Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.7 +6.0%
- S&P 500 Intraday % Swing .26 +15.9%
- Bloomberg Global Risk On/Risk Off Index 83.2 -.4%
- Swiss Franc/Offshore Chinese Renminbi Cross 8.96 +.25%
- Euro/Yen Carry Return Index 195.73 unch.
- Emerging Markets Currency Volatility(VXY) 6.75 -1.6%
- CBOE S&P 500 Implied Correlation Index 14.1 +.8%
- ISE Sentiment Index 202.0 +39.0
- Total Put/Call .87 +10.1%
- NYSE Arms .96 -18.0%
- NYSE Non-Block Money Flow +$113.7M
Credit Investor Angst:
- North American Investment Grade CDS Index 47.0 -1.6%
- US Energy High-Yield OAS 350.0 -.7%
- Bloomberg TRACE # Distressed Bonds Traded 210.0 -11.0
- European Financial Sector CDS Index 53.0 -1.8%
- Deutsche Bank Subordinated 5Y Credit Default Swap 118.5 -1.6%
- Italian/German 10Y Yld Spread 78.0 -3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 60.9 +.9%
- Emerging Market CDS Index 139.4 -.6%
- Israel Sovereign CDS 75.6 -.9%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.57 +.24%
- 2-Year SOFR Swap Spread -24.0 basis points +.25 basis point
- 3M T-Bill Treasury Repo Spread -41.25 basis points -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap 1.55 +.75 basis point
- MBS 5/10 Treasury Spread 116.0 -4.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 588.0 -1.0 basis point
- Avg. Auto ABS OAS 50.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 36.5 +.2%
- US 10-Year T-Note Yield 4.04% -3.0 basis points
- 3-Month T-Bill Yield 3.99% -3.0 basis points
- China Iron Ore Spot 107.2 USD/Metric Tonne +1.5%
- Dutch TTF Nat Gas(European benchmark) 32.2 euros/megawatt-hour -1.6%
- Citi US Economic Surprise Index 9.7 -3.2 points
- Citi Eurozone Economic Surprise Index 17.9 -1.5 points
- Citi Emerging Markets Economic Surprise Index 6.3 -5.1 points
- S&P 500 Current Quarter EPS Growth Rate YoY(2 of 500 reporting) +8.3% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 292.44 +.52: Growth Rate +11.7% +.2 percentage point, P/E 22.6 unch.
- S&P 500 Current Year Estimated Profit Margin 13.48% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 486.22 +1.13: Growth Rate +18.9% +.3 percentage point, P/E 33.3 +.3
- Bloomberg US Financial Conditions Index .73 +8.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.47 unch.
- Bloomberg Global Trade Policy Uncertainty Index 2.6 unch.
- US Yield Curve 49.75 basis points (2s/10s) +1.5 basis points
- US Atlanta Fed GDPNow Q2 Forecast +3.1% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 40.6% -1.0 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.99% unch.: CPI YoY +3.01% unch.
- 1-Year TIPS Spread 2.72 +3.0 basis points
- 10-Year TIPS Spread 2.37 +1.0 basis point
- Highest target rate probability for Oct. 29th FOMC meeting: 74.8% (-5.2 percentage points) chance of 3.75%-4.0%. Highest target rate probability for Dec. 10th meeting: 68.2%(-5.8 percentage points) chance of 3.5%-3.75%. (current target rate is 4.25-4.5%)
Overseas Futures:
- Nikkei 225 Futures: Indicating -68 open in Japan
- China A50 Futures: Indicating +49 open in China
- DAX Futures: Indicating +2 open in Germany
Portfolio:
- Slightly Higher: On gains in my utility/tech/industrial/consumer discretionary sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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