Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.0 +.7%
- DJIA Intraday % Swing .58 -34.9%
- Bloomberg Global Risk On/Risk Off Index 54.3 +2.7%
- Euro/Yen Carry Return Index 177.9 -.3%
- Emerging Markets Currency Volatility(VXY) 8.8 +1.3%
- CBOE S&P 500 Implied Correlation Index 12.8 -1.3%
- ISE Sentiment Index 148.0 +20.0
- Total Put/Call .93 -13.9%
- NYSE Arms 1.03 +37.3%
- NYSE Non-Block Money Flow +$118.1M
Credit Investor Angst:
- North American Investment Grade CDS Index 49.4 +.5%
- US Energy High-Yield OAS 293.0 -.78%
- Bloomberg TRACE # Distressed Bonds Traded 246 -14
- European Financial Sector CDS Index 60.0 +.44%
- Deutsche Bank Subordinated 5Y Credit Default Swap 162.5 +.57%
- Italian/German 10Y Yld Spread 135.0 basis points +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 93.2 -1.7%
- Emerging Market CDS Index 158.5 -.62%
- Israel Sovereign CDS 138.2 +1.3%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.1 unch.
- 2-Year SOFR Swap Spread -21.5 basis points -.75 basis point
- Treasury Repo 3M T-Bill Spread -19.25 basis points -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -1.25 unch.
- MBS 5/10 Treasury Spread 134.0 +1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 695.0 unch.
- Avg. Auto ABS OAS 66.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.1 -.06%
- 3-Month T-Bill Yield 5.13% unch.
- China Iron Ore Spot 100.2 USD/Metric Tonne -.2%
- Dutch TTF Nat Gas(European benchmark) 37.7 euros/megawatt-hour +2.2%
- Citi US Economic Surprise Index -31.1 +6.5 points
- Citi Eurozone Economic Surprise Index -56.2 +3.7 points
- Citi Emerging Markets Economic Surprise Index -14.2 -.6 point
- S&P 500 Current Quarter EPS Growth Rate YoY(477 of 500 reporting) +9.4% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 264.82 n/a: Growth Rate +16.2% n/a, P/E 21.2 n/a
- S&P 500 Current Year Estimated Profit Margin 12.65% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(8 of 10 reporting) +26.3% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 344.11 n/a: Growth Rate +28.3% n/a, P/E 32.3 n/a
- Bloomberg US Financial Conditions Index .71 +4.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .73 -2.0 basis points
- US Yield Curve -12.0 basis points (2s/10s) unch.
- US Atlanta Fed 3Q GDPNow Forecast +1.99% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 71.7% +.6 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.64% unch.: CPI YoY +2.59% unch.
- 10-Year TIPS Spread 2.15 +3.0 basis points
- Highest target rate probability for Nov. 7th FOMC meeting: 47.4%(+6.7 percentage points) chance of 4.75%-5.0%. Highest target rate probability for Dec. 18th meeting: 44.6%(+.7 percentage point) chance of 4.25%-4.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -10 open in Japan
- China A50 Futures: Indicating -32 open in China
- DAX Futures: Indicating +66 open in Germany
Portfolio:
- Slightly Higher: On gains in my consumer discretionary/utility sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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