Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.2 -.6%
- DJIA Intraday % Swing .83%
- Bloomberg Global Risk On/Risk Off Index 70.1 +1.2%
- Euro/Yen Carry Return Index 168.6 +.79%
- Emerging Markets Currency Volatility(VXY) 9.18 +.33%
- CBOE S&P 500 Implied Correlation Index 24.0 -4.3%
- ISE Sentiment Index 97.0 +13.0 points
- Total Put/Call .87 -26.3%
- NYSE Arms .78 +16.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 70.31 -.49%
- US Energy High-Yield OAS 337.41 -.97%
- Bloomberg TRACE # Distressed Bonds Traded 357.0 -10.0
- European Financial Sector CDS Index 89.2 +.68%
- Deutsche Bank Subordinated 5Y Credit Default Swap 266.87 +1.52%
- Italian/German 10Y Yld Spread 169.0 basis points -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 136.7 +2.0%
- Emerging Market CDS Index 220.8 -.6%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.6 -.65%
- 2-Year SOFR Swap Spread -11.75 basis points -.5 basis point
- TED Spread 21.5 basis points +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -12.75 -.75 basis point
- MBS 5/10 Treasury Spread 184.0 +3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 748.0 +3.0 basis points
- Avg. Auto ABS OAS 70.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 42.3 -.03%
- 3-Month T-Bill Yield 5.44% +1.0 basis point
- China Iron Ore Spot 108.3 USD/Metric Tonne +.77%
- Dutch TTF Nat Gas(European benchmark) 40.78 euros/megawatt-hour +12.0%
- Citi US Economic Surprise Index 72.4 -5.2 points
- Citi Eurozone Economic Surprise Index -54.6 +8.3 points
- Citi Emerging Markets Economic Surprise Index 3.1 -1.2 points
- S&P 500 Current Quarter EPS Growth Rate YoY(472 of 500 reporting) -7.3% +.2 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 234.76 -.16: Growth Rate +6.9% -.2 percentage point, P/E 18.6 unch.
- S&P 500 Current Year Estimated Profit Margin 12.10% -4.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(8 of 10 reporting) +17.0% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 233.59 +.06: Growth Rate +42.4% +.1 percentage point, P/E 31.7 +.5
- Bloomberg US Financial Conditions Index .27 +6.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index -.17 -8.0 basis points
- US Yield Curve -65.75 basis points (2s/10s) +2.0 basis points
- US Atlanta Fed 2Q GDPNow Forecast +5.76% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +4.23% unch.: CPI YoY +3.82% unch.
- 10-Year TIPS Spread 2.34 +2.0 basis points
- Highest target rate probability for Nov. 1st FOMC meeting: 57.8%(-6.1 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Dec. 13th meeting: 56.0%(-3.7 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +240 open in Japan
- China A50 Futures: Indicating -6 open in China
- DAX Futures: Indicating +82 open in Germany
Portfolio:
- Higher: On gains in my industrial/tech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
No comments:
Post a Comment