Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 21.9 -8.4%
- DJIA Intraday % Swing .97% -15.5%
- Bloomberg Global Risk On/Risk Off Index 3,478.0 +198.0 points
- Euro/Yen Carry Return Index 140.05 +.61%
- Emerging Markets Currency Volatility(VXY) 12.4 -.7%
- CBOE S&P 500 Implied Correlation Index 43.1 -6.3%
- ISE Sentiment Index 111.0 +13.0 points
- Total Put/Call .87 -13.0%
- NYSE Arms 1.06 -14.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 81.9 -2.9%
- US Energy High-Yield OAS 415.85 -1.9%
- Bloomberg TRACE # Distressed Bonds Traded 434.0 +1.0
- European Financial Sector CDS Index 109.52 -3.8%
- Italian/German 10Y Yld Spread 214.0 basis points -11.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 151.35 -1.5%
- Emerging Market CDS Index 324.65 -3.5%
- China Corp. High-Yield Bond USD ETF(KHYB) 26.7 -.1%
- Ukraine Sovereign Debt Credit Default Swap 13,467.1 +9.3%
- 2-Year Swap Spread 28.75 basis points +2.25 basis points
- TED Spread 30.75 basis points -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -15.75 basis points +1.5 basis points
- MBS 5/10 Treasury Spread 116.0 -7.0 basis points
- iShares CMBS ETF 48.37 -.12%
- Avg. Auto ABS OAS 1.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 49.0 +.03%
- 3-Month T-Bill Yield 2.46% -2.0 basis points
- Yield Curve -36.0 basis points (2s/10s) -2.5 basis points
- China Iron Ore Spot 109.0 USD/Metric Tonne -2.1%
- Citi US Economic Surprise Index -43.9 +13.0 points
- Citi Eurozone Economic Surprise Index -54.5 +6.2 points
- Citi Emerging Markets Economic Surprise Index 21.2 +.7 point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate Growth Rate +15.9% n/a
- 10-Year TIPS Spread 2.50 +2.0 basis points
- Highest target rate probability for November 2nd FOMC meeting: 46.3%(+1.7 percentage points) chance of 3.25%-3.5%. Highest target rate probability for December 14th meeting: 45.8%(-.4 percentage point) chance of 3.25%-3.5%.
US Covid-19:
- 280 new infections/100K people(last 7 days total). 16.1%(+.4 percentage point) of 1/14/22 peak(1,740) +7/100K people from prior report.
- New Covid-19 patient hospital admissions per 100K population -70.6%(+.2 percentage point) from peak 7-day avg. of 1/9/22 – 1/15/22
Overseas Futures:
- Nikkei 225 Futures: Indicating +254 open in Japan
- China A50 Futures: Indicating -9 open in China
- DAX Futures: Indicating +19 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical/utility/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added some back
- Market Exposure: Moved to 50% net long
SOURCE: BETWEEN THE HEDGES – Read entire story here.
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