Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.7 -.9%
- DJIA Intraday % Swing .83%
- Bloomberg Global Risk On/Risk Off Index 69.1 -2.2%
- Euro/Yen Carry Return Index 166.99 -.46%
- Emerging Markets Currency Volatility(VXY) 9.16 -.87%
- CBOE S&P 500 Implied Correlation Index 25.7 -.39%
- ISE Sentiment Index 84.0 -12.0 points
- Total Put/Call 1.15 +1.77%
- NYSE Arms 1.07 +64.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 70.99 +1.14%
- US Energy High-Yield OAS 340.9 +.13%
- Bloomberg TRACE # Distressed Bonds Traded 367.0 +6.0
- European Financial Sector CDS Index 88.6 +2.2%
- Deutsche Bank Subordinated 5Y Credit Default Swap 262.9 +5.3%
- Italian/German 10Y Yld Spread 171.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 134.8 +4.0%
- Emerging Market CDS Index 221.94 +1.1%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.73 -.62%
- 2-Year SOFR Swap Spread -11.25 basis points -.25 basis point
- TED Spread 20.75 basis points -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -12.25 -1.25 basis points
- MBS 5/10 Treasury Spread 181.0 +1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 745.0 unch.
- Avg. Auto ABS OAS 69.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 42.4 +.12%
- 3-Month T-Bill Yield 5.43% -1.0 basis point
- China Iron Ore Spot 104.9 USD/Metric Tonne -1.8%
- Dutch TTF Nat Gas(European benchmark) 36.4 euros/megawatt-hour -1.1%
- Citi US Economic Surprise Index 77.6 -1.3 points
- Citi Eurozone Economic Surprise Index -62.9 +2.0 points
- Citi Emerging Markets Economic Surprise Index 4.3 +1.0 point
- S&P 500 Current Quarter EPS Growth Rate YoY(471 of 500 reporting) -7.5% +.2 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 234.92 +.15: Growth Rate +7.1% unch., P/E 18.6 -.1
- S&P 500 Current Year Estimated Profit Margin 12.14% -1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(8 of 10 reporting) +17.0% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 233.53 +.29: Growth Rate +42.3% +.1 percentage point, P/E 31.2 -.5
- Bloomberg US Financial Conditions Index .19 +1.0 basis point
- Bloomberg Euro-Zone Financial Conditions Index -.09 -6.0 basis points
- US Yield Curve -67.75 basis points (2s/10s) -.75 basis point
- 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 2.32 -2.0 basis points
- Highest target rate probability for Nov. 1st FOMC meeting: 65.0%(+7.1 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Dec. 13th meeting: 60.7%(+5.5 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +20 open in Japan
- China A50 Futures: Indicating -94 open in China
- DAX Futures: Indicating +46 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/tech sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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