Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.5 -1.5%
- DJIA Intraday % Swing .51 -53.0%
- Bloomberg Global Risk On/Risk Off Index 60.7 -.8%
- Euro/Yen Carry Return Index 171.6 -.4%
- Emerging Markets Currency Volatility(VXY) 7.1 -1.7%
- CBOE S&P 500 Implied Correlation Index 18.3 +4.2%
- ISE Sentiment Index 149.0 unch.
- Total Put/Call .74 -22.1%
- NYSE Arms .79 -41.0%
- NYSE Non-Block Money Flow +$91.7M
Credit Investor Angst:
- North American Investment Grade CDS Index 55.19 +.02%
- US Energy High-Yield OAS 326.5 +.34%
- Bloomberg TRACE # Distressed Bonds Traded 333 +9
- European Financial Sector CDS Index 70.6 +1.2%
- Deutsche Bank Subordinated 5Y Credit Default Swap 219.3 +5.1%
- Italian/German 10Y Yld Spread 156.0 basis points -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 99.9 -.6%
- Emerging Market CDS Index 178.49 -1.6%
- Israel Sovereign CDS 124.1 -.63%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.49 unch.
- 2-Year SOFR Swap Spread -13.75 basis points -.25 basis point
- Treasury Repo 3M T-Bill Spread 6.0 basis points -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -5.25 +.25 basis point
- MBS 5/10 Treasury Spread 149.0 -4.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 858.0 -6.0 basis points
- Avg. Auto ABS OAS 69.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 40.6 +.15%
- 3-Month T-Bill Yield 5.36% -2.0 basis points
- China Iron Ore Spot 125.5 USD/Metric Tonne +.4%
- Dutch TTF Nat Gas(European benchmark) 28.6 euros/megawatt-hour +.9%
- Citi US Economic Surprise Index 42.9 +.3 point
- Citi Eurozone Economic Surprise Index 22.5 +13.5 points
- Citi Emerging Markets Economic Surprise Index -1.7 +.7 point
- S&P 500 Current Quarter EPS Growth Rate YoY(256 of 500 reporting) +4.2% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 244.98 -.01: Growth Rate +10.7% unch., P/E 20.2 unch.
- S&P 500 Current Year Estimated Profit Margin 11.40% +1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +44.2% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 302.29 +.48: Growth Rate +41.7% +.2 percentage point, P/E 31.3 -.4
- Bloomberg US Financial Conditions Index 1.03 +4.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .70 -3.0 basis points
- US Yield Curve -32.0 basis points (2s/10s) -.25 basis point
- US Atlanta Fed 1Q GDPNow Forecast +4.2% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 59.6% +1.6 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.66% unch.: CPI YoY +2.96% unch.
- 10-Year TIPS Spread 2.24 -2.0 basis points
- Highest target rate probability for May 1st FOMC meeting: 54.3%(+.3 percentage point) chance of 5.0%-5.25%. Highest target rate probability for June 12th meeting: 51.5%(+4.0 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -200 open in Japan
- China A50 Futures: Indicating +17 open in China
- DAX Futures: Indicating +87 open in Germany
Portfolio:
- Higher: On gains in my biotech/consumer discretionary/industrial/utility sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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