Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 15.4 -4.1%
- DJIA Intraday % Swing .35 -68.9%
- Bloomberg Global Risk On/Risk Off Index 68.4 +.6%
- Euro/Yen Carry Return Index 179.1 +.34%
- Emerging Markets Currency Volatility(VXY) 6.6 -.8%
- CBOE S&P 500 Implied Correlation Index 16.6 -5.3%
- ISE Sentiment Index 155.0 +27.0
- Total Put/Call 1.03 -14.9%
- NYSE Arms .93 +20.8%
- NYSE Non-Block Money Flow +$94.1M
Credit Investor Angst:
- North American Investment Grade CDS Index 51.5 -2.2%
- US Energy High-Yield OAS 264.2 -1.4%
- Bloomberg TRACE # Distressed Bonds Traded 251 -17
- European Financial Sector CDS Index 62.4 -1.3%
- Deutsche Bank Subordinated 5Y Credit Default Swap 184.2 -.52%
- Italian/German 10Y Yld Spread 139.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 104.75 -1.1%
- Emerging Market CDS Index 168.4 -1.0%
- Israel Sovereign CDS 123.5 -5.0%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.64 -.04%
- 2-Year SOFR Swap Spread -9.75 basis points -.75 basis point
- Treasury Repo 3M T-Bill Spread 6.25 basis points +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -3.5 -.75 basis point
- MBS 5/10 Treasury Spread 142.0 +5.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 776.0 -6.0 basis points
- Avg. Auto ABS OAS 58.0 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.9 +.13%
- 3-Month T-Bill Yield 5.37% +1.0 basis point
- China Iron Ore Spot 105.2 USD/Metric Tonne +.9%
- Dutch TTF Nat Gas(European benchmark) 27.91 euros/megawatt-hour +4.9%
- Citi US Economic Surprise Index 39.2 +2.6 points
- Citi Eurozone Economic Surprise Index 36.4 -4.3 points
- Citi Emerging Markets Economic Surprise Index 27.8 +1.8 points
- S&P 500 Current Quarter EPS Growth Rate YoY(19 of 500 reporting) +39.5% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 251.30 +.35: Growth Rate +12.6% +.2 percentage point, P/E 20.7 -.1
- 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 312.53 +.64: Growth Rate +30.1% +.3 percentage point, P/E 32.2 -.1
- Bloomberg US Financial Conditions Index 1.01 +10.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .95 -5.0 basis points
- US Yield Curve -37.0 basis points (2s/10s) -2.0 basis points
- US Atlanta Fed 1Q GDPNow Forecast +2.5% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 48.4% -3.8 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.67% unch.: CPI YoY +3.41% unch.
- 10-Year TIPS Spread 2.39 +1.0 basis point
- Highest target rate probability for June 12th FOMC meeting: 51.3%(+.5 percentage point) chance of 5.0%-5.25%. Highest target rate probability for July 31st meeting: 50.3%(+1.2 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +148 open in Japan
- China A50 Futures: Indicating +23 open in China
- DAX Futures: Indicating +169 open in Germany
Portfolio:
- Slightly Lower: On losses in my consumer discretionary/tech/financial sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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