Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.9 -1.3%
- DJIA Intraday % Swing .29 -59.1%
- Bloomberg Global Risk On/Risk Off Index 67.6 -1.9%
- Euro/Yen Carry Return Index 182.2 -1.2%
- Emerging Markets Currency Volatility(VXY) 7.0 unch.
- CBOE S&P 500 Implied Correlation Index 17.0 -5.5%
- ISE Sentiment Index 131.0 +5.0
- Total Put/Call .88 -12.0%
- NYSE Arms 1.30 +1.6%
- NYSE Non-Block Money Flow +$150.9M
Credit Investor Angst:
- North American Investment Grade CDS Index 52.1 +.07%
- US Energy High-Yield OAS 255.4 -.81%
- Bloomberg TRACE # Distressed Bonds Traded 282 +7
- European Financial Sector CDS Index 62.6 -.8%
- Deutsche Bank Subordinated 5Y Credit Default Swap 188.0 -.1%
- Italian/German 10Y Yld Spread 132.0 basis points -4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 113.5 -2.1%
- Emerging Market CDS Index 172.2 -1.3%
- Israel Sovereign CDS 135.4 +.5%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.4 +.12%
- 2-Year SOFR Swap Spread -7.75 basis points +2.0 basis points
- Treasury Repo 3M T-Bill Spread 8.5 basis points -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -4.25 +.25 basis point
- MBS 5/10 Treasury Spread 148.0 -2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 770.0 -2.0 basis points
- Avg. Auto ABS OAS 58.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.4 +.08%
- 3-Month T-Bill Yield 5.39% -2.0 basis points
- China Iron Ore Spot 117.6 USD/Metric Tonne +.34%
- Dutch TTF Nat Gas(European benchmark) 28.0 euros/megawatt-hour -3.1%
- Citi US Economic Surprise Index 14.0 +.8 point
- Citi Eurozone Economic Surprise Index 15.5 -16.1 points
- Citi Emerging Markets Economic Surprise Index 41.6 +2.6 points
- S&P 500 Current Quarter EPS Growth Rate YoY(232 of 500 reporting) +3.4% +1.9 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 253.70 +.88: Growth Rate +13.7% +.4 percentage point, P/E 20.2 +.3
- S&P 500 Current Year Estimated Profit Margin 12.87% +3.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(5 of 10 reporting) +42.4% -20.1 percentage points
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 318.91 +3.30: Growth Rate +32.7% +1.3 percentage points, P/E 31.2 +1.1
- Bloomberg US Financial Conditions Index 1.04 +1.0 basis point
- Bloomberg Euro-Zone Financial Conditions Index .85 +6.0 basis points
- US Yield Curve -35.25 basis points (2s/10s) -5.75 basis points
- US Atlanta Fed 2Q GDPNow Forecast +3.9% +120.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 40.6% -1.6 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.49% unch.
- 10-Year TIPS Spread 2.41 -2.0 basis points
- Highest target rate probability for June 12th FOMC meeting: 88.4%(-.5 percentage point) chance of 5.25%-5.5%. Highest target rate probability for July 31st meeting: 70.1%(+1.4 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +335 open in Japan
- China A50 Futures: Indicating +58 open in China
- DAX Futures: Indicating +170 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/industrial sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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