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) 15.6 +5.7%
- DJIA Intraday % Swing .53 +.9%
- Bloomberg Global Risk On/Risk Off Index 71.0 -2.3%
- Euro/Yen Carry Return Index 175.3 +.2%
- Emerging Markets Currency Volatility(VXY) 6.4 -1.8%
- CBOE S&P 500 Implied Correlation Index 18.6 +9.6%
- ISE Sentiment Index 133.0 +11.0
- Total Put/Call .94 -11.3%
- NYSE Arms 1.26 +26.0%
- NYSE Non-Block Money Flow -$247.3M
Credit Investor Angst:
- North American Investment Grade CDS Index 53.0 +.06%
- US Energy High-Yield OAS 305.1 +.9%
- Bloomberg TRACE # Distressed Bonds Traded 271 -23
- European Financial Sector CDS Index 66.88 +.97%
- Deutsche Bank Subordinated 5Y Credit Default Swap 211.4 +.9%
- Italian/German 10Y Yld Spread 149.0 basis points +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 98.9 -.44%
- Emerging Market CDS Index 178.6 +.57%
- Israel Sovereign CDS 113.9 -1.2%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.6 +.14%
- 2-Year SOFR Swap Spread -12.75 basis points +.75 basis point
- Treasury Repo 3M T-Bill Spread 6.25 basis points -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -5.25 -.5 basis point
- MBS 5/10 Treasury Spread 157.0 -2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 834.0 +1.0 basis point
- Avg. Auto ABS OAS 65.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.3 +.01%
- 3-Month T-Bill Yield 5.36% -1.0 basis point
- China Iron Ore Spot 119.6 USD/Metric Tonne -1.0%
- Dutch TTF Nat Gas(European benchmark) 24.2 euros/megawatt-hour +2.0%
- Citi US Economic Surprise Index 40.3 -.1 point
- Citi Eurozone Economic Surprise Index 34.3 -.4
- Citi Emerging Markets Economic Surprise Index -2.5 -.4 point
- S&P 500 Current Quarter EPS Growth Rate YoY(402 of 500 reporting) +4.9% -.1 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 246.16 +.35: Growth Rate +11.2% +.2 percentage point, P/E 20.2 -.3
- S&P 500 Current Year Estimated Profit Margin 11.20% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +44.2% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 308.09 +2.15: Growth Rate +44.4% +.5 percentage point, P/E 31.0 -1.2
- Bloomberg US Financial Conditions Index 1.11 +3.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .45 -44.0 basis points
- US Yield Curve -33.75 basis points (2s/10s) +2.25 basis points
- US Atlanta Fed 1Q GDPNow Forecast +2.9% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 53.8% -.5 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.06% unch.
- 10-Year TIPS Spread 2.32 -1.0 basis point
- Highest target rate probability for May 1st FOMC meeting: 62.0%(-7.7 percentage points) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 51.2%(-4.1 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -73 open in Japan
- China A50 Futures: Indicating -29 open in China
- DAX Futures: Indicating +53 open in Germany
Portfolio:
- Lower: On losses in my tech/industrial/transport/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
No comments:
Post a Comment