Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 21.2 +11.8%
- DJIA Intraday % Swing .84% +12.6%
- Bloomberg Global Risk On/Risk Off Index 63.8 -2.4%
- Euro/Yen Carry Return Index 169.06 -.11%
- Emerging Markets Currency Volatility(VXY) 8.40 +.36%
- CBOE S&P 500 Implied Correlation Index 33.5 +19.1%
- ISE Sentiment Index 89.0 -24.0
- Total Put/Call .96 +4.4%
- NYSE Arms .93 -15.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 80.2 +3.2%
- US Energy High-Yield OAS 368.67 +.27%
- Bloomberg TRACE # Distressed Bonds Traded 329 -1
- European Financial Sector CDS Index 100.68 +2.1%
- Deutsche Bank Subordinated 5Y Credit Default Swap 297.60 -1.7%
- Italian/German 10Y Yld Spread 203.0 basis points +4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 134.2 -.2%
- Emerging Market CDS Index 238.7 +2.2%
- Israel Sovereign CDS 142.60 +.44%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.7 -.14%
- 2-Year SOFR Swap Spread -10.75 basis points +2.75 basis points
- TED Spread 18.25 basis points -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -24.25 +.75 basis point
- MBS 5/10 Treasury Spread 189.0 +3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 931.0 +1.0 basis point
- Avg. Auto ABS OAS 93.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 41.2 -.11%
- 3-Month T-Bill Yield 5.46% +2.0 basis points
- China Iron Ore Spot 116.7 USD/Metric Tonne -.44%
- Dutch TTF Nat Gas(European benchmark) 49.9 euros/megawatt-hour +1.3%
- Citi US Economic Surprise Index 52.6 +3.6 points
- Citi Eurozone Economic Surprise Index -41.2 +2.7 points
- Citi Emerging Markets Economic Surprise Index 22.7 -.3
- S&P 500 Current Quarter EPS Growth Rate YoY(146 of 500 reporting) +8.5% +6.6 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 240.26 unch.: Growth Rate +9.3% unch., P/E 17.5 -.2
- S&P 500 Current Year Estimated Profit Margin 12.10% -2.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(4 of 10 reporting) +22.8% +43.7 percentage points
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 268.39 +.24: Growth Rate +58.3% +.1 percentage point, P/E 27.4 -.5
- Bloomberg US Financial Conditions Index -.17 -1.0 basis point
- Bloomberg Euro-Zone Financial Conditions Index -.09 +7.0 basis points
- US Yield Curve -16.5 basis points (2s/10s) +9.5 basis points
- US Atlanta Fed 2Q GDPNow Forecast +5.41% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +3.70% unch.: CPI YoY +3.32% unch.
- 10-Year TIPS Spread 2.44 +4.0 basis points
- Highest target rate probability for Dec. 13th FOMC meeting: 68.9%(-5.7 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Jan. 31st meeting: 60.6%(-4.7 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -295 open in Japan
- China A50 Futures: Indicating -9 open in China
- DAX Futures: Indicating +6 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/industrial/transport sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
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