Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.3 -4.0%
- DJIA Intraday % Swing .77 -14.2%
- Bloomberg Global Risk On/Risk Off Index 60.9 -3.8%
- Euro/Yen Carry Return Index 185.1 +.3%
- Emerging Markets Currency Volatility(VXY) 7.8 +3.4%
- CBOE S&P 500 Implied Correlation Index 10.3 -16.6%
- ISE Sentiment Index 134.0 -7.0
- Total Put/Call .77 -11.5%
- NYSE Arms 1.78 +34.6%
- NYSE Non-Block Money Flow +$76.2M
Credit Investor Angst:
- North American Investment Grade CDS Index 49.2 -2.8%
- US Energy High-Yield OAS 267.3 -1.0%
- Bloomberg TRACE # Distressed Bonds Traded 301 +8
- European Financial Sector CDS Index 61.2 -4.4%
- Deutsche Bank Subordinated 5Y Credit Default Swap 169.1 -2.5%
- Italian/German 10Y Yld Spread 139.0 basis points -6.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 96.2 -.1%
- Emerging Market CDS Index 165.1 -.91%
- Israel Sovereign CDS 123.0 -.4%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.84 -.14%
- 2-Year SOFR Swap Spread -13.25 basis points -.75 basis point
- Treasury Repo 3M T-Bill Spread 7.0 basis points +2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -3.0 +.25 basis point
- MBS 5/10 Treasury Spread 138.0 -6.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 724.0 -1.0 basis point
- Avg. Auto ABS OAS 57.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.4 +.22%
- 3-Month T-Bill Yield 5.38% +2.0 basis points
- China Iron Ore Spot 106.1 USD/Metric Tonne +1.4%
- Dutch TTF Nat Gas(European benchmark) 35.3 euros/megawatt-hour +2.9%
- Citi US Economic Surprise Index -9.9 -3.8 points
- Citi Eurozone Economic Surprise Index 27.9 -.2 point
- Citi Emerging Markets Economic Surprise Index 7.3 +1.1 points
- S&P 500 Current Quarter EPS Growth Rate YoY(498 of 500 reporting) +7.8% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 258.83 +.10: Growth Rate +13.5% +.1 percentage point, P/E 21.0 +.3
- 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 331.99 +.25: Growth Rate +23.8% +.1 percentage point, P/E 33.0 +.9
- Bloomberg US Financial Conditions Index .89 -19.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .94 -7.0 basis points
- US Yield Curve -45.25 basis points (2s/10s) -2.0 basis points
- US Atlanta Fed 2Q GDPNow Forecast +3.1% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 50.2% +1.5 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.69% unch.: CPI YoY +3.36% unch.
- 10-Year TIPS Spread 2.24 -5.0 basis points
- Highest target rate probability for July 31st FOMC meeting: 91.1%(+3.7 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Sept. 18th meeting: 58.2%(+11.4 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +454 open in Japan
- China A50 Futures: Indicating -30 open in China
- DAX Futures: Indicating +20 open in Germany
Portfolio:
- Higher: On gains in my industrial/consumer discretionary/financial/tech/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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