Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 14.0 +7.5%
- DJIA Intraday % Swing .81 +146.1%
- Bloomberg Global Risk On/Risk Off Index 66.7 -1.0%
- Euro/Yen Carry Return Index 176.8 -.3%
- Emerging Markets Currency Volatility(VXY) 6.5 +.8%
- CBOE S&P 500 Implied Correlation Index 14.2 +7.4%
- ISE Sentiment Index 137.0 +11.0
- Total Put/Call .92 -24.6%
- NYSE Arms .79 unch.
- NYSE Non-Block Money Flow -$194.9M
Credit Investor Angst:
- North American Investment Grade CDS Index 52.1 +1.2%
- US Energy High-Yield OAS 279.4 -.38%
- Bloomberg TRACE # Distressed Bonds Traded 284 -2
- European Financial Sector CDS Index 63.4 +.03%
- Deutsche Bank Subordinated 5Y Credit Default Swap 186.2 +.42%
- Italian/German 10Y Yld Spread 138.0 basis points +6.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 102.2 -.26%
- Emerging Market CDS Index 168.4 -.15%
- Israel Sovereign CDS 117.7 -.01%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.6 -.06%
- 2-Year SOFR Swap Spread -8.75 basis points -1.0 basis point
- Treasury Repo 3M T-Bill Spread 5.0 basis points -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -4.25 -.25 basis point
- MBS 5/10 Treasury Spread 142.0 +6.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 788.0 +3.0 basis points
- Avg. Auto ABS OAS 61.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.6 +.01%
- 3-Month T-Bill Yield 5.37% +1.0 basis point
- China Iron Ore Spot 102.7 USD/Metric Tonne +1.4%
- Dutch TTF Nat Gas(European benchmark) 27.4 euros/megawatt-hour unch.
- Citi US Economic Surprise Index 39.0 +8.3 points
- Citi Eurozone Economic Surprise Index 37.0 -4.8 points
- Citi Emerging Markets Economic Surprise Index 22.8 +4.1 points
- S&P 500 Current Quarter EPS Growth Rate YoY(16 of 500 reporting) +43.6% -4.1 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 250.50 +.46: Growth Rate +12.3% +.3 percentage point, P/E 20.9 unch.
- S&P 500 Current Year Estimated Profit Margin 12.86% +2.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) +n/a
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 312.12 +.48: Growth Rate +29.9% +.2 percentage point, P/E 32.1 unch.
- Bloomberg US Financial Conditions Index 1.08 -3.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.0 -5.0 basis points
- US Yield Curve -38.75 basis points (2s/10s) -1.0 basis point
- US Atlanta Fed 1Q GDPNow Forecast +2.8% +70.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 55.9% -.8 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.67% -11.0 basis points: CPI YoY +3.41% unch.
- 10-Year TIPS Spread 2.35 +4.0 basis points
- Highest target rate probability for June 12th FOMC meeting: 56.9%(+1.7 percentage points) chance of 5.0%-5.25%. Highest target rate probability for July 31st meeting: 48.1%(+3.5 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +203 open in Japan
- China A50 Futures: Indicating +9 open in China
- DAX Futures: Indicating +283 open in Germany
Portfolio:
- Slightly Lower: On losses in my consumer discretionary/financial/industrial/transport sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
No comments:
Post a Comment