY +2.96% unch.
- 10-Year TIPS Spread 2.25 +1.0 basis point
- Highest target rate probability for May 1st FOMC meeting: 52.1%(-1.1 percentage points) chance of 5.0%-5.25%. Highest target rate probability for June 12th meeting: 47.0%(-4.5 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +227 open in Japan
- China A50 Futures: Indicating -162 open in China
- DAX Futures: Indicating +91 open in Germany
Portfolio:
- Higher: On gains in my tech/consumer discretionary/industrial/biotech/transport sector longs
- Disclosed Trades: Exited utility longs and added transport longs
- Market Exposure: 100% Net Long
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