Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Around Average
- Market Leading Stocks: Performing Inline
Equity Investor Angst:
- Volatility(VIX) 18.0 +3.0%
- S&P 500 Intraday % Swing .75 +29.5%
- Bloomberg Global Risk On/Risk Off Index 73.1 +.02%
- Swiss Franc/Offshore Chinese Renminbi Cross 8.99 -.37%
- Euro/Yen Carry Return Index 192.6 +.6%
- Emerging Markets Currency Volatility(VXY) 7.80 +1.7%
- CBOE S&P 500 Implied Correlation Index 19.8 +10.2%
- ISE Sentiment Index 168.0 -8.0
- Total Put/Call .89 -23.9%
- NYSE Arms .72 -29.4%
- NYSE Non-Block Money Flow -$361.9M
Credit Investor Angst:
- North American Investment Grade CDS Index 50.74 +2.6%
- US Energy High-Yield OAS 374.5 +2.4%
- Bloomberg TRACE # Distressed Bonds Traded 200.0 -8.0
- European Financial Sector CDS Index 58.2 -1.8%
- Deutsche Bank Subordinated 5Y Credit Default Swap 128.4 -1.0%
- Italian/German 10Y Yld Spread 85.0 +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 73.2 +.7%
- Emerging Market CDS Index 155.9 +2.9%
- Israel Sovereign CDS 83.0 +.5%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.0 -.15%
- 2-Year SOFR Swap Spread -26.5 basis points -1.0 basis point
- 3M T-Bill Treasury Repo Spread 2.75 basis point -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap .25 unch.
- MBS 5/10 Treasury Spread 146.0 +3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 598.0 unch.
- Avg. Auto ABS OAS 55.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 37.0 -.45%
- US 10-Year T-Note Yield 4.39% +5.0 basis points
- 3-Month T-Bill Yield 4.35% -1.0 basis point
- China Iron Ore Spot 95.5 USD/Metric Tonne +.3%
- Dutch TTF Nat Gas(European benchmark) 33.6 euros/megawatt-hour +.5%
- Citi US Economic Surprise Index -.4 +2.2 points
- Citi Eurozone Economic Surprise Index 32.3 -.1 point
- Citi Emerging Markets Economic Surprise Index 25.4 -2.1 points
- S&P 500 Current Quarter EPS Growth Rate YoY(18 of 500 reporting) +1.7% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 281.17 +.47: Growth Rate +10.6% +.2 percentage point, P/E 22.2 unch.
- S&P 500 Current Year Estimated Profit Margin 13.43% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 447.18 +.70: Growth Rate +19.8% +.2 percentage point, P/E 33.5 +.3
- Bloomberg US Financial Conditions Index .54 +1.0 basis point
- Bloomberg Euro-Zone Financial Conditions Index 1.47 -9.0 basis points
- Bloomberg Global Trade Policy Uncertainty Index 4.9 +.2
- US Yield Curve 49.0 basis points (2s/10s) +3.0 basis points
- US Atlanta Fed GDPNow Q2 Forecast +2.6% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 45.7% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.68% unch.: CPI YoY +2.64% unch.
- 1-Year TIPS Spread 2.71 +9.0 basis points
- 10-Year TIPS Spread 2.36 +2.0 basis points
- Highest target rate probability for Sept. 17th FOMC meeting: 62.7% (-1.3 percentage points) chance of 4.0%-4.25%. Highest target rate probability for Oct. 29th meeting: 45.1%(+1.0 percentage point) chance of 4.0%-4.25%. (current target rate is 4.25-4.5%)
Polymarket:
- Which Countries Will the US Agree to Tariff Agreements with Before August?:
- EU 73.0% +16.0 percentage points
- India 78.0% -7.0 percentage points
- Canada 69.0% unch.
Overseas Futures:
- Nikkei 225 Futures: Indicating +23 open in Japan
- China A50 Futures: Indicating -100 open in China
- DAX Futures: Indicating +45 open in Germany
Portfolio:
- Lower: On losses in my industrial/tech/financial/consumer discretionary sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 75% Net Long
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