Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Falling
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 42.5 +26.5%
- S&P 500 Intraday % Swing 3.8 +82.8%
- Bloomberg Global Risk On/Risk Off Index 48.0 -8.6%
- Euro/Yen Carry Return Index 182.1 +1.4%
- Emerging Markets Currency Volatility(VXY) 9.7 -3.8%
- CBOE S&P 500 Implied Correlation Index 46.0 +17.1%
- ISE Sentiment Index 108.0 -21.0 points
- Total Put/Call 1.10 +4.8%
- NYSE Arms .89 +423.5%
- NYSE Non-Block Money Flow -$285.1M
Credit Investor Angst:
- North American Investment Grade CDS Index 71.8 +5.7%
- US Energy High-Yield OAS 533.1 +4.6%
- Bloomberg TRACE # Distressed Bonds Traded 330.0 -18.0
- European Financial Sector CDS Index 81.9 -10.6%
- Deutsche Bank Subordinated 5Y Credit Default Swap 188.5 -10.8%
- Italian/German 10Y Yld Spread 121.0 basis points -8.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 113.0 -11.0%
- Emerging Market CDS Index 212.3 +5.3%
- Israel Sovereign CDS 118.8 -1.8%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.0 -1.6%
- 2-Year SOFR Swap Spread -25.0 basis points -3.0 basis points
- 3M T-Bill Treasury Repo Spread -8.75 basis points -5.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -3.5 +.75 basis point
- MBS 5/10 Treasury Spread 158.0 +3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 639.0 -1.0 basis points
- Avg. Auto ABS OAS 66.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 36.7 +.3%
- US 10-Year T-Note Yield 4.37% -12.0 basis points
- 3-Month T-Bill Yield 4.30% -1.0 basis point
- China Iron Ore Spot 97.9 USD/Metric Tonne -.23%
- Dutch TTF Nat Gas(European benchmark) 34.5 euros/megawatt-hour +3.1%
- Citi US Economic Surprise Index -18.3 -.5 point
- Citi Eurozone Economic Surprise Index 8.7 -1.5 points
- Citi Emerging Markets Economic Surprise Index 9.2 +5.7 points
- S&P 500 Current Quarter EPS Growth Rate YoY(30 of 500 reporting) +7.4% n/a
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 277.34 n/a: Growth Rate +12.9% n/a, P/E 19.4 n/a
- S&P 500 Current Year Estimated Profit Margin 13.49% -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 n/a: Growth Rate +20.9% n/a, P/E 27.5 n/a
- Bloomberg US Financial Conditions Index -.81 +8.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .42 -24.0 basis points
- US Yield Curve 52.25 basis points (2s/10s) unch.
- US Atlanta Fed GDPNow Q1 Forecast -2.4% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 38.0% +2.25 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.54% unch.: CPI YoY +2.42% unch.
- 10-Year TIPS Spread 2.24 +3.0 basis points
- Highest target rate probability for June 18th FOMC meeting: 64.3% (-.1 percentage point) chance of 4.0%-4.25%. Highest target rate probability for July 30th meeting: 50.2%(+1.9 percentage points) chance of 3.75%-4.0%. (current target rate is 4.25-4.5%)
Overseas Futures:
- Nikkei 225 Futures: Indicating +560 open in Japan
- China A50 Futures: Indicating -21 open in China
- DAX Futures: Indicating +123 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/consumer discretionary/utility sector longs
- Disclosed Trades: None
- Market Exposure: 75% net long
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