Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.1 +12.5%
- S&P 500 Intraday % Swing .75 +2.5%
- Bloomberg Global Risk On/Risk Off Index 78.5 -2.2%
- Swiss Franc/Offshore Chinese Renminbi Cross 8.87 -.5%
- Euro/Yen Carry Return Index 195.0 +.21%
- Emerging Markets Currency Volatility(VXY) 7.11 +1.4%
- CBOE S&P 500 Implied Correlation Index 17.7 +16.3%
- ISE Sentiment Index 142.0 -6.0
- Total Put/Call .91 -59.9%
- NYSE Arms .57 -25.0%
- NYSE Non-Block Money Flow -$246.2M
Credit Investor Angst:
- North American Investment Grade CDS Index 51.8 +1.8%
- US Energy High-Yield OAS 373.7 +2.4%
- Bloomberg TRACE # Distressed Bonds Traded 211.0 +5.0
- European Financial Sector CDS Index 61.3 +2.7%
- Deutsche Bank Subordinated 5Y Credit Default Swap 133.0 +3.6%
- Italian/German 10Y Yld Spread 88.0 +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 65.6 +.5%
- Emerging Market CDS Index 147.0 +1.5%
- Israel Sovereign CDS 73.8 -.6%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.27 -.1%
- 2-Year SOFR Swap Spread -23.0 basis points -.5 basis point
- 3M T-Bill Treasury Repo Spread -20.25 basis points -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap 1.0 -.25 basis point
- MBS 5/10 Treasury Spread 138.0 +2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 583.0 unch.
- Avg. Auto ABS OAS 51.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 36.40 -.21%
- US 10-Year T-Note Yield 4.28% +5.0 basis points
- 3-Month T-Bill Yield 4.13% -1.0 basis point
- China Iron Ore Spot 102.6 USD/Metric Tonne +.2%
- Dutch TTF Nat Gas(European benchmark) 31.8 euros/megawatt-hour -.9%
- Citi US Economic Surprise Index 31.2 +5.0 points
- Citi Eurozone Economic Surprise Index 31.2 +6.0 points
- Citi Emerging Markets Economic Surprise Index 10.1 +2.9 points
- S&P 500 Current Quarter EPS Growth Rate YoY(489 of 500 reporting) +12.4% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 289.95 +.40: Growth Rate +10.8% +.2 percentage point, P/E 21.9 -.6
- S&P 500 Current Year Estimated Profit Margin 13.52% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +27.9% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 476.27 +.92: Growth Rate +16.5% +.2 percentage point, P/E 31.5 -1.2
- Bloomberg US Financial Conditions Index .57 -9.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 2.02 +45.0 basis points
- Bloomberg Global Trade Policy Uncertainty Index 4.4+.1
- US Yield Curve 61.5 basis points (2s/10s) +1.75 basis points
- US Atlanta Fed GDPNow Q2 Forecast +3.0% -50.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 44.4% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.95% unch.: CPI YoY +2.84% unch.
- 1-Year TIPS Spread 2.75 -2.0 basis points
- 10-Year TIPS Spread 2.42 unch.
- Highest target rate probability for Oct. 29th FOMC meeting: 48.3% (+3.0 percentage points) chance of 4.0%-4.25%. Highest target rate probability for Dec. 10th meeting: 48.5%(+2.2 percentage points) chance of 3.75%-4.0%. (current target rate is 4.25-4.5%)
Overseas Futures:
- Nikkei 225 Futures: Indicating -290 open in Japan
- China A50 Futures: Indicating -22 open in China
- DAX Futures: Indicating +128 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/industrial/financial/utility sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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