Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.7 +4.1%
- DJIA Intraday % Swing .48 -47.7%
- Bloomberg Global Risk On/Risk Off Index 65.5 +2.3%
- Euro/Yen Carry Return Index 184.9 -.21%
- Emerging Markets Currency Volatility(VXY) 7.7 +1.6%
- CBOE S&P 500 Implied Correlation Index 12.1 +1.3%
- ISE Sentiment Index 135.0 -15.0
- Total Put/Call .90 +7.1%
- NYSE Arms .83 -15.3%
- NYSE Non-Block Money Flow -$209.4M
Credit Investor Angst:
- North American Investment Grade CDS Index 50.0 -.08%
- US Energy High-Yield OAS 264.0 -.35%
- Bloomberg TRACE # Distressed Bonds Traded 298 -2
- European Financial Sector CDS Index 60.7 +3.8%
- Deutsche Bank Subordinated 5Y Credit Default Swap 167.6 +3.3%
- Italian/German 10Y Yld Spread 140.0 basis points +6.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 96.4 +.01%
- Emerging Market CDS Index 165.6 -.64%
- Israel Sovereign CDS 121.8 -1.3%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.8 +.1%
- 2-Year SOFR Swap Spread -13.0 basis points -.25 basis point
- Treasury Repo 3M T-Bill Spread 6.0 basis points -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -2.5 -.5 basis point
- MBS 5/10 Treasury Spread 144.0 +1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 725.0 -5.0 basis points
- Avg. Auto ABS OAS 57.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.4 -.1%
- 3-Month T-Bill Yield 5.38% +2.0 basis points
- China Iron Ore Spot 107.5 USD/Metric Tonne +1.3%
- Dutch TTF Nat Gas(European benchmark) 34.3 euros/megawatt-hour +3.5%
- Citi US Economic Surprise Index -6.6 -1.1 points
- Citi Eurozone Economic Surprise Index 28.2 +2.1 points
- Citi Emerging Markets Economic Surprise Index 4.9 -3.4 points
- S&P 500 Current Quarter EPS Growth Rate YoY(497 of 500 reporting) +7.8% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 258.51 +.26: Growth Rate +13.4% +.2 percentage point, P/E 20.7 unch.
- S&P 500 Current Year Estimated Profit Margin 12.85% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +52.9% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 330.91 +.48: Growth Rate +23.4% +.2 percentage point, P/E 32.2 unch.
- Bloomberg US Financial Conditions Index 1.10 +10.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.06 +4.0 basis points
- US Yield Curve -41.75 basis points (2s/10s) +3.0 basis points
- US Atlanta Fed 2Q GDPNow Forecast +3.1% +50.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 47.1% -.2 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.69% unch.: CPI YoY +3.36% unch.
- 10-Year TIPS Spread 2.31 unch.
- Highest target rate probability for July 31st FOMC meeting: 91.1%(-.7 percentage point) chance of 5.25%-5.5%. Highest target rate probability for Sept. 18th meeting: 51.0%(+1.5 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +277 open in Japan
- China A50 Futures: Indicating -61 open in China
- DAX Futures: Indicating +54 open in Germany
Portfolio:
- Modestly Higher: On gains in my industrial/tech/biotech/consumer discretionary sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
No comments:
Post a Comment