Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Very Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 42.2 +40.8%
- S&P 500 Intraday % Swing 3.4 +118.6%
- Bloomberg Global Risk On/Risk Off Index 40.6 -20.4%
- Euro/Yen Carry Return Index 180.88 -.7%
- Emerging Markets Currency Volatility(VXY) 9.6 +2.2%
- CBOE S&P 500 Implied Correlation Index 41.2 +22.9%
- ISE Sentiment Index 83.0 -28.0 points
- Total Put/Call 1.35 +17.4%
- NYSE Arms .91 -33.6%
- NYSE Non-Block Money Flow -$189.2M
Credit Investor Angst:
- North American Investment Grade CDS Index 72.4 +8.7%
- US Energy High-Yield OAS 499.3 +12.4%
- Bloomberg TRACE # Distressed Bonds Traded 259.0 +19.0
- European Financial Sector CDS Index 84.1 +15.0%
- Deutsche Bank Subordinated 5Y Credit Default Swap 189.7 +14.5%
- Italian/German 10Y Yld Spread 119.0 basis points +7.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 95.8 +7.3%
- Emerging Market CDS Index 211.9 +8.0%
- Israel Sovereign CDS 109.8 +11.5%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.69 -.86%
- 2-Year SOFR Swap Spread -21.0 basis points -2.0 basis points
- 3M T-Bill Treasury Repo Spread -9.5 basis points -4.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -4.25 -4.5 basis points
- MBS 5/10 Treasury Spread 147.0 +1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 616.0 +13.0 basis points
- Avg. Auto ABS OAS 60.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 36.6 -.9%
- 3-Month T-Bill Yield 4.27% -2.0 basis points
- China Iron Ore Spot 97.6 USD/Metric Tonne -3.0%
- Dutch TTF Nat Gas(European benchmark) 36.4 euros/megawatt-hour -7.2%
- Citi US Economic Surprise Index -3.3 +3.9 points
- Citi Eurozone Economic Surprise Index 14.6 -2.8 points
- Citi Emerging Markets Economic Surprise Index 3.1 -.7 point
- S&P 500 Current Quarter EPS Growth Rate YoY(18 of 500 reporting) +7.5% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 278.42 -.02: Growth Rate +13.4% unch., P/E 18.6 -1.0
- S&P 500 Current Year Estimated Profit Margin 13.58% +1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 418.68 unch.: Growth Rate +21.1% unch., P/E 25.2 -1.5
- Bloomberg US Financial Conditions Index -.39 -48.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.13 -18.0 basis points
- US Yield Curve 31.5 basis points (2s/10s) -1.5 basis points
- US Atlanta Fed GDPNow Q1 Forecast -2.8% +.9 percentage point
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 45.4% +6.7 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.68% unch.: CPI YoY +2.49% unch.
- 10-Year TIPS Spread 2.18 -12.0 basis points
- Highest target rate probability for June 18th FOMC meeting: 67.7% (+4.9 percentage points) chance of 4.5%-4.25%. Highest target rate probability for July 30th meeting: 64.0%(+14.2 percentage points) chance of 3.75%-4.0%. (current target rate is 4.25-4.5%)
Overseas Futures:
- Nikkei 225 Futures: Indicating -1,100 open in Japan
- China A50 Futures: Indicating -529 open in China
- DAX Futures: Indicating +189 open in Germany
Portfolio:
- Slightly Lower: On losses in my consumer discretionary/industrial/tech/financial sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to Market Neutral
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