Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.9 +.7%
- DJIA Intraday % Swing .48 -49.0%
- Bloomberg Global Risk On/Risk Off Index 69.8 +.9%
- Euro/Yen Carry Return Index 178.8 +.6%
- Emerging Markets Currency Volatility(VXY) 6.3 +1.0%
- CBOE S&P 500 Implied Correlation Index 14.1 +1.2%
- ISE Sentiment Index 156.0 +37.0
- Total Put/Call .83 -19.4%
- NYSE Arms .99 -23.3%
- NYSE Non-Block Money Flow -$102.2M
Credit Investor Angst:
- North American Investment Grade CDS Index 53.2 (new series)
- US Energy High-Yield OAS 285.09 +.21%
- Bloomberg TRACE # Distressed Bonds Traded 290 +26
- European Financial Sector CDS Index 64.79 (new series)
- Deutsche Bank Subordinated 5Y Credit Default Swap 192.75 (new series)
- Italian/German 10Y Yld Spread 128.0 basis points +3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 104.6 (new series)
- Emerging Market CDS Index 173.2 (new series)
- Israel Sovereign CDS 122.2 (new series)
- China Corp. High-Yield Bond USD ETF(KHYB) 24.7 +.1%
- 2-Year SOFR Swap Spread -8.75 basis points +1.0 basis point
- Treasury Repo 3M T-Bill Spread 8.5 basis points +2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -3.5 +.25 basis point
- MBS 5/10 Treasury Spread 144.0 -4.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 803.0 -6.0 basis points
- Avg. Auto ABS OAS 61.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.7 +.04%
- 3-Month T-Bill Yield 5.39% +2.0 basis points
- China Iron Ore Spot 106.0 USD/Metric Tonne +.26%
- Dutch TTF Nat Gas(European benchmark) 27.7 euros/megawatt-hour -3.9%
- Citi US Economic Surprise Index 24.6 -.4 point
- Citi Eurozone Economic Surprise Index 53.8 -.5 point
- Citi Emerging Markets Economic Surprise Index 19.3 -1.2 points
- S&P 500 Current Quarter EPS Growth Rate YoY(6 of 500 reporting) +16.5% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 249.21 +.11: Growth Rate +11.7% +.1 percentage point, P/E 20.8 +.1
- S&P 500 Current Year Estimated Profit Margin 12.83% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(10 of 10 reporting) +55.2% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 310.45 +.28: Growth Rate +29.2% +.1 percentage point, P/E 32.0 +.4
- Bloomberg US Financial Conditions Index 1.16 unch.
- Bloomberg Euro-Zone Financial Conditions Index 1.07 -1.0 basis point
- US Yield Curve -34.0 basis points (2s/10s) +5.5 basis points
- US Atlanta Fed 1Q GDPNow Forecast +2.1% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 55.4% +3.7 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.78% unch.: CPI YoY +3.37% unch.
- 10-Year TIPS Spread 2.32 +2.0 basis points
- Highest target rate probability for June 12th FOMC meeting: 70.9%(+17.3 percentage points) chance of 5.0%-5.25%. Highest target rate probability for July 31st meeting: 49.6%(-.1 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +220 open in Japan
- China A50 Futures: Indicating +36 open in China
- DAX Futures: Indicating +343 open in Germany
Portfolio:
- Higher: On gains in my industrial/consumer discretionary/transport/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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