Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.5 +.15%
- DJIA Intraday % Swing 1.32%
- Bloomberg Global Risk On/Risk Off Index 63.7 -1.8%
- Euro/Yen Carry Return Index 164.5 +.08%
- Emerging Markets Currency Volatility(VXY) 8.5 +1.6%
- CBOE S&P 500 Implied Correlation Index 15.7 -5.4%
- ISE Sentiment Index 116.0 -13.0 points
- Total Put/Call .75 -10.7%
- NYSE Arms 1.0 -9.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 65.1 -1.8%
- US Energy High-Yield OAS 340.2 -2.6%
- Bloomberg TRACE # Distressed Bonds Traded 397.0 +7.0
- European Financial Sector CDS Index 80.1 -2.1%
- Deutsche Bank Subordinated 5Y Credit Default Swap 266.8 -1.1%
- Italian/German 10Y Yld Spread 163.0 basis points -4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 109.8 -1.1%
- Emerging Market CDS Index 202.5 -1.1%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.8 -.62%
- 2-Year Swap Spread 21.75 basis points unch.
- TED Spread 19.75 basis points -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -12.75 unch.
- MBS 5/10 Treasury Spread 160.0 -2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 715.0 unch.
- Avg. Auto ABS OAS 78.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 43.5 -.65%
- 3-Month T-Bill Yield 5.38% unch.
- China Iron Ore Spot 113.6 USD/Metric Tonne -.12%
- Dutch TTF Nat Gas(European benchmark) 27.1 euros/megawatt-hour +7.8%
- Citi US Economic Surprise Index 68.4 -6.4 points
- Citi Eurozone Economic Surprise Index -128.0 +1.5 points
- Citi Emerging Markets Economic Surprise Index -9.2 +1.0 point
- S&P 500 Current Quarter EPS Growth Rate YoY(36 of 500 reporting) +11.0% -1.7 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 231.50 +.17: Growth Rate +3.5% unch., P/E 19.6 +.1
- S&P 500 Current Year Estimated Profit Margin 12.18% +1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 216.97 +.10: Growth Rate +42.6% +.1 percentage point, P/E 37.5 +.3
- Bloomberg US Financial Conditions Index .42 unch.
- Bloomberg Euro-Zone Financial Conditions Index -4.32 -10.0 basis points
- US Yield Curve -97.25 basis points (2s/10s) -3.75 basis points
- US Atlanta Fed 2Q GDPNow Forecast +2.39% +10.0 basis points
- Cleveland Fed Inflation Nowcast Core PCE YoY +4.19% unch.: CPI YoY +3.36% +1.0 basis point
- 10-Year TIPS Spread 2.23 -3.0 basis points
- Highest target rate probability for Sept. 20th FOMC meeting: 84.1%(-.4 percentage point) chance of 5.25%-5.5%. Highest target rate probability for Nov. 1st meeting: 64.9%(-5.2 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +332 open in Japan
- China A50 Futures: Indicating -70 open in China
- DAX Futures: Indicating +120 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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