Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 15.5 -4.6%
- DJIA Intraday % Swing .60 -23.9%
- Bloomberg Global Risk On/Risk Off Index 54.0 +8.0%
- Euro/Yen Carry Return Index 180.17 +.84%
- Emerging Markets Currency Volatility(VXY) 8.49 -1.4%
- CBOE S&P 500 Implied Correlation Index 15.4 -1.7%
- ISE Sentiment Index 134.0 -1.0
- Total Put/Call .91 +3.4%
- NYSE Arms .72 -40.5%
- NYSE Non-Block Money Flow +$261.8M
Credit Investor Angst:
- North American Investment Grade CDS Index 52.7 -4.8%
- US Energy High-Yield OAS 300.7 -3.9%
- Bloomberg TRACE # Distressed Bonds Traded 260 -5
- European Financial Sector CDS Index 62.9 -6.5%
- Deutsche Bank Subordinated 5Y Credit Default Swap 170.5 -4.3%
- Italian/German 10Y Yld Spread 137.0 basis points -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 98.44 -2.6%
- Emerging Market CDS Index 167.7 -3.3%
- Israel Sovereign CDS 139.9 -3.2%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.0 +.2%
- 2-Year SOFR Swap Spread -20.5 basis points unch.
- Treasury Repo 3M T-Bill Spread -10.0 basis points +3.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -1.75 +.75 basis point
- MBS 5/10 Treasury Spread 143.0 unch.
- Bloomberg CMBS Investment Grade Bbb Average OAS 709.0 -1.0 basis point
- Avg. Auto ABS OAS 67.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.06 -.01%
- 3-Month T-Bill Yield 5.22% +2.0 basis points
- China Iron Ore Spot 94.3 USD/Metric Tonne +1.0%
- Dutch TTF Nat Gas(European benchmark) 39.6 euros/megawatt-hour +1.6%
- Citi US Economic Surprise Index -34.9 -3.9 points
- Citi Eurozone Economic Surprise Index -59.0 unch.
- Citi Emerging Markets Economic Surprise Index -12.3 -2.4 points
- S&P 500 Current Quarter EPS Growth Rate YoY(461 of 500 reporting) +8.5% -.7 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 264.18 unch.: Growth Rate +15.7% -.1 percentage point, P/E 21.0 +.3
- S&P 500 Current Year Estimated Profit Margin 12.72% -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 342.34 +.18: Growth Rate +27.6% unch., P/E 32.7 +.6
- Bloomberg US Financial Conditions Index .76 +15.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .71 +7.0 basis points
- US Yield Curve -18.0 basis points (2s/10s) -5.0 basis points
- US Atlanta Fed 3Q GDPNow Forecast +2.91% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 67.9% -5.2 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.64% unch.: CPI YoY +2.60% unch.
- 10-Year TIPS Spread 2.12 +4.0 basis points
- Highest target rate probability for Nov. 7th FOMC meeting: 61.6%(+21.9 percentage points) chance of 4.75%-5.0%. Highest target rate probability for Dec. 18th meeting: 46.1%(+22.0 percentage points) chance of 4.5%-4.75%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +950 open in Japan
- China A50 Futures: Indicating -21 open in China
- DAX Futures: Indicating +83 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/consumer discretionary/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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