Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 25.7 +3.6%
- S&P 500 Intraday % Swing 1.44 +8.5%
- Bloomberg Global Risk On/Risk Off Index 58.1 -2.5%
- Swiss Franc/Offshore Chinese Renminbi Cross 8.87 +.74%
- Euro/Yen Carry Return Index 182.1 -.6%
- Emerging Markets Currency Volatility(VXY) 8.6 -2.2%
- CBOE S&P 500 Implied Correlation Index 35.0 +1.0%
- ISE Sentiment Index 126.0 -20.0
- Total Put/Call .87 +7.4%
- NYSE Arms .82 -42.7%
- NYSE Non-Block Money Flow -$103.4M
Credit Investor Angst:
- North American Investment Grade CDS Index 67.6 +1.8%
- US Energy High-Yield OAS 453.4 +2.1%
- Bloomberg TRACE # Distressed Bonds Traded 257.0 unch.
- European Financial Sector CDS Index 70.5 -.7%
- Deutsche Bank Subordinated 5Y Credit Default Swap 165.1 -1.8%
- Italian/German 10Y Yld Spread 111.0 basis points +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 94.1 -1.9%
- Emerging Market CDS Index 195.6 +1.2%
- Israel Sovereign CDS 101.0 -1.8%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.9 +.15%
- 2-Year SOFR Swap Spread -23.25 basis points +1.25 basis points
- 3M T-Bill Treasury Repo Spread -3.0 basis point -4.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -2.0 -.5 basis point
- MBS 5/10 Treasury Spread 157.0 unch.
- Bloomberg CMBS Investment Grade Bbb Average OAS 640.0 -3.0 basis points
- Avg. Auto ABS OAS 80.0 +5.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 37.0 +.13%
- US 10-Year T-Note Yield 4.21% -2.0 basis points
- 3-Month T-Bill Yield 4.29% unch.
- China Iron Ore Spot 98.5 USD/Metric Tonne +.04%
- Dutch TTF Nat Gas(European benchmark) 32.4 euros/megawatt-hour -.1%
- Citi US Economic Surprise Index .8 -.1 point
- Citi Eurozone Economic Surprise Index -12.2 -4.4 points
- Citi Emerging Markets Economic Surprise Index 13.3 +1.1 points
- S&P 500 Current Quarter EPS Growth Rate YoY(181 of 500 reporting) +17.5% -.1 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 275.76 +.33: Growth Rate +12.2% +.1 percentage point, P/E 19.9 unch.
- S&P 500 Current Year Estimated Profit Margin 13.41% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(3 of 10 reporting) +43.2% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 420.95 +3.00: Growth Rate +21.7% +.8 percentage point, P/E 28.9 -.3
- Bloomberg US Financial Conditions Index -.21 +5.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .97 +4.0 basis points
- Bloomberg Global Trade Policy Uncertainty Index 10.6 +.3
- US Yield Curve 52.5 basis points (2s/10s) +2.5 basis points
- US Atlanta Fed GDPNow Q1 Forecast -2.5% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 43.3% +1.0 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.54% unch.: CPI YoY +2.35% unch.
- 1-Year TIPS Spread 3.26 +3.0 basis points
- 10-Year TIPS Spread 2.26 -1.0 basis point
- Highest target rate probability for June 18th FOMC meeting: 57.2% (unch.) chance of 4.0%-4.25%. Highest target rate probability for July 30th meeting: 49.3%(+3.0 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 -10 open in China
- DAX Futures: Indicating +201 open in Germany
Portfolio:
- Slightly Higher: On gains in my utility/tech/industrial sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and then covered some
- Market Exposure: 75% Net Long
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