Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.5 -.3%
- DJIA Intraday % Swing .51 -22.4%
- Bloomberg Global Risk On/Risk Off Index 57.8 +3.2%
- Euro/Yen Carry Return Index 188.6 -.2%
- Emerging Markets Currency Volatility(VXY) 7.8 -.6%
- CBOE S&P 500 Implied Correlation Index 9.4 -.9%
- ISE Sentiment Index 173.0 +10.0
- Total Put/Call .72 -1.4%
- NYSE Arms 1.11 +11.0%
- NYSE Non-Block Money Flow -$108.4M
Credit Investor Angst:
- North American Investment Grade CDS Index 53.98 -.6%
- US Energy High-Yield OAS 273.5 +1.1%
- Bloomberg TRACE # Distressed Bonds Traded 262 -3
- European Financial Sector CDS Index 72.61 +.13%
- Deutsche Bank Subordinated 5Y Credit Default Swap 184.2 +.12%
- Italian/German 10Y Yld Spread 158.0 basis points +4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 99.2 -1.0%
- Emerging Market CDS Index 175.2 +1.6%
- Israel Sovereign CDS 144.0 +7.1%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.7 +.15%
- 2-Year SOFR Swap Spread -13.75 basis points unch.
- Treasury Repo 3M T-Bill Spread 3.75 basis points -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -4.75 -1.25 basis points
- MBS 5/10 Treasury Spread 148.0 unch.
- Bloomberg CMBS Investment Grade Bbb Average OAS 721.0 +3.0 basis points
- Avg. Auto ABS OAS 61.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.0 +.11%
- 3-Month T-Bill Yield 5.37% unch.
- China Iron Ore Spot 105.1 USD/Metric Tonne -.6%
- Dutch TTF Nat Gas(European benchmark) 34.6 euros/megawatt-hour +2.2%
- Citi US Economic Surprise Index -29.2 -2.3 points
- Citi Eurozone Economic Surprise Index -16.2 -2.5 points
- Citi Emerging Markets Economic Surprise Index 12.9 +2.2 points
- S&P 500 Current Quarter EPS Growth Rate YoY(16 of 500 reporting) +22.1% +15.9 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 260.53 -.14: Growth Rate +14.2% -.1 percentage point, P/E 21.0 unch.
- S&P 500 Current Year Estimated Profit Margin 12.86% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 328.71 +.10: Growth Rate +22.5% unch., P/E 34.6 +.3
- Bloomberg US Financial Conditions Index 1.04 +8.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .47 -8.0 basis points
- US Yield Curve -42.75 basis points (2s/10s) +.5 basis point
- US Atlanta Fed 2Q GDPNow Forecast +2.7% -30.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 53.6% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.56% unch.: CPI YoY +3.12% unch.
- 10-Year TIPS Spread 2.27 +1.0 basis point
- Highest target rate probability for Sept. 18th FOMC meeting: 57.9%(+1.6 percentage points) chance of 5.0%-5.25%. Highest target rate probability for Nov. 7th meeting: 49.9%(-.1 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +303 open in Japan
- China A50 Futures: Indicating -194 open in China
- DAX Futures: Indicating +190 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/biotech/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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