Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 16.7 -6.0%
- S&P 500 Intraday % Swing .40 -46.7%
- Bloomberg Global Risk On/Risk Off Index 77.3 +4.7%
- Swiss Franc/Offshore Chinese Renminbi Cross 9.02 +.34%
- Euro/Yen Carry Return Index 193.67 +.6%
- Emerging Markets Currency Volatility(VXY) 7.81 -.38%
- CBOE S&P 500 Implied Correlation Index 18.4 -5.7%
- ISE Sentiment Index 197.0 +37.0
- Total Put/Call .86 -5.5%
- NYSE Arms 1.01 +23.2%
- NYSE Non-Block Money Flow -$69.9M
Credit Investor Angst:
- North American Investment Grade CDS Index 51.2 +.7%
- US Energy High-Yield OAS 375.7 +.3%
- Bloomberg TRACE # Distressed Bonds Traded 190.0 -10.0
- European Financial Sector CDS Index 58.48 +.52%
- Deutsche Bank Subordinated 5Y Credit Default Swap 127.95 -.38%
- Italian/German 10Y Yld Spread 85.0 unch.
- Asia Ex-Japan Investment Grade CDS Index 73.5 +.11%
- Emerging Market CDS Index 156.5 +.2%
- Israel Sovereign CDS 82.2 -.9%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.93 -.14%
- 2-Year SOFR Swap Spread -25.5 basis points +1.0 basis point
- 3M T-Bill Treasury Repo Spread 4.25 basis point +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap .5 +.25 basis point
- MBS 5/10 Treasury Spread 145.0 -1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 600.0 +2.0 basis points
- Avg. Auto ABS OAS 55.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 37.0 +.06%
- US 10-Year T-Note Yield 4.41% +2.0 basis points
- 3-Month T-Bill Yield 4.35% unch.
- China Iron Ore Spot 96.0 USD/Metric Tonne +.24%
- Dutch TTF Nat Gas(European benchmark) 34.2 euros/megawatt-hour +1.8%
- Citi US Economic Surprise Index .9 +1.3 points
- Citi Eurozone Economic Surprise Index 32.2 -.1 point
- Citi Emerging Markets Economic Surprise Index 25.0 -.4 point
- 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 281.22 +.05: Growth Rate +10.6% unch., P/E 22.2 unch.
- 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 447.39 +.19: Growth Rate +19.8% unch., P/E 33.2 -.3
- Bloomberg US Financial Conditions Index .53 -1.0 basis point
- Bloomberg Euro-Zone Financial Conditions Index 1.66 +19.0 basis points
- Bloomberg Global Trade Policy Uncertainty Index 5.8 +.9
- US Yield Curve 50.5 basis points (2s/10s) +1.5 basis points
- US Atlanta Fed GDPNow Q2 Forecast +2.6% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 41.5% -4.2 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.68% unch.: CPI YoY +2.64% unch.
- 1-Year TIPS Spread 2.79 +8.0 basis points
- 10-Year TIPS Spread 2.36 unch.
- Highest target rate probability for Sept. 17th FOMC meeting: 62.9% (+2.4 percentage points) chance of 4.0%-4.25%. Highest target rate probability for Oct. 29th meeting: 46.3%(+1.2 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 78.0% +3.0 percentage points
- India 81.0% -4.0 percentage points
- Japan 53.0% unch.
- South Korea 47.0% -3.0 percentage points
Overseas Futures:
- Nikkei 225 Futures: Indicating +362 open in Japan
- China A50 Futures: Indicating -94 open in China
- DAX Futures: Indicating +135 open in Germany
Portfolio:
- Lower: On losses in my tech/consumer discretionary/utility sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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