Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Every Sector Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 35.0 +18.2%
- S&P 500 Intraday % Swing 2.1 +52.4%
- Bloomberg Global Risk On/Risk Off Index 53.2 -5.0%
- Swiss Franc/Offshore Chinese Renminbi Cross 9.03 +.95%
- Euro/Yen Carry Return Index 181.77 -.01%
- Emerging Markets Currency Volatility(VXY) 9.2 -5.3%
- CBOE S&P 500 Implied Correlation Index 44.4 +10.6%
- ISE Sentiment Index 118.0 +5.0
- Total Put/Call 1.05 +15.4%
- NYSE Arms .88 +10.0%
- NYSE Non-Block Money Flow -$648.0M
Credit Investor Angst:
- North American Investment Grade CDS Index 74.67 +6.7%
- US Energy High-Yield OAS 526.26 +5.6%
- Bloomberg TRACE # Distressed Bonds Traded 296.0 unch.
- European Financial Sector CDS Index 77.5 +.07%
- Deutsche Bank Subordinated 5Y Credit Default Swap 184.2 +.3%
- Italian/German 10Y Yld Spread 118.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 103.4 -1.5%
- Emerging Market CDS Index 211.9 +1.8%
- Israel Sovereign CDS 109.0 -.3%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.4 -.54%
- 2-Year SOFR Swap Spread -27.0 basis points -3.0 basis points
- 3M T-Bill Treasury Repo Spread .25 basis point +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -1.25 +1.5 basis points
- MBS 5/10 Treasury Spread 163.0 +5.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 643.0 unch.
- Avg. Auto ABS OAS 73.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 37.0 +.2%
- US 10-Year T-Note Yield 4.40% +8.0 basis points
- 3-Month T-Bill Yield 4.31% unch.
- China Iron Ore Spot 98.9 USD/Metric Tonne -.5%
- Dutch TTF Nat Gas(European benchmark) 35.7 euros/megawatt-hour unch.
- Citi US Economic Surprise Index -20.2 +1.6 points
- Citi Eurozone Economic Surprise Index -3.5 -4.1 points
- Citi Emerging Markets Economic Surprise Index 14.4 +.6 point
- S&P 500 Current Quarter EPS Growth Rate YoY(59 of 500 reporting) +6.8% +.4 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 276.21 -.16: Growth Rate +12.4% -.1 percentage point, P/E 18.6 -.6
- S&P 500 Current Year Estimated Profit Margin 13.43% -3.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(1 of 10 reporting) +23.7% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 417.86 +.38: Growth Rate +20.8% +.1 percentage point, P/E 25.8 -.9
- Bloomberg US Financial Conditions Index -.47 unch.
- Bloomberg Euro-Zone Financial Conditions Index .68 unch.
- Bloomberg Global Trade Policy Uncertainty Index 12.7 -.9
- US Yield Curve 65.75 basis points (2s/10s) +13.5 basis points
- US Atlanta Fed GDPNow Q1 Forecast -2.2% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 43.9% +2.0 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.54% unch.: CPI YoY +2.38% unch.
- 1-Year TIPS Spread 3.13 -8.0 basis points
- 10-Year TIPS Spread 2.23 unch.
- Highest target rate probability for June 18th FOMC meeting: 63.5% (+3.4 percentage points) chance of 4.0%-4.25%. Highest target rate probability for July 30th meeting: 59.7%(+10.2 percentage points) chance of 3.75%-4.0%. (current target rate is 4.25-4.5%)
Overseas Futures:
- Nikkei 225 Futures: Indicating -120 open in Japan
- China A50 Futures: Indicating -87 open in China
- DAX Futures: Indicating +155 open in Germany
Portfolio:
- Slightly Lower: On losses in my utility/consumer discretionary/industrial/tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to Market Neutral
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