Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.8 -1.0%
- S&P 500 Intraday % Swing .64 -46.7%
- Bloomberg Global Risk On/Risk Off Index 70.7 +2.8%
- Swiss Franc/Offshore Chinese Renminbi Cross 8.69 +.03%
- Euro/Yen Carry Return Index 183.9 +.05%
- Emerging Markets Currency Volatility(VXY) 8.46 -.7%
- CBOE S&P 500 Implied Correlation Index 20.3 +2.4%
- ISE Sentiment Index 194.0 +47.0
- Total Put/Call .72 -18.2%
- NYSE Arms .69 -33.7%
- NYSE Non-Block Money Flow -$139.7M
Credit Investor Angst:
- North American Investment Grade CDS Index 55.9 +.4%
- US Energy High-Yield OAS 418.5 -.9%
- Bloomberg TRACE # Distressed Bonds Traded 217.0 -8.0
- European Financial Sector CDS Index 62.0 -.3%
- Deutsche Bank Subordinated 5Y Credit Default Swap 146.2 -1.9%
- Italian/German 10Y Yld Spread 98.0 basis points -3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 78.6 -1.1%
- Emerging Market CDS Index 170.5 +.1%
- Israel Sovereign CDS 97.1 -1.8%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.93 -.03%
- 2-Year SOFR Swap Spread -22.0 basis points +1.75 basis points
- 3M T-Bill Treasury Repo Spread 2.75 basis point +2.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -2.75 +.5 basis point
- MBS 5/10 Treasury Spread 154.0 -3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 612.0 -1.0 basis point
- Avg. Auto ABS OAS 60.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 37.02 -.2%
- US 10-Year T-Note Yield 4.48% +3.0 basis points
- 3-Month T-Bill Yield 4.33% +3.0 basis points
- China Iron Ore Spot 95.4 USD/Metric Tonne +.3%
- Dutch TTF Nat Gas(European benchmark) 36.7 euros/megawatt-hour -.9%
- Citi US Economic Surprise Index 14.3 +1.1 points
- Citi Eurozone Economic Surprise Index 13.6 -1.1 points
- Citi Emerging Markets Economic Surprise Index 34.1 +2.6 points
- S&P 500 Current Quarter EPS Growth Rate YoY(479 of 500 reporting) +11.3% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 276.22 +.05: Growth Rate +12.0% unch., P/E 21.4 unch.
- S&P 500 Current Year Estimated Profit Margin 13.30% +1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +29.1% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 426.53 +.04: Growth Rate +23.3% unch., P/E 32.4 +.2
- Bloomberg US Financial Conditions Index .33 +20.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.45 -34.0 basis points
- Bloomberg Global Trade Policy Uncertainty Index 6.5 +.5
- US Yield Curve 48.25 basis points (2s/10s) +2.75 basis points
- US Atlanta Fed GDPNow Q2 Forecast +2.2% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 39.7% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.60% unch.: CPI YoY +2.40% unch.
- 1-Year TIPS Spread 2.92 unch.
- 10-Year TIPS Spread 2.34 unch.
- Highest target rate probability for July 30th FOMC meeting: 75.6% (unch.) chance of 4.25%-4.5%. Highest target rate probability for Sept. 17th meeting: 47.2%(-1.8 percentage points) chance of 4.0%-4.25%. (current target rate is 4.25-4.5%)
Overseas Futures:
- Nikkei 225 Futures: Indicating +205 open in Japan
- China A50 Futures: Indicating -106 open in China
- DAX Futures: Indicating +131 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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