Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 22.7 -2.5%
- S&P 500 Intraday % Swing 1.6 -25.2%
- Bloomberg Global Risk On/Risk Off Index 57.6 +1.2%
- Swiss Franc/Offshore Chinese Renminbi Cross 8.80 +.39%
- Euro/Yen Carry Return Index 182.2 +.02%
- Emerging Markets Currency Volatility(VXY) 8.99 -.99%
- CBOE S&P 500 Implied Correlation Index 38.4 -2.4%
- ISE Sentiment Index 128.0 +32.0
- Total Put/Call .94 +3.3%
- NYSE Arms 1.41 +.71%
- NYSE Non-Block Money Flow +$226.6M
Credit Investor Angst:
- North American Investment Grade CDS Index 66.9 -2.1%
- US Energy High-Yield OAS 445.0 -.7%
- Bloomberg TRACE # Distressed Bonds Traded 257.0 -20.0
- European Financial Sector CDS Index 71.9 -2.2%
- Deutsche Bank Subordinated 5Y Credit Default Swap 171.6 -1.4%
- Italian/German 10Y Yld Spread 110.0 basis points -3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 100.2 +.8%
- Emerging Market CDS Index 195.7 -2.5%
- Israel Sovereign CDS 104.4 -1.7%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.79 +.5%
- 2-Year SOFR Swap Spread -24.5 basis points -.5 basis point
- 3M T-Bill Treasury Repo Spread 3.0 basis point +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -1.5 -.25 basis point
- MBS 5/10 Treasury Spread 157.0 -3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 644.0 unch.
- Avg. Auto ABS OAS 74.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 36.9 +.17%
- US 10-Year T-Note Yield 4.31% -7.0 basis point
- 3-Month T-Bill Yield 4.30% -1.0 basis point
- China Iron Ore Spot 98.9 USD/Metric Tonne -.6%
- Dutch TTF Nat Gas(European benchmark) 33.6 euros/megawatt-hour -1.7%
- Citi US Economic Surprise Index -.4 +14.7 points
- Citi Eurozone Economic Surprise Index -7.4 +5.9 points
- Citi Emerging Markets Economic Surprise Index 12.1 -.6 point
- S&P 500 Current Quarter EPS Growth Rate YoY(156 of 500 reporting) +13.1% +7.4 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 275.26 -.50: Growth Rate +12.0% -.2 percentage point, P/E 19.5 -.1
- S&P 500 Current Year Estimated Profit Margin 13.42% -3.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(2 of 10 reporting) +22.8% -.9 percentage point
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 417.81 -.32: Growth Rate +20.8% -.1 percentage point, P/E 28.7 +1.0
- Bloomberg US Financial Conditions Index -.36 +17.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .92 +27.0 basis points
- Bloomberg Global Trade Policy Uncertainty Index 10.9 -1.1
- US Yield Curve 50.75 basis points (2s/10s) -2.0 basis points
- US Atlanta Fed GDPNow Q1 Forecast -2.5% -30.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 40.6% -1.2 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.54% unch.: CPI YoY +2.35% unch.
- 1-Year TIPS Spread 3.22 +4.0 basis points
- 10-Year TIPS Spread 2.31 +1.0 basis point
- Highest target rate probability for June 18th FOMC meeting: 57.6% (+2.1 percentage points) chance of 4.0%-4.25%. Highest target rate probability for July 30th meeting: 45.3%(+5.4 percentage points) chance of 3.75%-4.0%. (current target rate is 4.25-4.5%)
Overseas Futures:
- Nikkei 225 Futures: Indicating +550 open in Japan
- China A50 Futures: Indicating +69 open in China
- DAX Futures: Indicating +214 open in Germany
Portfolio:
- Higher: On gains in my utility/consumer discretionary/industrial/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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