Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.6 -5.0%
- DJIA Intraday % Swing .50 +20.3%
- Bloomberg Global Risk On/Risk Off Index 72.8 +2.4%
- Euro/Yen Carry Return Index 176.2 +.2%
- Emerging Markets Currency Volatility(VXY) 6.4 -.9%
- CBOE S&P 500 Implied Correlation Index 17.3 -3.9%
- ISE Sentiment Index 150.0 +13.0
- Total Put/Call .94 -13.8%
- NYSE Arms 1.36 +74.7%
- NYSE Non-Block Money Flow +$170.M
Credit Investor Angst:
- North American Investment Grade CDS Index 50.8 -3.6%
- US Energy High-Yield OAS 292.50 -2.9%
- Bloomberg TRACE # Distressed Bonds Traded 261 -10
- European Financial Sector CDS Index 64.4 -2.8%
- Deutsche Bank Subordinated 5Y Credit Default Swap 207.5 -2.6%
- Italian/German 10Y Yld Spread 148.0 basis points -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 96.2 -1.9%
- Emerging Market CDS Index 168.9 -4.0%
- Israel Sovereign CDS 119.9 -3.9%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.79 +.28%
- 2-Year SOFR Swap Spread -14.0 basis points -1.25 basis points
- Treasury Repo 3M T-Bill Spread 10.0 basis points +3.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -5.5 -.25 basis point
- MBS 5/10 Treasury Spread 158.0 +1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 836.0 +2.0 basis points
- Avg. Auto ABS OAS 65.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.3 -.1%
- 3-Month T-Bill Yield 5.40% +4.0 basis points
- China Iron Ore Spot 120.8 USD/Metric Tonne +.9%
- Dutch TTF Nat Gas(European benchmark) 23.2 euros/megawatt-hour -3.3%
- Citi US Economic Surprise Index 43.8 +3.5 points
- Citi Eurozone Economic Surprise Index 41.4 +7.1 points
- Citi Emerging Markets Economic Surprise Index -4.2 -1.7 points
- S&P 500 Current Quarter EPS Growth Rate YoY(438 of 500 reporting) +6.7% +1.9 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 246.39 +.11: Growth Rate +11.6% +.4 percentage point, P/E 20.6 +.4
- S&P 500 Current Year Estimated Profit Margin 12.81% +163.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(8 of 10 reporting) +57.2% +13.0 percentage points
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 309.0 +.46: Growth Rate +44.9% +.3 percentage point, P/E 32.3 +1.4
- Bloomberg US Financial Conditions Index 1.07 +7.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .81 +43.0 basis points
- US Yield Curve -39.0 basis points (2s/10s) -4.5 basis points
- US Atlanta Fed 1Q GDPNow Forecast +2.9% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 52.7% -3.5 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.11% unch.
- 10-Year TIPS Spread 2.31 -4.0 basis points
- Highest target rate probability for May 1st FOMC meeting: 73.4%(+5.7 percentage points) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 52.0%(-.9 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +327 open in Japan
- China A50 Futures: Indicating -6 open in China
- DAX Futures: Indicating +52 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/biotech/consumer discretionary/transport sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 100% Net Long
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