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) 15.4 -3.2%
- DJIA Intraday % Swing .84%
- Bloomberg Global Risk On/Risk Off Index 71.5 +2.9%
- Euro/Yen Carry Return Index 167.7 -.16%
- Emerging Markets Currency Volatility(VXY) 8.97 +.67%
- CBOE S&P 500 Implied Correlation Index 22.1 -.9%
- ISE Sentiment Index 105.0 +24.0 points
- Total Put/Call .92 -13.2%
- NYSE Arms .87 -5.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.7 -.24%
- US Energy High-Yield OAS 332.1 +.01%
- Bloomberg TRACE # Distressed Bonds Traded 353.0 +5.0
- European Financial Sector CDS Index 81.5 +1.2%
- Deutsche Bank Subordinated 5Y Credit Default Swap 237.5 -.92%
- Italian/German 10Y Yld Spread 163.0 basis points +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 99.8 +3.0%
- Emerging Market CDS Index 202.8 +1.2%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.4 unch.
- 2-Year SOFR Swap Spread -10.75 basis points +.75 basis point
- TED Spread 20.75 basis points +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -10.75 +.5 basis point
- MBS 5/10 Treasury Spread 175.0 +3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 746.0 -11.0 basis points
- Avg. Auto ABS OAS 68.0 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 42.5 -.3%
- 3-Month T-Bill Yield 5.43% unch.
- China Iron Ore Spot 102.3 USD/Metric Tonne +.9%
- Dutch TTF Nat Gas(European benchmark) 35.3 euros/megawatt-hour -4.7%
- Citi US Economic Surprise Index 73.7 -.7 point
- Citi Eurozone Economic Surprise Index -83.3 +1.7 points
- Citi Emerging Markets Economic Surprise Index 2.6 -4.4 points
- S&P 500 Current Quarter EPS Growth Rate YoY(455 of 500 reporting) -8.3% -.1 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 234.09 +.09: Growth Rate +7.0% unch., P/E 19.1 -.1
- S&P 500 Current Year Estimated Profit Margin 12.14% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(8 of 10 reporting) +17.0% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 231.54 +.54: Growth Rate +41.1% +.3 percentage point, P/E 32.5 -.6
- Bloomberg US Financial Conditions Index .37 +3.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index -.08 +4.0 basis points
- US Yield Curve -72.75 basis points (2s/10s) +1.25 basis points
- US Atlanta Fed 2Q GDPNow Forecast +4.12% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +4.23% unch.: CPI YoY +3.81% unch.
- 10-Year TIPS Spread 2.37 +3.0 basis points
- Highest target rate probability for Nov. 1st FOMC meeting: 66.1%(-3.7 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Dec. 13th meeting: 62.5%(-2.1 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +22 open in Japan
- China A50 Futures: Indicating -135 open in China
- DAX Futures: Indicating +69 open in Germany
Portfolio:
- Higher: On gains in my medical/utility/commodity sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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