Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 15.8 +8.1%
- DJIA Intraday % Swing .32 -44.5%
- Bloomberg Global Risk On/Risk Off Index 52.8 -1.4%
- Euro/Yen Carry Return Index 178.3 -.45%
- Emerging Markets Currency Volatility(VXY) 8.54 +.23%
- CBOE S&P 500 Implied Correlation Index 14.0 +4.4%
- ISE Sentiment Index 155.0 +1.0
- Total Put/Call .82 +10.8%
- NYSE Arms 1.20 +71.4%
- NYSE Non-Block Money Flow -$159.3M
Credit Investor Angst:
- North American Investment Grade CDS Index 51.2 +.88%
- US Energy High-Yield OAS 301.3 +2.4%
- Bloomberg TRACE # Distressed Bonds Traded 268 +13
- European Financial Sector CDS Index 61.6 +1.6%
- Deutsche Bank Subordinated 5Y Credit Default Swap 165.1 +.44%
- Italian/German 10Y Yld Spread 138.0 basis points +.75 basis point
- Asia Ex-Japan Investment Grade CDS Index 92.5 -2.1%
- Emerging Market CDS Index 163.1 +1.5%
- Israel Sovereign CDS 142.1 -.82%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.1 -.04%
- 2-Year SOFR Swap Spread -20.5 basis points unch.
- Treasury Repo 3M T-Bill Spread -14.25 basis points -3.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -1.75 unch.
- MBS 5/10 Treasury Spread 140.0 +1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 696.0 +1.0 basis point
- Avg. Auto ABS OAS 66.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.1 -.3%
- 3-Month T-Bill Yield 5.17% -3.0 basis points
- China Iron Ore Spot 96.3 USD/Metric Tonne +.9%
- Dutch TTF Nat Gas(European benchmark) 38.0 euros/megawatt-hour -4.7%
- Citi US Economic Surprise Index -40.5 -1.3 points
- Citi Eurozone Economic Surprise Index -60.3 -.8
- Citi Emerging Markets Economic Surprise Index -11.8 -.7 point
- S&P 500 Current Quarter EPS Growth Rate YoY(467 of 500 reporting) +8.4% -.1 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 264.14 -.02: Growth Rate +15.7% unch., P/E 21.2 +.1
- S&P 500 Current Year Estimated Profit Margin 12.65% -1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +26.3% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 343.54 +.26: Growth Rate +28.1% +.1 percentage point, P/E 33.3 +.4
- Bloomberg US Financial Conditions Index .89 +1.0 basis point
- Bloomberg Euro-Zone Financial Conditions Index .76 -5.0 basis points
- US Yield Curve -18.25 basis points (2s/10s) +2.25 basis points
- US Atlanta Fed 3Q GDPNow Forecast +1.99% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 68.0% -.6 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.64% unch.: CPI YoY +2.59% -1.0 basis point
- 10-Year TIPS Spread 2.07 unch.
- Highest target rate probability for Nov. 7th FOMC meeting: 53.8%(-7.5 percentage points) chance of 4.75%-5.0%. Highest target rate probability for Dec. 18th meeting: 44.5%(+1.4 percentage points) chance of 4.25%-4.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -310 open in Japan
- China A50 Futures: Indicating -42 open in China
- DAX Futures: Indicating +63 open in Germany
Portfolio:
- Slightly Lower: On losses in my consumer discretionary/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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