Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 27.01 -.99%
- DJIA Intraday % Swing 1.0%
- Bloomberg Global Risk On/Risk Off Index 44.5 -5.9%
- Euro/Yen Carry Return Index 150.6 -1.2%
- Emerging Markets Currency Volatility(VXY) 13.0 +.54%
- CBOE S&P 500 Implied Correlation Index 50.3 -1.7%
- ISE Sentiment Index 98.0 -3.0 points
- Total Put/Call .97 +4.3%
- NYSE Arms 1.02 +3.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 90.94 -1.6%
- US Energy High-Yield OAS 374.74 -.61%
- Bloomberg TRACE # Distressed Bonds Traded 450.0 -4.0
- European Financial Sector CDS Index 124.03 -.5%
- Credit Suisse Subordinated 5Y Credit Default Swap 335.0 -3.0%
- Italian/German 10Y Yld Spread 205.0 basis points -17.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 218.5 -2.6%
- Emerging Market CDS Index 288.57 -2.1%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.20 +.53%
- 2-Year Swap Spread 34.75 basis points +.5 basis point
- TED Spread 36.0 basis points -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -46.75 basis points +4.0 basis points
- MBS 5/10 Treasury Spread 166.0 -5.0 basis points
- Bloomberg US Agg CMBS Avg OAS 127.0 unch.
- Avg. Auto ABS OAS 1.07 +4.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 46.7 +.11%
- 3-Month T-Bill Yield 4.01% +1.0 bps
- Yield Curve -37.75 basis points (2s/10s) +3.0 basis points
- China Iron Ore Spot 81.55 USD/Metric Tonne -2.3%
- Dutch TTF Nat Gas(European benchmark) 108.50 euros/megawatt-hour +4.0%
- Citi US Economic Surprise Index 13.7 -2.7 points
- Citi Eurozone Economic Surprise Index 3.5 -2.0 points
- Citi Emerging Markets Economic Surprise Index 6.5 +2.9 points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 233.33 -.10: Growth Rate +14.6% -.1 percentage point, P/E 16.4 +.1
- Bloomberg US Financial Conditions Index -1.17 -3.0 basis points
- US Atlanta Fed GDPNow Forecast +3.09% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +5.16% unch.: CPI YoY +8.11% unch.
- 10-Year TIPS Spread 2.47 +4.0 basis points
- Highest target rate probability for December 14th FOMC meeting: 57.0%(-2.8 percentage points) chance of 4.25%-4.5%. Highest target rate probability for February 1st meeting: 47.0%(+5.7 percentage points) chance of 4.5%-4.75%.
US Covid-19:
- 49
new infections/100K people(last 7 days total). 2.8%(-.4 percentage
point) of 1/14/22 peak(1,740) -4/100K people from prior report.
- New
Covid-19 patient hospital admissions per 100K population -84.9%(-.1
percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
- Nikkei 225 Futures: Indicating -230 open in Japan
- China A50 Futures: Indicating -35 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Higher: On gains in my industrial/commodity sector longs, index hedges and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long