Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.0 +1.6%
- DJIA Intraday % Swing .58%
- Bloomberg Global Risk On/Risk Off Index 71.6 +2.0%
- Euro/Yen Carry Return Index 168.1 -.17%
- Emerging Markets Currency Volatility(VXY) 9.32 -.53%
- CBOE S&P 500 Implied Correlation Index 24.5 +.8%
- ISE Sentiment Index 104.0 -21.0 points
- Total Put/Call .93 -26.8%
- NYSE Arms .70 -25.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 70.2 +2.7%
- US Energy High-Yield OAS 335.38 +1.8%
- Bloomberg TRACE # Distressed Bonds Traded 361.0 +10.0
- European Financial Sector CDS Index 86.6 +2.9%
- Deutsche Bank Subordinated 5Y Credit Default Swap 249.7 +1.7%
- Italian/German 10Y Yld Spread 171.0 basis points +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 129.5 +7.7%
- Emerging Market CDS Index 219.1 +1.7%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.83 -.34%
- 2-Year SOFR Swap Spread -11.0 basis points +.5 basis point
- TED Spread 21.25 basis points +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -11.0 -1.0 basis point
- MBS 5/10 Treasury Spread 180.0 +1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 745.0 unch.
- Avg. Auto ABS OAS 68.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 42.33 +.09%
- 3-Month T-Bill Yield 5.44% unch.
- China Iron Ore Spot 105.7 USD/Metric Tonne unch.
- Dutch TTF Nat Gas(European benchmark) 36.8 euros/megawatt-hour -2.5%
- Citi US Economic Surprise Index 78.9 +7.3 points
- Citi Eurozone Economic Surprise Index -64.9 +1.8 points
- Citi Emerging Markets Economic Surprise Index 3.3 unch.
- S&P 500 Current Quarter EPS Growth Rate YoY(466 of 500 reporting) -7.7% +.3 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 234.77 +.21: Growth Rate +7.1% unch., P/E 18.7 -.2
- S&P 500 Current Year Estimated Profit Margin 12.15% +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 233.24 +.36: Growth Rate +42.2% +.3 percentage point, P/E 31.7 -.5
- Bloomberg US Financial Conditions Index .29 -3.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index -.03 unch.
- US Yield Curve -67.0 basis points (2s/10s) +5.0 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 unch.
- Highest target rate probability for Nov. 1st FOMC meeting: 59.7%(-1.0 percentage point) chance of 5.25%-5.5%. Highest target rate probability for Dec. 13th meeting: 57.7%(-.9 percentage point) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +86 open in Japan
- China A50 Futures: Indicating -66 open in China
- DAX Futures: Indicating +32 open in Germany
Portfolio:
- Slightly Higher: On gains in my commodity/tech sector longs and index hedges
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
No comments:
Post a Comment