Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 14.3 -2.3%
- DJIA Intraday % Swing .45 -10.6%
- Bloomberg Global Risk On/Risk Off Index 68.3 +.9%
- Euro/Yen Carry Return Index 178.4 +.7%
- Emerging Markets Currency Volatility(VXY) 6.6 +.6%
- CBOE S&P 500 Implied Correlation Index 14.8 -4.0%
- ISE Sentiment Index 157.0 +8.0
- Total Put/Call .93 -1.1%
- NYSE Arms .95 +14.5%
- NYSE Non-Block Money Flow -$82.7M
Credit Investor Angst:
- North American Investment Grade CDS Index 51.9 -1.5%
- US Energy High-Yield OAS 280.80 -.93%
- Bloomberg TRACE # Distressed Bonds Traded 280 +20
- European Financial Sector CDS Index 64.0 -.3%
- Deutsche Bank Subordinated 5Y Credit Default Swap 186.4 unch.
- Italian/German 10Y Yld Spread 146.0 basis points +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 103.4 +.2%
- Emerging Market CDS Index 168.9 -1.3%
- Israel Sovereign CDS 117.6 +.09%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.7 +.27%
- 2-Year SOFR Swap Spread -8.75 basis points +.25 basis point
- Treasury Repo 3M T-Bill Spread 3.5 basis points +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.5 +.25 basis point
- MBS 5/10 Treasury Spread 140.0 +1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 782.0 -2.0 basis points
- Avg. Auto ABS OAS 60.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.9 +.4%
- 3-Month T-Bill Yield 5.37% +1.0 basis point
- China Iron Ore Spot 98.3 USD/Metric Tonne -1.3%
- Dutch TTF Nat Gas(European benchmark) 25.6 euros/megawatt-hour -2.4%
- Citi US Economic Surprise Index 38.6 -2.4 points
- Citi Eurozone Economic Surprise Index 34.1 -6.2 points
- Citi Emerging Markets Economic Surprise Index 21.3 -1.5 points
- S&P 500 Current Quarter EPS Growth Rate YoY(17 of 500 reporting) +42.1% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 250.85 +.20: Growth Rate +12.4% +.1 percentage point, P/E 20.8 +.1
- S&P 500 Current Year Estimated Profit Margin 12.86% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) +n/a
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 311.92 -.49: Growth Rate +29.8% -.2 percentage point, P/E 32.1 +.4
- Bloomberg US Financial Conditions Index 1.05 -7.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .99 -72.0 basis points
- US Yield Curve -32.5 basis points (2s/10s) +1.5 basis points
- US Atlanta Fed 1Q GDPNow Forecast +2.8% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 51.3% -.1 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.67% unch.: CPI YoY +3.41% unch.
- 10-Year TIPS Spread 2.36 -1.0 basis point
- Highest target rate probability for June 12th FOMC meeting: 61.7%(+.2 percentage point) chance of 5.0%-5.25%. Highest target rate probability for July 31st meeting: 52.2%(-.5 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +670 open in Japan
- China A50 Futures: Indicating +39 open in China
- DAX Futures: Indicating +260 open in Germany
Portfolio:
- Higher: On gains in my consumer discretionary/financial/tech/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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