Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.7 -8.2%
- DJIA Intraday % Swing 1.20 +49.5%
- Bloomberg Global Risk On/Risk Off Index 55.9 +4.5%
- Euro/Yen Carry Return Index 176.8 -.3%
- Emerging Markets Currency Volatility(VXY) 9.12 +2.2%
- CBOE S&P 500 Implied Correlation Index 14.9 +2.7%
- ISE Sentiment Index 153.0 +15.0
- Total Put/Call .91 +2.3%
- NYSE Arms 1.111 -5.9%
- NYSE Non-Block Money Flow -$243.7M
Credit Investor Angst:
- North American Investment Grade CDS Index 49.6 -.7%
- US Energy High-Yield OAS 296.5 -2.0%
- Bloomberg TRACE # Distressed Bonds Traded 254 +11
- European Financial Sector CDS Index 59.8 -.2%
- Deutsche Bank Subordinated 5Y Credit Default Swap 161.3 +.32%
- Italian/German 10Y Yld Spread 138.0 basis points -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 92.2 -.5%
- Emerging Market CDS Index 160.71 +.5%
- Israel Sovereign CDS 127.7 -7.6%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.1 unch.
- 2-Year SOFR Swap Spread -19.5 basis points -1.75 basis points
- Treasury Repo 3M T-Bill Spread -22.75 basis points +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -.5 +.25 basis point
- MBS 5/10 Treasury Spread 134.0 +2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 695.0 -2.0 basis points
- Avg. Auto ABS OAS 66.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 38.9 -.11%
- 3-Month T-Bill Yield 5.11% +1.0 basis point
- China Iron Ore Spot 101.7 USD/Metric Tonne -.03%
- Dutch TTF Nat Gas(European benchmark) 38.6 euros/megawatt-hour +.21%
- Citi US Economic Surprise Index -24.8 +2.4 points
- Citi Eurozone Economic Surprise Index -50.2 +6.4 points
- Citi Emerging Markets Economic Surprise Index -11.0 +1.7 points
- S&P 500 Current Quarter EPS Growth Rate YoY(490 of 500 reporting) +11.4% +2.0 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 265.20 +.17: Growth Rate +13.5% -2.8 percentage points, P/E 21.3 +.2
- S&P 500 Current Year Estimated Profit Margin 12.69% +1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +36.3% +10.0 percentage points
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 344.76 +.27: Growth Rate +22.0% -6.4 percentage points, P/E 32.3 +.6
- Bloomberg US Financial Conditions Index .77 +3.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .80 +6.0 basis points
- US Yield Curve -3.0 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) 71.0% +.1 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.64% unch.: CPI YoY +2.56% unch.
- 10-Year TIPS Spread 2.16 +1.0 basis point
- Highest target rate probability for Nov. 7th FOMC meeting: 46.0%(+4.1 percentage points) chance of 4.75%-5.0%. Highest target rate probability for Dec. 18th meeting: 44.6%(+.5 percentage point) chance of 4.25%-4.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -77 open in Japan
- China A50 Futures: Indicating -24 open in China
- DAX Futures: Indicating -35 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/tech/utility/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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