Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 16.8 -9.2%
- DJIA Intraday % Swing 1.48 -5.2%
- Bloomberg Global Risk On/Risk Off Index 52.2 +2.1%
- Euro/Yen Carry Return Index 183.6 +.03%
- Emerging Markets Currency Volatility(VXY) 7.5 -2.5%
- CBOE S&P 500 Implied Correlation Index 14.7 -13.1%
- ISE Sentiment Index 149.0 +21.0
- Total Put/Call 1.01 +3.1%
- NYSE Arms .97 -9.4%
- NYSE Non-Block Money Flow +$286.5M
Credit Investor Angst:
- North American Investment Grade CDS Index 51.1 -2.3%
- US Energy High-Yield OAS 269.9 +.05%
- Bloomberg TRACE # Distressed Bonds Traded 235 -9
- European Financial Sector CDS Index 62.1 -2.7%
- Deutsche Bank Subordinated 5Y Credit Default Swap 163.7 -.98%
- Italian/German 10Y Yld Spread 136.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 97.3 -1.4%
- Emerging Market CDS Index 166.4 -2.2%
- Israel Sovereign CDS 127.7 -.2%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.1 +.04%
- 2-Year SOFR Swap Spread -15.5 basis points +.5 basis point
- Treasury Repo 3M T-Bill Spread -4.75 basis points -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -1.5 +.5 basis point
- MBS 5/10 Treasury Spread 143.0 -2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 687.0 +3.0 basis points
- Avg. Auto ABS OAS 60.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.1 +.09%
- 3-Month T-Bill Yield 5.29% -1.0 basis point
- China Iron Ore Spot 101.6 USD/Metric Tonne -.61%
- Dutch TTF Nat Gas(European benchmark) 32.5 euros/megawatt-hour +2.2%
- Citi US Economic Surprise Index -34.0 -.6 point
- Citi Eurozone Economic Surprise Index -52.9 +.5 point
- Citi Emerging Markets Economic Surprise Index -5.3 -.9 point
- S&P 500 Current Quarter EPS Growth Rate YoY(206 of 500 reporting) +6.5% +.2 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 262.38 +.04: Growth Rate +14.9% unch., P/E 20.8 unch.
- S&P 500 Current Year Estimated Profit Margin 12.79% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(3 of 10 reporting) +19.8% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 335.29 +.28: Growth Rate +25.0% +.1 percentage point, P/E 32.6 -.2
- Bloomberg US Financial Conditions Index .72 -3.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .55 -14.0 basis points
- US Yield Curve -20.0 basis points (2s/10s) -1.0 basis point
- US Atlanta Fed 3Q GDPNow Forecast +2.83% +22.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 61.6% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.73% +34.0 basis points: CPI YoY +3.01% unch.
- 10-Year TIPS Spread 2.25 -2.0 basis points
- Highest target rate probability for Sept. 18th FOMC meeting: 87.7%(-1.9 percentage points) chance of 5.0%-5.25%. Highest target rate probability for Nov. 7th meeting: 59.8%(+2.3 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +633 open in Japan
- China A50 Futures: Indicating -24 open in China
- DAX Futures: Indicating +156 open in Germany
Portfolio:
- Higher: On gains in my industrial/tech/consumer discretionary/financial/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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