Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.1 +4.9%
- S&P 500 Intraday % Swing .93 +86.5%
- Bloomberg Global Risk On/Risk Off Index 71.0 +3.1%
- Swiss Franc/Offshore Chinese Renminbi Cross 8.64 +.41%
- Euro/Yen Carry Return Index 182.9 +.2%
- Emerging Markets Currency Volatility(VXY) 8.40 -.9%
- CBOE S&P 500 Implied Correlation Index 20.4 +3.3%
- ISE Sentiment Index 165.0 +14.0
- Total Put/Call .90 +28.6%
- NYSE Arms .86 -1.2%
- NYSE Non-Block Money Flow -$191.6M
Credit Investor Angst:
- North American Investment Grade CDS Index 55.2 -1.3%
- US Energy High-Yield OAS 425.3 +1.1%
- Bloomberg TRACE # Distressed Bonds Traded 233.0 unch.
- European Financial Sector CDS Index 61.6 +.01%
- Deutsche Bank Subordinated 5Y Credit Default Swap 149.7 +1.5%
- Italian/German 10Y Yld Spread 101.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 80.5 +1.4%
- Emerging Market CDS Index 169.1 +.4%
- Israel Sovereign CDS 98.7 -1.9%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.95 +.02%
- 2-Year SOFR Swap Spread -21.25 basis points unch.
- 3M T-Bill Treasury Repo Spread 5.75 basis point +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -2.0 -.25 basis point
- MBS 5/10 Treasury Spread 153.0 +4.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 617.0 unch.
- Avg. Auto ABS OAS 64.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 37.0 +.24%
- US 10-Year T-Note Yield 4.47% -1.0 basis point
- 3-Month T-Bill Yield 4.35% +1.0 basis point
- China Iron Ore Spot 99.7 USD/Metric Tonne +.2%
- Dutch TTF Nat Gas(European benchmark) 35.2 euros/megawatt-hour +.2%
- Citi US Economic Surprise Index -10.6 +2.0 points
- Citi Eurozone Economic Surprise Index 16.0 +.6 point
- Citi Emerging Markets Economic Surprise Index 27.9 -.7
- S&P 500 Current Quarter EPS Growth Rate YoY(462 of 500 reporting) +11.5% -.4 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 276.57 +.17: Growth Rate +12.1% +.1 percentage point, P/E 21.5 unch.
- S&P 500 Current Year Estimated Profit Margin 13.32% -2.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +29.1% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 425.49 +.28: Growth Rate +23.0% unch., P/E 31.9 -.1
- Bloomberg US Financial Conditions Index .45 +8.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.27 +6.0 basis points
- Bloomberg Global Trade Policy Uncertainty Index 7.3 -.4
- US Yield Curve 48.5 basis points (2s/10s) +2.5 basis points
- US Atlanta Fed GDPNow Q2 Forecast +2.4% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 38.8% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.60% unch.: CPI YoY +2.38% unch.
- 1-Year TIPS Spread 2.89 +3.0 basis points
- 10-Year TIPS Spread 2.37 +1.0 basis point
- Highest target rate probability for July 30th FOMC meeting: 66.9% (unch.) chance of 4.25%-4.5%. Highest target rate probability for Sept. 17th meeting: 51.2%(+1.4 percentage points) chance of 4.0%-4.25%. (current target rate is 4.25-4.5%)
Overseas Futures:
- Nikkei 225 Futures: Indicating +62 open in Japan
- China A50 Futures: Indicating +16 open in China
- DAX Futures: Indicating +152 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/utility/financial/industrial sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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