Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.0 -2.0%
- S&P 500 Intraday % Swing .94 +26.9%
- Bloomberg Global Risk On/Risk Off Index 70.4 -1.1%
- Swiss Franc/Offshore Chinese Renminbi Cross 8.55 +.5%
- Euro/Yen Carry Return Index 185.4 +.27%
- Emerging Markets Currency Volatility(VXY) 8.2 -4.8%
- CBOE S&P 500 Implied Correlation Index 20.6 -13.0%
- ISE Sentiment Index 159.0 +27.0
- Total Put/Call .72 -15.3%
- NYSE Arms 1.0 +31.6%
- NYSE Non-Block Money Flow +$162.8M
Credit Investor Angst:
- North American Investment Grade CDS Index 54.1 -2.3%
- US Energy High-Yield OAS 400.7 -2.3%
- Bloomberg TRACE # Distressed Bonds Traded 248.0 -8.0
- European Financial Sector CDS Index 60.0 -3.7%
- Deutsche Bank Subordinated 5Y Credit Default Swap 144.9 -3.2%
- Italian/German 10Y Yld Spread 102.0 basis points -3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 80.7 -.1%
- Emerging Market CDS Index 168.0 -2.7%
- Israel Sovereign CDS 101.6 -1.4%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.94 +.16%
- 2-Year SOFR Swap Spread -21.25 basis points +.25 basis point
- 3M T-Bill Treasury Repo Spread 10.25 basis point -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -1.5 unch.
- MBS 5/10 Treasury Spread 150.0 +2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 634.0 -2.0 basis points
- Avg. Auto ABS OAS 70.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 36.95 +.3%
- US 10-Year T-Note Yield 4.50% +3.0 basis points
- 3-Month T-Bill Yield 4.37% -2.0 basis points
- China Iron Ore Spot 100.5 USD/Metric Tonne +1.0%
- Dutch TTF Nat Gas(European benchmark) 35.74 euros/megawatt-hour +1.0%
- Citi US Economic Surprise Index -8.3 -3.0 points
- Citi Eurozone Economic Surprise Index 15.8 +5.3 points
- Citi Emerging Markets Economic Surprise Index 26.9 +.1 point
- S&P 500 Current Quarter EPS Growth Rate YoY(455 of 500 reporting) +12.2% -.1 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 276.50 +.16: Growth Rate +12.1% unch., P/E 21.3 +.3
- S&P 500 Current Year Estimated Profit Margin 13.34% +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 425.13 +.35: Growth Rate +22.9% +.1 percentage point, P/E 31.9 +1.1
- Bloomberg US Financial Conditions Index .35 +27.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.30 +11.0 basis points
- Bloomberg Global Trade Policy Uncertainty Index 8.6 -.3 point
- US Yield Curve 48.25 basis points (2s/10s) +2.75 basis points
- US Atlanta Fed GDPNow Q2 Forecast +2.3% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 37.6% +1.4 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.60% -1.0 basis point: CPI YoY +2.40% +6.0 basis points
- 1-Year TIPS Spread 2.80 -6.0 basis points
- 10-Year TIPS Spread 2.34 +3.0 basis points
- Highest target rate probability for July 30th FOMC meeting: 63.3% (+1.9 percentage points) chance of 4.25%-4.5%. Highest target rate probability for Sept. 17th meeting: 51.2%(-1.7 percentage points) chance of 4.0%-4.25%. (current target rate is 4.25-4.5%)
Overseas Futures:
- Nikkei 225 Futures: Indicating +300 open in Japan
- China A50 Futures: Indicating +22 open in China
- DAX Futures: Indicating +65 open in Germany
Portfolio:
- Higher: On gains in my consumer discretionary/utility/technology/industrial/financial sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
No comments:
Post a Comment