Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 14.6 -1.2%
- DJIA Intraday % Swing .58 -8.9%
- Bloomberg Global Risk On/Risk Off Index 54.5 +2.1%
- Euro/Yen Carry Return Index 178.9 -.3%
- Emerging Markets Currency Volatility(VXY) 8.5 +2.8%
- CBOE S&P 500 Implied Correlation Index 13.9 -1.9%
- ISE Sentiment Index 166.0 +17.0
- Total Put/Call .72 -20.9%
- NYSE Arms .69 -46.9%
- NYSE Non-Block Money Flow +$150.9M
Credit Investor Angst:
- North American Investment Grade CDS Index 50.6 -.9%
- US Energy High-Yield OAS 296.8 -1.2%
- Bloomberg TRACE # Distressed Bonds Traded 255 -4
- European Financial Sector CDS Index 60.6 -1.9%
- Deutsche Bank Subordinated 5Y Credit Default Swap 164.4 -1.4%
- Italian/German 10Y Yld Spread 137.0 basis points -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 94.1 -3.3%
- Emerging Market CDS Index 160.85 -4.7%
- Israel Sovereign CDS 142.3 -.21%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.08 +.12%
- 2-Year SOFR Swap Spread -20.5 basis points -1.0 basis point
- Treasury Repo 3M T-Bill Spread -10.75 basis points -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -1.75 unch.
- MBS 5/10 Treasury Spread 139.0 -1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 695.0 -5.0 basis points
- Avg. Auto ABS OAS 66.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.2 +.3%
- 3-Month T-Bill Yield 5.20% -1.0 basis point
- China Iron Ore Spot 95.2 USD/Metric Tonne +.6%
- Dutch TTF Nat Gas(European benchmark) 39.8 euros/megawatt-hour +.5%
- Citi US Economic Surprise Index -39.2 -2.6 points
- Citi Eurozone Economic Surprise Index -59.5 -.6
- Citi Emerging Markets Economic Surprise Index -11.1 +.1 point
- S&P 500 Current Quarter EPS Growth Rate YoY(464 of 500 reporting) +8.5% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 264.16 -.07: Growth Rate +15.7% -.1 percentage point, P/E 21.1 +.1
- S&P 500 Current Year Estimated Profit Margin 12.66% -2.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +26.3% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 343.28 +.76: Growth Rate +28.0% +.3 percentage point, P/E 32.9 +.1
- Bloomberg US Financial Conditions Index .88 -1.0 basis point
- Bloomberg Euro-Zone Financial Conditions Index .81 +10.0 basis points
- US Yield Curve -20.5 basis points (2s/10s) -3.0 basis points
- US Atlanta Fed 3Q GDPNow Forecast +1.99% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 68.6% -.3 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.64% unch.: CPI YoY +2.60% unch.
- 10-Year TIPS Spread 2.07 -3.0 basis points
- Highest target rate probability for Nov. 7th FOMC meeting: 60.9%(+1.9 percentage points) chance of 4.75%-5.0%. Highest target rate probability for Dec. 18th meeting: 42.5%(+1.4 percentage points) chance of 4.5%-4.75%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +457 open in Japan
- China A50 Futures: Indicating -13 open in China
- DAX Futures: Indicating +80 open in Germany
Portfolio:
- Higher: On gains in my tech/consumer discretionary/utility/industrial/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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