Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.2 +5.6%
- DJIA Intraday % Swing .56 -27.0%
- Bloomberg Global Risk On/Risk Off Index 67.9 -1.7%
- Euro/Yen Carry Return Index 175.9 +.5%
- Emerging Markets Currency Volatility(VXY) 6.2 unch.
- CBOE S&P 500 Implied Correlation Index 13.6 +4.5%
- ISE Sentiment Index 132.0 +15.0
- Total Put/Call .78 -16.1%
- NYSE Arms .89 -18.4%
- NYSE Non-Block Money Flow -$52.1M
Credit Investor Angst:
- North American Investment Grade CDS Index 49.8 +1.5%
- US Energy High-Yield OAS 290.6 -.32%
- Bloomberg TRACE # Distressed Bonds Traded 262 -9
- European Financial Sector CDS Index 60.0 +.7%
- Deutsche Bank Subordinated 5Y Credit Default Swap 179.7 +.55%
- Italian/German 10Y Yld Spread 126.0 basis points -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 99.9 +1.3%
- Emerging Market CDS Index 166.5 +1.5%
- Israel Sovereign CDS 115.4 -.35%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.6 -.2%
- 2-Year SOFR Swap Spread -11.0 basis points unch.
- Treasury Repo 3M T-Bill Spread 7.25 basis points -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -4.5 -.25 basis point
- MBS 5/10 Treasury Spread 150.0 +2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 810.0 -4.0 basis points
- Avg. Auto ABS OAS 61.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.9 -.20%
- 3-Month T-Bill Yield 5.37% -2.0 basis points
- China Iron Ore Spot 100.0 USD/Metric Tonne +.1%
- Dutch TTF Nat Gas(European benchmark) 27.0 euros/megawatt-hour +3.8%
- Citi US Economic Surprise Index 24.6 -4.6 points
- Citi Eurozone Economic Surprise Index 51.1 -.1 point
- Citi Emerging Markets Economic Surprise Index 20.6 +1.2 points
- S&P 500 Current Quarter EPS Growth Rate YoY(499 of 500 reporting) +7.9% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 248.45 +.23: Growth Rate +11.3% +.1 percentage point, P/E 20.6 -.1
- 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 316.81 +.16: Growth Rate +31.9% +.1 percentage point, P/E 31.7 -.3
- Bloomberg US Financial Conditions Index 1.15 -2.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.06 -6.0 basis points
- US Yield Curve -42.0 basis points (2s/10s) -2.5 basis points
- US Atlanta Fed 1Q GDPNow Forecast +2.3% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 56.5% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.78% unch.: CPI YoY +3.33% unch.
- 10-Year TIPS Spread 2.32 +2.0 basis points
- Highest target rate probability for May 1st FOMC meeting: 89.1%(-2.3 percentage points) chance of 5.25%-5.5%. Highest target rate probability for June 12th meeting: 50.4%(-4.2 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -60 open in Japan
- China A50 Futures: Indicating +17 open in China
- DAX Futures: Indicating +290 open in Germany
Portfolio:
- Higher: On gains in my industrial/consumer discretionary sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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