Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.5 -4.2%
- DJIA Intraday % Swing .37 -37.2%
- Bloomberg Global Risk On/Risk Off Index 55.8 +3.8%
- Euro/Yen Carry Return Index 177.6 -.14%
- Emerging Markets Currency Volatility(VXY) 8.8 +.34%
- CBOE S&P 500 Implied Correlation Index 12.6 -1.2%
- ISE Sentiment Index 126.0 -16.0
- Total Put/Call .93 +1.1%
- NYSE Arms 1.18 +24.2%
- NYSE Non-Block Money Flow -$86.9M
Credit Investor Angst:
- North American Investment Grade CDS Index 49.4 -.12%
- US Energy High-Yield OAS 296.8 +1.0%
- Bloomberg TRACE # Distressed Bonds Traded 244 -2
- European Financial Sector CDS Index 59.1 -1.4%
- Deutsche Bank Subordinated 5Y Credit Default Swap 160.9 -1.0%
- Italian/German 10Y Yld Spread 138.0 basis points +3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 92.8 -.8%
- Emerging Market CDS Index 158.5 +.19%
- Israel Sovereign CDS 138.26 +.04%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.1 unch.
- 2-Year SOFR Swap Spread -21.75 basis points -.25 basis point
- Treasury Repo 3M T-Bill Spread -22.5 basis points -3.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -.75 +.5 basis point
- MBS 5/10 Treasury Spread 132.0 -2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 696.0 +1.0 basis point
- Avg. Auto ABS OAS 67.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.0 -.03%
- 3-Month T-Bill Yield 5.10% -3.0 basis points
- China Iron Ore Spot 102.1 USD/Metric Tonne +.44%
- Dutch TTF Nat Gas(European benchmark) 38.7 euros/megawatt-hour +2.7%
- Citi US Economic Surprise Index -28.1 +3.0 points
- Citi Eurozone Economic Surprise Index -56.3 -.1 point
- Citi Emerging Markets Economic Surprise Index -12.7 +1.5 points
- 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 264.92 +.10: Growth Rate +16.3% +.1 percentage point, P/E 21.2 unch.
- S&P 500 Current Year Estimated Profit Margin 12.68% +3.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(8 of 10 reporting) +26.3% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 344.24 +.13: Growth Rate +28.3% unch., P/E 32.3 unch.
- Bloomberg US Financial Conditions Index .73 +2.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .73 unch.
- US Yield Curve -7.0 basis points (2s/10s) +5.0 basis points
- US Atlanta Fed 3Q GDPNow Forecast +1.99% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 69.3% -2.3 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.64% unch.: CPI YoY +2.56% -3.0 basis points
- 10-Year TIPS Spread 2.15 unch.
- Highest target rate probability for Nov. 7th FOMC meeting: 45.9%(+3.7 percentage points) chance of 4.5%-4.75%. Highest target rate probability for Dec. 18th meeting: 43.8%(-1.2 percentage points) chance of 4.25%-4.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +51 open in Japan
- China A50 Futures: Indicating -5 open in China
- DAX Futures: Indicating +77 open in Germany
Portfolio:
- Higher: On gains in my consumer discretionary/industrial/tech sector longs and index hedges
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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