Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 19.9 +19.4%
- DJIA Intraday % Swing 1.08% +73.3%
- Bloomberg Global Risk On/Risk Off Index 68.3 -5.3%
- Euro/Yen Carry Return Index 167.3 -.4%
- Emerging Markets Currency Volatility(VXY) 8.5 -.9%
- CBOE S&P 500 Implied Correlation Index 27.7 +16.8%
- ISE Sentiment Index 108.0 +18.0 points
- Total Put/Call .97 -9.4%
- NYSE Arms .85 -25.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 76.1 +2.1%
- US Energy High-Yield OAS 356.05 +.43%
- Bloomberg TRACE # Distressed Bonds Traded 356 +18
- European Financial Sector CDS Index 98.02 +3.9%
- Deutsche Bank Subordinated 5Y Credit Default Swap 300.95 +.95%
- Italian/German 10Y Yld Spread 204.0 basis points +6.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 125.99 +1.12%
- Emerging Market CDS Index 237.54 +4.1%
- Israel Sovereign CDS 123.68 +11.4%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.89 unch.
- 2-Year SOFR Swap Spread -11.25 basis points -.5 basis point
- TED Spread 17.5 basis points +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -28.25 -1.75 basis points
- MBS 5/10 Treasury Spread 185.0 +3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 912.0 -2.0 basis points
- Avg. Auto ABS OAS 85.0 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 41.2 -.18%
- 3-Month T-Bill Yield 5.48% -2.0 basis points
- China Iron Ore Spot 114.7 USD/Metric Tonne +.31%
- Dutch TTF Nat Gas(European benchmark) 54.0 euros/megawatt-hour +1.9%
- Citi US Economic Surprise Index 51.2 -4.7 points
- Citi Eurozone Economic Surprise Index -42.5 -3.8 points
- Citi Emerging Markets Economic Surprise Index 19.4 +2.5 points
- S&P 500 Current Quarter EPS Growth Rate YoY(32 of 500 reporting) +14.3% +8.5 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 239.98 -.04: Growth Rate +9.2% unch., P/E 18.1 -.1
- S&P 500 Current Year Estimated Profit Margin 12.18% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 267.10 +.14: Growth Rate +57.6% +.1 percentage point, P/E 28.5 -.8
- Bloomberg US Financial Conditions Index -.03 -19.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index -.07 unch.
- US Yield Curve -43.0 basis points (2s/10s) -6.0 basis points
- US Atlanta Fed 2Q GDPNow Forecast +5.15% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +3.70% unch.: CPI YoY +3.42% unch.
- 10-Year TIPS Spread 2.35 +1.0 basis point
- Highest target rate probability for Dec. 13th FOMC meeting: 68.5%(+4.0 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Jan. 31st meeting: 68.5%(+5.7 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -161 open in Japan
- China A50 Futures: Indicating -41 open in China
- DAX Futures: Indicating +78 open in Germany
Portfolio:
- Slightly Higher: On gains in my commodity sector longs, index hedges and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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