Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 16.9 -2.0%
- S&P 500 Intraday % Swing .69 +25.4%
- Bloomberg Global Risk On/Risk Off Index 77.7 +.5%
- Swiss Franc/Offshore Chinese Renminbi Cross 8.96 -.31%
- Euro/Yen Carry Return Index 194.56 +.23%
- Emerging Markets Currency Volatility(VXY) 7.75 -1.7%
- CBOE S&P 500 Implied Correlation Index 18.7 -1.8%
- ISE Sentiment Index 193.0 +7.0
- Total Put/Call .76 -10.6%
- NYSE Arms .60 -35.5%
- NYSE Non-Block Money Flow -$89.2M
Credit Investor Angst:
- North American Investment Grade CDS Index 51.6 +1.3%
- US Energy High-Yield OAS 377.0 +.33%
- Bloomberg TRACE # Distressed Bonds Traded 201.0 +11.0
- European Financial Sector CDS Index 58.9 +.4%
- Deutsche Bank Subordinated 5Y Credit Default Swap 127.96 -.31%
- Italian/German 10Y Yld Spread 86.0 unch.
- Asia Ex-Japan Investment Grade CDS Index 73.8 -.6%
- Emerging Market CDS Index 156.2 +.03%
- Israel Sovereign CDS 77.0 -1.8%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.97 -.08%
- 2-Year SOFR Swap Spread -25.25 basis points -.5 basis point
- 3M T-Bill Treasury Repo Spread 1.5 basis point +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap .75 unch.
- MBS 5/10 Treasury Spread 146.0 unch.
- Bloomberg CMBS Investment Grade Bbb Average OAS 599.0 +1.0 basis point
- Avg. Auto ABS OAS 53.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 36.8 -.14%
- US 10-Year T-Note Yield 4.49% +5.0 basis points
- 3-Month T-Bill Yield 4.34% +1.0 basis point
- China Iron Ore Spot 98.7 USD/Metric Tonne -.3%
- Dutch TTF Nat Gas(European benchmark) 34.4 euros/megawatt-hour -2.9%
- Citi US Economic Surprise Index 2.8 unch.
- Citi Eurozone Economic Surprise Index 35.6 +3.5 points
- Citi Emerging Markets Economic Surprise Index 20.1 -.5 point
- S&P 500 Current Quarter EPS Growth Rate YoY(27 of 500 reporting) +8.3% +7.5 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 281.82 +.02: Growth Rate +10.8% unch., P/E 22.3 +.1
- S&P 500 Current Year Estimated Profit Margin 13.42% -1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 449.08 +.18: Growth Rate +20.3% +.1 percentage point, P/E 33.4 +.3
- Bloomberg US Financial Conditions Index .57 -2.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.33 -11.0 basis points
- Bloomberg Global Trade Policy Uncertainty Index 9.7 +.2
- US Yield Curve 53.0 basis points (2s/10s) unch.
- US Atlanta Fed GDPNow Q2 Forecast +2.6% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 40.5% -1.5 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.66% -2.0 basis points: CPI YoY +2.73% +9.0 basis points
- 1-Year TIPS Spread 2.77 unch.
- 10-Year TIPS Spread 2.42 +2.0 basis points
- Highest target rate probability for Sept. 17th FOMC meeting: 52.6% (-6.7 percentage points) chance of 4.0%-4.25%. Highest target rate probability for Oct. 29th meeting: 49.2%(+3.2 percentage points) 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 38.0% +1.0 percentage point.
- India 57.0% +13.0 percentage points.
- Japan 21.0% +2.0 percentage points
- South Korea 40.0% -3.0 percentage points.
Overseas Futures:
- Nikkei 225 Futures: Indicating +17 open in Japan
- China A50 Futures: Indicating -46 open in China
- DAX Futures: Indicating +103 open in Germany
Portfolio:
- Slightly Lower: On losses in my utility/consumer discretionary/financial sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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