Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.0 -6.8%
- DJIA Intraday % Swing .79 unch.
- Bloomberg Global Risk On/Risk Off Index 53.0 +4.8%
- Euro/Yen Carry Return Index 175.9 +.7%
- Emerging Markets Currency Volatility(VXY) 8.62 +1.2%
- CBOE S&P 500 Implied Correlation Index 18.0 -7.7%
- ISE Sentiment Index 122.0 -11.0 points
- Total Put/Call .95 unch.
- NYSE Arms 1.06 -.93%
- NYSE Non-Block Money Flow +$280.8M
Credit Investor Angst:
- North American Investment Grade CDS Index 47.6 -3.0%
- US Energy High-Yield OAS 320.0 -1.3%
- Bloomberg TRACE # Distressed Bonds Traded 276 -16
- European Financial Sector CDS Index 58.59 -3.4%
- Deutsche Bank Subordinated 5Y Credit Default Swap 159.3 -2.0%
- Italian/German 10Y Yld Spread 136.0 basis points -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 94.2 -2.3%
- Emerging Market CDS Index 153.4 -4.3%
- Israel Sovereign CDS 132.6 +3.0%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.92 +.40%
- 2-Year SOFR Swap Spread -20.75 basis points -.5 basis point
- 3M T-Bill Treasury Repo Spread -59.5 basis points -2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -1.25 +.25 basis point
- MBS 5/10 Treasury Spread 119.0 -6.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 711.0 -1.0 basis point
- Avg. Auto ABS OAS 67.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.1 +.28%
- 3-Month T-Bill Yield 4.73% -2.0 basis points
- China Iron Ore Spot 93.8 USD/Metric Tonne +1.2%
- Dutch TTF Nat Gas(European benchmark) 33.1 euros/megawatt-hour -6.1%
- Citi US Economic Surprise Index -8.8 +2.5 points
- Citi Eurozone Economic Surprise Index -27.8 +.4 point
- Citi Emerging Markets Economic Surprise Index -7.3 -.3 point
- S&P 500 Current Quarter EPS Growth Rate YoY(5 of 500 reporting) +12.9% -.4 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 266.60 -.23: Growth Rate +14.1% +.1 percentage point, P/E 21.4 +.3
- S&P 500 Current Year Estimated Profit Margin 12.66% -1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a n/a
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 350.42 +.14: Growth Rate +23.1% +.1 percentage point, P/E 32.9 +1.2
- Bloomberg US Financial Conditions Index .50 -9.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .68 +1.0 basis point
- US Yield Curve 13.5 basis point (2s/10s) +4.75 basis points
- US Atlanta Fed 3Q GDPNow Forecast +2.93% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 66.7% -2.8 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.77% unch.: CPI YoY +2.27% unch.
- 10-Year TIPS Spread 2.16 +4.0 basis points
- Highest target rate probability for Dec. 18th FOMC meeting: 49.5%(+.8 percentage point) chance of 4.0%-4.25%. Highest target rate probability for Jan. 29th meeting: 43.0%(unch.) chance of 3.75%-4.0%. (current target rate is 4.75-5.0%)
Overseas Futures:
- Nikkei 225 Futures: Indicating +610 open in Japan
- China A50 Futures: Indicating +30 open in China
- DAX Futures: Indicating +25 open in Germany
Portfolio:
- Higher: On gains in my consumer discretionary/tech/biotech/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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