Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.3 -2.2%
- DJIA Intraday % Swing .42 -32.6%
- Bloomberg Global Risk On/Risk Off Index 63.6 -1.2%
- Euro/Yen Carry Return Index 184.7 +.44%
- Emerging Markets Currency Volatility(VXY) 6.93 +.14%
- CBOE S&P 500 Implied Correlation Index 15.8 -4.9%
- ISE Sentiment Index 147.0 -5.0
- Total Put/Call .88 -2.2%
- NYSE Arms .61 -30.0%
- NYSE Non-Block Money Flow +$85.1M
Credit Investor Angst:
- North American Investment Grade CDS Index 50.5 -.08%
- US Energy High-Yield OAS 263.4 +2.2%
- Bloomberg TRACE # Distressed Bonds Traded 291 +1
- European Financial Sector CDS Index 59.91 +.37%
- Deutsche Bank Subordinated 5Y Credit Default Swap 178.32 +.66%
- Italian/German 10Y Yld Spread 134.0 basis points -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 97.0 -2.2%
- Emerging Market CDS Index 161.60 -.57%
- Israel Sovereign CDS 129.53 -.18%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.73 +.22%
- 2-Year SOFR Swap Spread -8.5 basis points unch.
- Treasury Repo 3M T-Bill Spread 8.25 basis points -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -3.75 unch.
- MBS 5/10 Treasury Spread 139.0 -1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 743.0 -2.0 basis points
- Avg. Auto ABS OAS 59.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.7 +.16%
- 3-Month T-Bill Yield 5.38% -1.0 basis point
- China Iron Ore Spot 114.3 USD/Metric Tonne -.54%
- Dutch TTF Nat Gas(European benchmark) 29.67 euros/megawatt-hour +.31%
- Citi US Economic Surprise Index -16.2 +1.7
- Citi Eurozone Economic Surprise Index 19.9 +.1 point
- Citi Emerging Markets Economic Surprise Index 25.1 -.6 point
- S&P 500 Current Quarter EPS Growth Rate YoY(460 of 500 reporting) +5.4% -.1 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 255.50 +.09: Growth Rate +14.5% +.1 percentage point, P/E 20.4 -.1
- S&P 500 Current Year Estimated Profit Margin 12.88% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +37.2% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 326.46 +.04: Growth Rate +35.9% unch., P/E 31.3 +.1
- Bloomberg US Financial Conditions Index 1.10 -6.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .95 -9.0 basis points
- US Yield Curve -37.5 basis points (2s/10s) +.25 basis point
- US Atlanta Fed 2Q GDPNow Forecast +4.2% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 47.4% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.50% unch.
- 10-Year TIPS Spread 2.33 -1.0 basis point
- Highest target rate probability for July 31st FOMC meeting: 70.4%(-4.2 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Sept. 18th meeting: 49.8%(+1.2 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +230 open in Japan
- China A50 Futures: Indicating +7 open in China
- DAX Futures: Indicating +160 open in Germany
Portfolio:
- Higher: On gains in my financial/consumer discretionary/biotech/tech/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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