Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 14.6 -.9%
- S&P 500 Intraday % Swing .55 -42.5%
- Bloomberg Global Risk On/Risk Off Index 79.1 +.7%
- Swiss Franc/Offshore Chinese Renminbi Cross 8.92 +.12%
- Euro/Yen Carry Return Index 194.6 -.05%
- Emerging Markets Currency Volatility(VXY) 7.17 +.14%
- CBOE S&P 500 Implied Correlation Index 14.9 -1.1%
- ISE Sentiment Index 157.0 -2.0
- Total Put/Call .73 -22.3%
- NYSE Arms 1.53 +50.0%
- NYSE Non-Block Money Flow +$208.0M
Credit Investor Angst:
- North American Investment Grade CDS Index 49.7 -.7%
- US Energy High-Yield OAS 355.0 -1.0%
- Bloomberg TRACE # Distressed Bonds Traded 206.0 -5.0
- European Financial Sector CDS Index 53.8 -1.6%
- Deutsche Bank Subordinated 5Y Credit Default Swap 118.3 -1.54%
- Italian/German 10Y Yld Spread 77.0 -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 67.4 -1.7%
- Emerging Market CDS Index 145.9 -1.0%
- Israel Sovereign CDS 77.9 +4.9%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.3 +.1%
- 2-Year SOFR Swap Spread -24.5 basis points unch.
- 3M T-Bill Treasury Repo Spread -13.25 basis points -2.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap 2.5 unch.
- MBS 5/10 Treasury Spread 138.0 unch.
- Bloomberg CMBS Investment Grade Bbb Average OAS 584.0 unch.
- Avg. Auto ABS OAS 52.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 36.7 +.05%
- US 10-Year T-Note Yield 4.24% -5.0 basis points
- 3-Month T-Bill Yield 4.21% -1.0 basis point
- China Iron Ore Spot 103.7 USD/Metric Tonne +.2%
- Dutch TTF Nat Gas(European benchmark) 32.6 euros/megawatt-hour +.6%
- Citi US Economic Surprise Index 8.0 +.1 point
- Citi Eurozone Economic Surprise Index 24.9 -.1 point
- Citi Emerging Markets Economic Surprise Index 9.6 -2.0 points
- S&P 500 Current Quarter EPS Growth Rate YoY(454 of 500 reporting) +11.4% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 287.29 +.12: Growth Rate +12.5% +.1 percentage point, P/E 22.5 +.1
- S&P 500 Current Year Estimated Profit Margin 13.45% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +23.6% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 469.06 +.65: Growth Rate +24.3% +.1 percentage point, P/E 32.9 unch.
- Bloomberg US Financial Conditions Index .66 +8.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.46 +9.0 basis points
- Bloomberg Global Trade Policy Uncertainty Index 6.1 -.3
- US Yield Curve 55.25 basis points (2s/10s) +4.75 basis points
- US Atlanta Fed GDPNow Q2 Forecast +2.5% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 43.7% +1.2 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.89% unch.: CPI YoY +2.84% -1.0 basis point
- 1-Year TIPS Spread 2.67 -1.0 basis point
- 10-Year TIPS Spread 2.38 -2.0 basis points
- Highest target rate probability for Oct. 29th FOMC meeting: 66.9% (+6.7 percentage points) chance of 3.75%-4.0%. Highest target rate probability for Dec. 10th meeting: 55.0%(+4.7 percentage points) chance of 3.5%-3.75%. (current target rate is 4.25-4.5%)
Overseas Futures:
- Nikkei 225 Futures: Indicating -124 open in Japan
- China A50 Futures: Indicating +68 open in China
- DAX Futures: Indicating +75 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/consumer discretionary sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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