Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.4 -7.0%
- DJIA Intraday % Swing .74% -8.2%
- Bloomberg Global Risk On/Risk Off Index 63.6 +.3%
- Euro/Yen Carry Return Index 170.9 +1.2%
- Emerging Markets Currency Volatility(VXY) 8.17 -1.5%
- CBOE S&P 500 Implied Correlation Index 30.2 -6.7%
- ISE Sentiment Index 100.0 +12.0
- Total Put/Call 1.03 -4.6%
- NYSE Arms 1.13 +32.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 79.08 -2.21%
- US Energy High-Yield OAS 358.8 -2.9%
- Bloomberg TRACE # Distressed Bonds Traded 367 +2
- European Financial Sector CDS Index 98.8 -2.6%
- Deutsche Bank Subordinated 5Y Credit Default Swap 287.79 -1.74%
- Italian/German 10Y Yld Spread 192.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 137.9 -.33%
- Emerging Market CDS Index 228.02 -1.8%
- Israel Sovereign CDS 137.75 -3.2%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.60 -.06%
- 2-Year SOFR Swap Spread -11.5 basis points +.75 basis point
- TED Spread 17.5 basis points -2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -25.0 +.75 basis point
- MBS 5/10 Treasury Spread 183.0 -2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 921.0 unch.
- Avg. Auto ABS OAS 96.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 41.3 -.1%
- 3-Month T-Bill Yield 5.46% unch.
- China Iron Ore Spot 122.2 USD/Metric Tonne +.49%
- Dutch TTF Nat Gas(European benchmark) 48.0 euros/megawatt-hour-9.5%
- Citi US Economic Surprise Index 63.4 +2.0 points
- Citi Eurozone Economic Surprise Index -45.5 -3.9 points
- Citi Emerging Markets Economic Surprise Index 26.3 +.2 point
- S&P 500 Current Quarter EPS Growth Rate YoY(281 of 500 reporting) +2.5% -3.2 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 240.54 unch.: Growth Rate +9.4% unch., P/E 17.3 unch.
- S&P 500 Current Year Estimated Profit Margin 12.14% -1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(6 of 10 reporting) +51.9% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 272.65 +.52: Growth Rate +60.9% +.4 percentage point, P/E 26.4 -.3
- Bloomberg US Financial Conditions Index -.14 +5.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index n/a
- US Yield Curve -19.75 basis points (2s/10s) -3.0 basis points
- US Atlanta Fed 3Q GDPNow Forecast +2.26% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +3.63% unch.: CPI YoY +3.28% -4.0 basis points
- 10-Year TIPS Spread 2.42 -1.0 basis point
- Highest target rate probability for Dec. 13th FOMC meeting: 68.9%(-5.5 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Jan. 31st meeting: 60.6%(-6.2 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +461 open in Japan
- China A50 Futures: Indicating +31 open in China
- DAX Futures: Indicating +82 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/transport/industrial/utility sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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