Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 30.0 -2.6%
- S&P 500 Intraday % Swing .9 -52.2%
- Bloomberg Global Risk On/Risk Off Index 56.1 +.2%
- Swiss Franc/Offshore Chinese Renminbi Cross 8.91 -.67%
- Euro/Yen Carry Return Index 180.9 -.6%
- Emerging Markets Currency Volatility(VXY) 9.23 -4.0%
- CBOE S&P 500 Implied Correlation Index 39.7 +4.0%
- ISE Sentiment Index 120.0 -2.0 points
- Total Put/Call 1.04 +3.0%
- NYSE Arms 1.40 +22.8%
- NYSE Non-Block Money Flow -$208.1M
Credit Investor Angst:
- North American Investment Grade CDS Index 69.98 -1.4%
- US Energy High-Yield OAS 520.7 +.4%
- Bloomberg TRACE # Distressed Bonds Traded 300.0 -5.0
- European Financial Sector CDS Index 77.4 -2.5%
- Deutsche Bank Subordinated 5Y Credit Default Swap 185.3 -2.5%
- Italian/German 10Y Yld Spread 118.0 basis points +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 103.61 -3.75%
- Emerging Market CDS Index 207.1 -.7%
- Israel Sovereign CDS 112.5 -3.9%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.48 +.48%
- 2-Year SOFR Swap Spread -23.5 basis points +1.5 basis points
- 3M T-Bill Treasury Repo Spread -4.0 basis points +4.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -1.0 +2.5 basis points
- MBS 5/10 Treasury Spread 156.0 -2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 647.0 +3.0 basis points
- Avg. Auto ABS OAS 71.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 36.7 -.27%
- US 10-Year T-Note Yield 4.32% -6.0 basis points
- 3-Month T-Bill Yield 4.29% -1.0 basis point
- China Iron Ore Spot 98.4 USD/Metric Tonne -.4%
- Dutch TTF Nat Gas(European benchmark) 34.4 euros/megawatt-hour -.3%
- Citi US Economic Surprise Index -18.8 -.5 point
- Citi Eurozone Economic Surprise Index 1.9 -6.8 points
- Citi Emerging Markets Economic Surprise Index 8.8 -.4 point
- S&P 500 Current Quarter EPS Growth Rate YoY(34 of 500 reporting) +6.6% -.8 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 277.04 -.30: Growth Rate +12.8% -.1 percentage point, P/E 19.6 +.2
- S&P 500 Current Year Estimated Profit Margin 13.48% -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 418.21 unch.: Growth Rate +20.9% unch., P/E 28.0 +.5
- Bloomberg US Financial Conditions Index -.52 +29.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .73 +31.0 basis points
- US Yield Curve 49.25 basis points (2s/10s) -3.0 basis points
- US Atlanta Fed GDPNow Q1 Forecast -2.4% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 38.0% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.54% unch.: CPI YoY +2.42% unch.
- 10-Year TIPS Spread 2.20 -4.0 basis points
- Highest target rate probability for June 18th FOMC meeting: 60.0% (-1.5 percentage points) chance of 4.0%-4.25%. Highest target rate probability for July 30th meeting: 47.0%(-2.4 percentage points) chance of 3.75%-4.0%. (current target rate is 4.25-4.5%)
Overseas Futures:
- Nikkei 225 Futures: Indicating +418 open in Japan
- China A50 Futures: Indicating -74 open in China
- DAX Futures: Indicating +177 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/utility sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges, then covered some
- Market Exposure: 50% net long
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