Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 19.2 -.4%
- S&P 500 Intraday % Swing .77 -8.0%
- Bloomberg Global Risk On/Risk Off Index 68.5 -1.7%
- Swiss Franc/Offshore Chinese Renminbi Cross 8.74 +.51%
- Euro/Yen Carry Return Index 184.34 +.24%
- Emerging Markets Currency Volatility(VXY) 8.43 -.59%
- CBOE S&P 500 Implied Correlation Index 21.9 +3.5%
- ISE Sentiment Index 176.0 +10.0
- Total Put/Call .73 -8.8%
- NYSE Arms 1.64 +74.5%
- NYSE Non-Block Money Flow +$43.4M
Credit Investor Angst:
- North American Investment Grade CDS Index 56.4 +.5%
- US Energy High-Yield OAS 418.95 -2.9%
- Bloomberg TRACE # Distressed Bonds Traded 215.0 -2.0
- European Financial Sector CDS Index 61.7 -.6%
- Deutsche Bank Subordinated 5Y Credit Default Swap 143.7 -1.7%
- Italian/German 10Y Yld Spread 98.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 76.9 -2.1%
- Emerging Market CDS Index 171.0 +.3%
- Israel Sovereign CDS 98.1 +1.1%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.77 +.04%
- 2-Year SOFR Swap Spread -22.5 basis points -.5 basis point
- 3M T-Bill Treasury Repo Spread 2.25 basis point -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -1.5 +1.25 basis points
- MBS 5/10 Treasury Spread 155.0 +1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 614.0 +2.0 basis points
- Avg. Auto ABS OAS 60.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 37.15 +.36%
- US 10-Year T-Note Yield 4.42% -6.0 basis points
- 3-Month T-Bill Yield 4.34% +1.0 basis point
- China Iron Ore Spot 97.0 USD/Metric Tonne +.06%
- Dutch TTF Nat Gas(European benchmark) 35.2 euros/megawatt-hour -4.2%
- Citi US Economic Surprise Index 11.9 -2.4 points
- Citi Eurozone Economic Surprise Index 14.9 +1.3 points
- Citi Emerging Markets Economic Surprise Index 35.5 +1.4 points
- S&P 500 Current Quarter EPS Growth Rate YoY(487 of 500 reporting) +12.5% +1.2 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 276.19 -.03: Growth Rate +8.7% -3.3 percentage points, P/E 21.3 -.1
- S&P 500 Current Year Estimated Profit Margin 13.26% -4.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(8 of 10 reporting) +32.5% +3.4 percentage points
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 426.46 -.07: Growth Rate +23.3% unch., P/E 32.2 -.2
- Bloomberg US Financial Conditions Index .33 unch.
- Bloomberg Euro-Zone Financial Conditions Index 1.45 unch.
- Bloomberg Global Trade Policy Uncertainty Index 6.8 +.3
- US Yield Curve 48.25 basis points (2s/10s) unch.
- US Atlanta Fed GDPNow Q2 Forecast +2.2% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 37.5% -2.2 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.60% unch.: CPI YoY +2.40% unch.
- 1-Year TIPS Spread 2.78 -14.0 basis points
- 10-Year TIPS Spread 2.32 -2.0 basis points
- Highest target rate probability for July 30th FOMC meeting: 74.9% (-2.7 percentage points) chance of 4.25%-4.5%. Highest target rate probability for Sept. 17th meeting: 52.8%(+4.7 percentage points) chance of 4.0%-4.25%. (current target rate is 4.25-4.5%)
Overseas Futures:
- Nikkei 225 Futures: Indicating -527 open in Japan
- China A50 Futures: Indicating -136 open in China
- DAX Futures: Indicating +20 open in Germany
Portfolio:
- Slightly Higher: On gains in my utility/financial/industrial sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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