Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.8 -3.0%
- DJIA Intraday % Swing .38 +13.4%
- Bloomberg Global Risk On/Risk Off Index 67.8 +1.7%
- Euro/Yen Carry Return Index 177.8 -.2%
- Emerging Markets Currency Volatility(VXY) 6.4 +1.4%
- CBOE S&P 500 Implied Correlation Index 12.6 +2.8%
- ISE Sentiment Index 131.0 -32.0
- Total Put/Call 1.0 unch.
- NYSE Arms .92 -13.2%
- NYSE Non-Block Money Flow +$325.3M
Credit Investor Angst:
- North American Investment Grade CDS Index 52.2 -1.9%
- US Energy High-Yield OAS 284.4 +.5%
- Bloomberg TRACE # Distressed Bonds Traded 286 +2
- European Financial Sector CDS Index 64.1 -1.1%
- Deutsche Bank Subordinated 5Y Credit Default Swap 188.2 -.25%
- Italian/German 10Y Yld Spread 132.0 basis points +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 103.4 +.04%
- Emerging Market CDS Index 169.2 -.41%
- Israel Sovereign CDS 117.6 +.3%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.7 +.3%
- 2-Year SOFR Swap Spread -7.75 basis points -.25 basis point
- Treasury Repo 3M T-Bill Spread 5.5 basis points -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -4.5 -.5 basis point
- MBS 5/10 Treasury Spread 136.0 -1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 785.0 unch.
- Avg. Auto ABS OAS 60.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.7 -.09%
- 3-Month T-Bill Yield 5.36% unch.
- China Iron Ore Spot 102.0 USD/Metric Tonne +.7%
- Dutch TTF Nat Gas(European benchmark) 27.7 euros/megawatt-hour +2.1%
- Citi US Economic Surprise Index 30.7 -.3 point
- Citi Eurozone Economic Surprise Index 41.8 -2.1 points
- Citi Emerging Markets Economic Surprise Index 17.7 +.4 point
- S&P 500 Current Quarter EPS Growth Rate YoY(15 of 500 reporting) +47.7% +7.5 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 250.04 +.19: Growth Rate +12.0% unch., P/E 20.9 unch.
- S&P 500 Current Year Estimated Profit Margin 12.84% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) +n/a
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 311.64 +.29: Growth Rate +29.7% +.1 percentage point, P/E 32.1 -.6
- Bloomberg US Financial Conditions Index 1.11 -2.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.05 -2.0 basis points
- US Yield Curve -37.75 basis points (2s/10s) -1.25 basis points
- US Atlanta Fed 1Q GDPNow Forecast +2.1% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 56.7% +.7 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.78% unch.: CPI YoY +3.41% unch.
- 10-Year TIPS Spread 2.31 -1.0 basis point
- Highest target rate probability for June 12th FOMC meeting: 63.5%(-.3 percentage point) chance of 5.0%-5.25%. Highest target rate probability for July 31st meeting: 48.1%(-1.0 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -332 open in Japan
- China A50 Futures: Indicating +20 open in China
- DAX Futures: Indicating +270 open in Germany
Portfolio:
- Slightly Higher: On gains in my consumer discretionary/financial/industrial/transport sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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