Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 25.2 +4.4%
- S&P 500 Intraday % Swing 1.58 +31.2%
- Bloomberg Global Risk On/Risk Off Index 56.6 -4.9%
- Swiss Franc/Offshore Chinese Renminbi Cross 8.83 +.03%
- Euro/Yen Carry Return Index 182.1 +.10%
- Emerging Markets Currency Volatility(VXY) 8.6 unch.
- CBOE S&P 500 Implied Correlation Index 35.6 +5.8%
- ISE Sentiment Index 101.0 -22.0
- Total Put/Call .83 -4.6%
- NYSE Arms 1.24 -15.1%
- NYSE Non-Block Money Flow -$143.6M
Credit Investor Angst:
- North American Investment Grade CDS Index 68.1 +1.7%
- US Energy High-Yield OAS 491.9 +5.5%
- Bloomberg TRACE # Distressed Bonds Traded 279.0 +4.0
- European Financial Sector CDS Index 73.2 +2.9%
- Deutsche Bank Subordinated 5Y Credit Default Swap 165.2 +3.3%
- Italian/German 10Y Yld Spread 113.0 basis points +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 97.1 +2.8%
- Emerging Market CDS Index 198.4 +1.9%
- Israel Sovereign CDS 105.9 +3.4%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.6 -.34%
- 2-Year SOFR Swap Spread -24.0 basis points unch.
- 3M T-Bill Treasury Repo Spread -6.0 basis point +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -1.5 +.25 basis point
- MBS 5/10 Treasury Spread 160.0 +2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 642.0 +3.0 basis points
- Avg. Auto ABS OAS 77.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 36.97 -.07%
- US 10-Year T-Note Yield 4.18% +1.0 basis point
- 3-Month T-Bill Yield 4.29% +1.0 basis point
- China Iron Ore Spot 96.6 USD/Metric Tonne -.83%
- Dutch TTF Nat Gas(European benchmark) 32.3 euros/megawatt-hour +1.1%
- Citi US Economic Surprise Index -8.6 -2.4 points
- Citi Eurozone Economic Surprise Index -15.7 +3.6 points
- Citi Emerging Markets Economic Surprise Index 18.8 +5.3 points
- S&P 500 Current Quarter EPS Growth Rate YoY(254 of 500 reporting) +13.6% -1.5 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 275.57 -.10: Growth Rate +12.1% -.1 percentage point, P/E 20.0 -.1
- S&P 500 Current Year Estimated Profit Margin 13.40% -1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(3 of 10 reporting) +43.2% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 421.62 +.23: Growth Rate +21.9% unch., P/E 29.0 -.2
- Bloomberg US Financial Conditions Index -.19 +5.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.02 +4.0 basis points
- Bloomberg Global Trade Policy Uncertainty Index 10.8 +.1
- US Yield Curve 55.75 basis points (2s/10s) +4.25 basis points
- US Atlanta Fed GDPNow Q2 Forecast -2.4% +30.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 47.5% +1.7 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.61% +7.0 basis points: CPI YoY +2.34% -1.0 basis point
- 1-Year TIPS Spread 3.13 -8.0 basis points
- 10-Year TIPS Spread 2.24 +1.0 basis point
- Highest target rate probability for June 18th FOMC meeting: 63.7% (+3.9 percentage points) chance of 4.0%-4.25%. Highest target rate probability for July 30th meeting: 59.4%(+6.6 percentage points) chance of 3.75%-4.0%. (current target rate is 4.25-4.5%)
Overseas Futures:
- Nikkei 225 Futures: Indicating +105 open in Japan
- China A50 Futures: Indicating -28 open in China
- DAX Futures: Indicating +230 open in Germany
Portfolio:
- Slightly Lower: On losses in my utility/tech/consumer discretionary sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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