Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 22.6 -2.8%
- DJIA Intraday % Swing 1.95% +294.0%
- Bloomberg Global Risk On/Risk Off Index 3,477.0 -253.0 points
- Euro/Yen Carry Return Index 140.82 -1.8%
- Emerging Markets Currency Volatility(VXY) 12.0 -.6%
- CBOE S&P 500 Implied Correlation Index 43.2 -2.7%
- ISE Sentiment Index 93.0 -1.0 point
- Total Put/Call .92 -9.8%
- NYSE Arms 1.19 +36.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 81.78 -2.7%
- US Energy High-Yield OAS 479.04 -1.4%
- Bloomberg TRACE # Distressed Bonds Traded 484.0 -13.0
- European Financial Sector CDS Index 114.74 -4.7%
- Italian/German 10Y Yld Spread 235.0 basis points -3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 149.22 -4.33%
- Emerging Market CDS Index 337.98 -4.4%
- China Corp. High-Yield Bond USD ETF(KHYB) 26.60 +.25%
- Ukraine Sovereign Debt Credit Default Swap 11,938.0 -3.9%
- 2-Year Swap Spread 26.25 basis points +1.25 basis points
- TED Spread 44.5 basis points +14.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -20.0 basis points +1.5 basis points
- MBS 5/10 Treasury Spread 120.0 -16.0 basis points
- iShares CMBS ETF 48.94 +.82%
- Avg. Auto ABS OAS .96 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 49.0 +.20%
- 3-Month T-Bill Yield 2.35% -5.0 basis points
- Yield Curve -20.25 basis points (2s/10s) +5.25 basis points
- China Iron Ore Spot 118.25 USD/Metric Tonne +3.1%
- Citi US Economic Surprise Index -66.40 -12.9 points
- Citi Eurozone Economic Surprise Index -105.0 -10.3 points
- Citi Emerging Markets Economic Surprise Index 22.6 +.6 point
- 10-Year TIPS Spread 2.49 +8.0 basis points
- Highest target rate probability for November 2nd FOMC meeting: 73.7%(+23.5 percentage points) chance of 3.0%-3.25%. Highest target rate probability for December 14th meeting: 46.2%(+2.0 percentage points) chance of 3.25%-3.5%.
US Covid-19:
- 280
new infections/100K people(last 7 days total). 16.1%(+1.4 percentage
points) of 1/14/22 peak(1,740) +7/100K people from prior report.
- New
Covid-19 patient hospital admissions per 100K population -70.5%(-.7
percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
Overseas Futures:
- Nikkei 225 Futures: Indicating +69 open in Japan
- China A50 Futures: Indicating -28 open in China
- DAX Futures: Indicating -7 open in Germany
Portfolio:
- Higher: On gains in my medical/commodity/industrial/tech/utility sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% net long