Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 14.3 -.7%
- DJIA Intraday % Swing .33 -52.0%
- Bloomberg Global Risk On/Risk Off Index 70.1 +2.3%
- Euro/Yen Carry Return Index 175.7 -.13%
- Emerging Markets Currency Volatility(VXY) 6.2 +.65%
- CBOE S&P 500 Implied Correlation Index 13.5 +.5%
- ISE Sentiment Index 143.0 +9.0
- Total Put/Call .90 +13.9%
- NYSE Arms 1.14 +16.3%
- NYSE Non-Block Money Flow +$4.5M
Credit Investor Angst:
- North American Investment Grade CDS Index 49.2 -1.2%
- US Energy High-Yield OAS 286.1 -.98%
- Bloomberg TRACE # Distressed Bonds Traded 255 -7
- European Financial Sector CDS Index 59.6 -.7%
- Deutsche Bank Subordinated 5Y Credit Default Swap 179.2 -.57%
- Italian/German 10Y Yld Spread 122.0 basis points -4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 100.3 +1.1%
- Emerging Market CDS Index 165.2 -.78%
- Israel Sovereign CDS 114.2 -1.2%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.7 +.04%
- 2-Year SOFR Swap Spread -10.0 basis points +1.0 basis point
- Treasury Repo 3M T-Bill Spread 8.5 basis points +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -4.25 +.25 basis point
- MBS 5/10 Treasury Spread 151.0 +1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 808.0 -2.0 basis points
- Avg. Auto ABS OAS 60.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.8 -.41%
- 3-Month T-Bill Yield 5.38% +1.0 basis point
- China Iron Ore Spot 103.2 USD/Metric Tonne -.7%
- Dutch TTF Nat Gas(European benchmark) 28.8 euros/megawatt-hour +6.7%
- Citi US Economic Surprise Index 23.0 -1.6 points
- Citi Eurozone Economic Surprise Index 50.0 -1.1 points
- Citi Emerging Markets Economic Surprise Index 20.1 -.5 point
- S&P 500 Current Quarter EPS Growth Rate YoY(5 of 500 reporting) +16.5% n/a
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 248.68 +.23: Growth Rate +11.4% +.1 percentage point, P/E 20.8 +.2
- S&P 500 Current Year Estimated Profit Margin 12.82% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(10 of 10 reporting) +55.2% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 316.98 +.17: Growth Rate +31.9% unch., P/E 31.2 -.5
- Bloomberg US Financial Conditions Index 1.13 -2.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.12 +6.0 basis points
- US Yield Curve -40.25 basis points (2s/10s) +1.75 basis points
- US Atlanta Fed 1Q GDPNow Forecast +2.3% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 51.9% -4.6 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.78% unch.: CPI YoY +3.33% unch.
- 10-Year TIPS Spread 2.31 -1.0 basis point
- Highest target rate probability for May 1st FOMC meeting: 96.8%(+3.2 percentage points) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 56.1%(+.9 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -265 open in Japan
- China A50 Futures: Indicating -31 open in China
- DAX Futures: Indicating +267 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/consumer discretionary/tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
No comments:
Post a Comment