Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.9 +1.8%
- DJIA Intraday % Swing .60%
- Bloomberg Global Risk On/Risk Off Index 64.2 -.4%
- Euro/Yen Carry Return Index 165.2 -.9%
- Emerging Markets Currency Volatility(VXY) 8.7 +.1%
- CBOE S&P 500 Implied Correlation Index 17.5 -2.1%
- ISE Sentiment Index 110.0 -3.0 points
- Total Put/Call .83 -8.0%
- NYSE Arms .68 -32.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.8 -.7%
- US Energy High-Yield OAS 331.10 -1.7%
- Bloomberg TRACE # Distressed Bonds Traded 370.0 -7.0
- European Financial Sector CDS Index 80.6 +2.4%
- Deutsche Bank Subordinated 5Y Credit Default Swap 267.20 +1.9%
- Italian/German 10Y Yld Spread 160.0 basis points -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 110.3 +.25%
- Emerging Market CDS Index 201.03 -.87%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.5 -.43%
- 2-Year Swap Spread 21.25 basis points unch.
- TED Spread 21.25 basis points +2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -11.75 unch.
- MBS 5/10 Treasury Spread 163.0 -2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 727.0 +4.0 basis points
- Avg. Auto ABS OAS 74.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 43.4 +.16%
- 3-Month T-Bill Yield 5.41% +1.0 basis point
- China Iron Ore Spot 114.1 USD/Metric Tonne +1.3%
- Dutch TTF Nat Gas(European benchmark) 30.5 euros/megawatt-hour +8.5%
- Citi US Economic Surprise Index 65.2 +2.1 points
- Citi Eurozone Economic Surprise Index -138.9 -20.6 points
- Citi Emerging Markets Economic Surprise Index -9.8 +.1 point
- S&P 500 Current Quarter EPS Growth Rate YoY(89 of 500 reporting) -.1% -5.7 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 231.42 -.16: Growth Rate +3.6% -.1 percentage point, P/E 19.7 unch.
- S&P 500 Current Year Estimated Profit Margin 12.08% -8.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(2 of 10 reporting) +14.5% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 219.63 +1.67: Growth Rate +42.8% +1.1 percentage point, P/E 35.4 -1.1
- Bloomberg US Financial Conditions Index .49 +4.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .02 +6.0 basis points
- US Yield Curve -104.25 basis points (2s/10s) -6.0 basis points
- US Atlanta Fed 2Q GDPNow Forecast +2.42% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +4.19% unch.: CPI YoY +3.36% unch.
- 10-Year TIPS Spread 2.38 +3.0 basis points
- Highest target rate probability for Sept. 20th FOMC meeting: 83.1%(-.4 percentage point) chance of 5.25%-5.5%. Highest target rate probability for Nov. 1st meeting: 67.7%(-1.1 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +80 open in Japan
- China A50 Futures: Indicating +175 open in China
- DAX Futures: Indicating +101 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and emerging market shorts
- Market Exposure: Moved to 75% Net Long
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