Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.5 -.7%
- DJIA Intraday % Swing 1.09%
- Bloomberg Global Risk On/Risk Off Index 62.4 +.6%
- Euro/Yen Carry Return Index 159.1 +.1%
- Emerging Markets Currency Volatility(VXY) 9.3 -.64%
- CBOE S&P 500 Implied Correlation Index 20.0 -2.3%
- ISE Sentiment Index 111.0 -24.0 points
- Total Put/Call .75 -5.1%
- NYSE Arms 1.07 +72.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 70.7 +.68%
- US Energy High-Yield OAS 376.71 +.79%
- Bloomberg TRACE # Distressed Bonds Traded 404.0 -15.0
- European Financial Sector CDS Index 89.67 +1.1%
- Deutsche Bank Subordinated 5Y Credit Default Swap 290.25 +.89%
- Italian/German 10Y Yld Spread 164.0 basis points +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 112.4 -.84%
- Emerging Market CDS Index 213.9 -.18%
- China Corp. High-Yield Bond USD ETF(KHYB) 26.6 +.85%
- 2-Year Swap Spread 21.0 basis points +.75 basis point
- TED Spread 31.5 basis points -2.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -20.25 -2.75 basis points
- MBS 5/10 Treasury Spread 164.0 +6.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 729.0 -2.0 basis points
- Avg. Auto ABS OAS 84.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 45.23 +.31%
- 3-Month T-Bill Yield 5.22% +1.0 basis point
- China Iron Ore Spot 111.2 USD/Metric Tonne -.4%
- Dutch TTF Nat Gas(European benchmark) 38.3 euros/megawatt-hour +6.2%
- Citi US Economic Surprise Index 19.5 +.8 point
- Citi Eurozone Economic Surprise Index -91.2 -1.4 points
- Citi Emerging Markets Economic Surprise Index 10.0 -.1 point
- S&P 500 Current Quarter EPS Growth Rate YoY(499 of 500 reporting) -2.7% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 230.50 -.09: Growth Rate +3.1% unch., P/E 19.0 +.1
- S&P 500 Current Year Estimated Profit Margin 12.24% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(10 of 10 reporting) -2.7% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 207.93 +.19: Growth Rate +36.6% +.1 percentage point, P/E 37.1 +.2
- Bloomberg US Financial Conditions Index .14 +10.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index -4.10 +7.0 basis points
- US Yield Curve -92.5 basis points (2s/10s) -6.0 basis points
- US Atlanta Fed 2Q GDPNow Forecast +2.20% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +4.70% unch.: CPI YoY +3.22% unch.
- 10-Year TIPS Spread 2.22 +1.0 basis point
- Highest target rate probability for Sept. 20th FOMC meeting: 57.6%(-.7 percentage point) chance of 5.25%-5.5%. Highest target rate probability for Nov. 1st meeting: 54.2%(+4.3 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +28 open in Japan
- China A50 Futures: Indicating +49 open in China
- DAX Futures: Indicating -23 open in Germany
Portfolio:
- Higher: On gains in my tech/medical sector longs and index hedges
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges, then covered some
- Market Exposure: 50% Net Long
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