Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 17.8 +4.2%
- DJIA Intraday % Swing .69% -21.3%
- Bloomberg Global Risk On/Risk Off Index 69.7 -2.4%
- Euro/Yen Carry Return Index 168.5 +.4%
- Emerging Markets Currency Volatility(VXY) 8.7 -1.5%
- CBOE S&P 500 Implied Correlation Index 24.5 -.08%
- ISE Sentiment Index 110.0 +5.0 points
- Total Put/Call 1.21 +22.0%
- NYSE Arms 1.19 +61.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.2 -.31%
- US Energy High-Yield OAS 353.34 +.22%
- Bloomberg TRACE # Distressed Bonds Traded 338 -42
- European Financial Sector CDS Index 95.69 +.54%
- Deutsche Bank Subordinated 5Y Credit Default Swap 301.6 -4.2%
- Italian/German 10Y Yld Spread 195.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 128.3 -.93%
- Emerging Market CDS Index 229.08 +.22%
- Israel Sovereign CDS 100.9 +3.7%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.8 unch.
- 2-Year SOFR Swap Spread -10.5 basis points unch.
- TED Spread 18.75 basis points +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -26.5 +3.75 basis points
- MBS 5/10 Treasury Spread 179.0 -1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 913.0 +4.0 basis points
- Avg. Auto ABS OAS 86.0 +4.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 41.4 +.19%
- 3-Month T-Bill Yield 5.50% +2.0 basis points
- China Iron Ore Spot 112.1 USD/Metric Tonne -.36%
- Dutch TTF Nat Gas(European benchmark) 46.1 euros/megawatt-hour -6.9%
- Citi US Economic Surprise Index 55.4 -1.4 points
- Citi Eurozone Economic Surprise Index -39.0 +.3 point
- Citi Emerging Markets Economic Surprise Index 13.5 +1.2 points
- S&P 500 Current Quarter EPS Growth Rate YoY(21 of 500 reporting) +4.9% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 240.04 +.09: Growth Rate +9.2% unch., P/E 18.2 -.1
- S&P 500 Current Year Estimated Profit Margin 12.18% -1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 266.76 +.10: Growth Rate +57.4% +.1 percentage point, P/E 28.9 -.2
- Bloomberg US Financial Conditions Index .10 +13.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index -.20 +83.0 basis points
- US Yield Curve -41.75 basis points (2s/10s) -9.0 basis points
- US Atlanta Fed 2Q GDPNow Forecast +5.15% +29.0 basis points
- Cleveland Fed Inflation Nowcast Core PCE YoY +3.73% unch.: CPI YoY +3.69% unch.
- 10-Year TIPS Spread 2.32 unch.
- Highest target rate probability for Dec. 13th FOMC meeting: 72.1%(-.8 percentage point) chance of 5.25%-5.5%. Highest target rate probability for Jan. 31st meeting: 69.3%(-.6 percentage point) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +39 open in Japan
- China A50 Futures: Indicating +139 open in China
- DAX Futures: Indicating +103 open in Germany
Portfolio:
- Higher: On gains in my industrial/tech/transport sector longs
- Disclosed Trades: Took profits in my medical longs and added utility longs
- Market Exposure: 75% Net Long
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