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) 14.7 +6.3%
- DJIA Intraday % Swing .37%
- Bloomberg Global Risk On/Risk Off Index 60.4 -.5%
- Euro/Yen Carry Return Index 157.7 +.18%
- Emerging Markets Currency Volatility(VXY) 9.5 +.11%
- CBOE S&P 500 Implied Correlation Index 20.2 +.8%
- ISE Sentiment Index 135.0 +20.0 points
- Total Put/Call .80 -5.9%
- NYSE Arms .84 -7.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 70.9 +.4%
- US Energy High-Yield OAS 384.08 +1.7%
- Bloomberg TRACE # Distressed Bonds Traded 411.0 -14.0
- European Financial Sector CDS Index 88.5 +1.2%
- Deutsche Bank Subordinated 5Y Credit Default Swap 287.5 -1.5%
- Italian/German 10Y Yld Spread 167.0 basis points -7.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 113.9 -1.5%
- Emerging Market CDS Index 218.5 -.6%
- China Corp. High-Yield Bond USD ETF(KHYB) 26.3 -.32%
- 2-Year Swap Spread 19.25 basis points -.5 basis point
- TED Spread 31.0 basis points +4.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -23.5 -.75 basis point
- MBS 5/10 Treasury Spread 162.0 -3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 732.0 +2.0 basis points
- Avg. Auto ABS OAS 85.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 45.1 -.4%
- 3-Month T-Bill Yield 5.23% unch.
- China Iron Ore Spot 108.6 USD/Metric Tonne -.3%
- Dutch TTF Nat Gas(European benchmark) 31.0 euros/megawatt-hour -3.2%
- Citi US Economic Surprise Index 19.1 -.7 point
- Citi Eurozone Economic Surprise Index -92.1 -.2 point
- Citi Emerging Markets Economic Surprise Index 13.0 +2.8 points
- 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 230.54 +.17: Growth Rate +3.1% +.1 percentage point, P/E 18.7 unch.
- S&P 500 Current Year Estimated Profit Margin 12.25% +2.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(10 of 10 reporting) -2.7% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 207.64 +.40: Growth Rate +36.4% +.2 percentage point, P/E 36.1 +.1
- Bloomberg US Financial Conditions Index .09 -4.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index -4.10 +3.0 basis points
- US Yield Curve -82.5 basis points (2s/10s) +2.75 basis points
- US Atlanta Fed 2Q GDPNow Forecast +2.20% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +4.71% unch.: CPI YoY +4.13% unch.
- 10-Year TIPS Spread 2.19 -2.0 basis points
- Highest target rate probability for July 26th FOMC meeting: 57.8%(+5.0 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Sept. 20th meeting: 56.1%(+6.1 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +246 open in Japan
- China A50 Futures: Indicating -96 open in China
- DAX Futures: Indicating +25 open in Germany
Portfolio:
- Higher: On gains in my tech/medical/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
No comments:
Post a Comment