Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.6 +1.9%
- Nasdaq Intraday % Swing .70 -4.1%
- Bloomberg Global Risk On/Risk Off Index 70.1 -1.9%
- Swiss Franc/Offshore Chinese Renminbi Cross 8.84 +.77%
- Euro/Yen Carry Return Index 186.98 +.06%
- Emerging Markets Currency Volatility(VXY) 8.04 +2.7%
- CBOE S&P 500 Implied Correlation Index 19.4 -.6%
- ISE Sentiment Index 149.0 -6.0
- Total Put/Call .82 +5.1%
- NYSE Arms 1.43 +26.6%
- NYSE Non-Block Money Flow -$170.7M
Credit Investor Angst:
- North American Investment Grade CDS Index 53.5 +.6%
- US Energy High-Yield OAS 380.2 +2.1%
- Bloomberg TRACE # Distressed Bonds Traded 210.0 unch.
- European Financial Sector CDS Index 60.2 +1.5%
- Deutsche Bank Subordinated 5Y Credit Default Swap 138.0 +.9%
- Italian/German 10Y Yld Spread 93.0 basis points +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 73.0 +2.6%
- Emerging Market CDS Index 161.7 +1.6%
- Israel Sovereign CDS 110.7 +14.9%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.89 +.08%
- 2-Year SOFR Swap Spread -22.25 basis points unch.
- 3M T-Bill Treasury Repo Spread 9.75 basis point +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -2.0 unch.
- MBS 5/10 Treasury Spread 149.0 unch.
- Bloomberg CMBS Investment Grade Bbb Average OAS 604.0 -1.0 basis point
- Avg. Auto ABS OAS 57.0 +1.0
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 37.13 -.08%
- US 10-Year T-Note Yield 4.36% -7.0 basis points
- 3-Month T-Bill Yield 4.36% +1.0 basis point
- China Iron Ore Spot 94.1 USD/Metric Tonne -.5%
- Dutch TTF Nat Gas(European benchmark) 36.2 euros/megawatt-hour +.7%
- Citi US Economic Surprise Index -13.4 -1.9 points
- Citi Eurozone Economic Surprise Index 27.3 -.1 point
- Citi Emerging Markets Economic Surprise Index 34.0 +.2 point
- S&P 500 Current Quarter EPS Growth Rate YoY(499 of 500 reporting) +12.7% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 277.70 +.14: Growth Rate +9.3% +.1 percentage point, P/E 21.7 -.1
- S&P 500 Current Year Estimated Profit Margin 13.21% -2.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(10 of 10 reporting) +33.0% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 431.29 +.25: Growth Rate +15.5% +.1 percentage point, P/E 33.0 -.1
- Bloomberg US Financial Conditions Index .44 -4.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.43 +4.0 basis points
- Bloomberg Global Trade Policy Uncertainty Index 4.7 -.4
- US Yield Curve 45.25 basis points (2s/10s) -1.5 basis points
- US Atlanta Fed GDPNow Q2 Forecast +3.8% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 41.1% +4.1 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.58% unch.: CPI YoY +2.61% unch.
- 1-Year TIPS Spread 2.53 -9.0 basis points
- 10-Year TIPS Spread 2.27 -2.0 basis points
- Highest target rate probability for July 30th FOMC meeting: 76.9% (-4.5 percentage points) chance of 4.25%-4.5%. Highest target rate probability for Sept. 17th meeting: 60.4%(+2.6 percentage points) chance of 4.0%-4.25%. (current target rate is 4.25-4.5%)
Overseas Futures:
- Nikkei 225 Futures: Indicating +146 open in Japan
- China A50 Futures: Indicating -78 open in China
- DAX Futures: Indicating +20 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/utility sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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