Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.5 +3.4%
- DJIA Intraday % Swing .70 -45.9%
- Bloomberg Global Risk On/Risk Off Index 60.5 -2.2%
- Euro/Yen Carry Return Index 184.4 -.5%
- Emerging Markets Currency Volatility(VXY) 7.6 -1.8%
- CBOE S&P 500 Implied Correlation Index 10.1 -.1%
- ISE Sentiment Index 134.0 +1.0
- Total Put/Call .84 +3.7%
- NYSE Arms 1.13 -46.7%
- NYSE Non-Block Money Flow -$284.6M
Credit Investor Angst:
- North American Investment Grade CDS Index 50.6 +2.7%
- US Energy High-Yield OAS 279.2 +5.3%
- Bloomberg TRACE # Distressed Bonds Traded 300 -1
- European Financial Sector CDS Index 64.0 +4.1%
- Deutsche Bank Subordinated 5Y Credit Default Swap 174.8 +3.4%
- Italian/German 10Y Yld Spread 147.0 basis points +8.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 95.5 -.7%
- Emerging Market CDS Index 167.4 +1.4%
- Israel Sovereign CDS 123.0 +.04%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.9 +.08%
- 2-Year SOFR Swap Spread -14.5 basis points -1.25 basis points
- Treasury Repo 3M T-Bill Spread 7.0 basis points unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -4.5 -1.5 basis points
- MBS 5/10 Treasury Spread 141.0 +3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 724.0 unch.
- Avg. Auto ABS OAS 58.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.3 -.2%
- 3-Month T-Bill Yield 5.38% unch.
- China Iron Ore Spot 107.3 USD/Metric Tonne +.9%
- Dutch TTF Nat Gas(European benchmark) 35.7 euros/megawatt-hour +1.2%
- Citi US Economic Surprise Index -14.2 -4.3 points
- Citi Eurozone Economic Surprise Index 25.6 -2.3 points
- Citi Emerging Markets Economic Surprise Index 6.2 -1.1 points
- S&P 500 Current Quarter EPS Growth Rate YoY(499 of 500 reporting) +7.9% +.1 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 258.90 +.07: Growth Rate +13.5% unch., P/E 20.9 -.1
- S&P 500 Current Year Estimated Profit Margin 12.83% -2.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +52.9% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 332.12 +.13: Growth Rate +23.8% unch., P/E 33.5 +.5
- Bloomberg US Financial Conditions Index 1.09 +20.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.01 +7.0 basis points
- US Yield Curve -44.75 basis points (2s/10s) +.5 basis point
- US Atlanta Fed 2Q GDPNow Forecast +3.1% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 50.2% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.56% -13.0 basis points: CPI YoY +3.15% -21.0 basis points
- 10-Year TIPS Spread 2.22 -2.0 basis points
- Highest target rate probability for Sept. 18th FOMC meeting: 61.6%(+2.0 percentage points) chance of 5.0%-5.25%. Highest target rate probability for Nov. 7th meeting: 49.6%(-1.2 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -95 open in Japan
- China A50 Futures: Indicating -78 open in China
- DAX Futures: Indicating +35 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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