Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 16.8 +5.1%
- DJIA Intraday % Swing 1.25%
- Bloomberg Global Risk On/Risk Off Index 68.2 -.6%
- Euro/Yen Carry Return Index 166.98 +.22%
- Emerging Markets Currency Volatility(VXY) 9.0 +1.0%
- CBOE S&P 500 Implied Correlation Index 23.9 +10.3%
- ISE Sentiment Index 92.0 -17.0 points
- Total Put/Call 1.0 -14.5%
- NYSE Arms 1.33 -31.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.3 +1.52%
- US Energy High-Yield OAS 331.72 +.7%
- Bloomberg TRACE # Distressed Bonds Traded 359.0 -4.0
- European Financial Sector CDS Index 85.27 +.26%
- Deutsche Bank Subordinated 5Y Credit Default Swap 267.45 -.48%
- Italian/German 10Y Yld Spread 166.0 basis points +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 128.61 -.47%
- Emerging Market CDS Index 208.82 -.58%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.9 unch.
- 2-Year SOFR Swap Spread -12.75 basis points -.25 basis point
- TED Spread 18.5 basis points -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -12.0 -.75 basis point
- MBS 5/10 Treasury Spread 179.0 unch.
- Bloomberg CMBS Investment Grade Bbb Average OAS 772.0 unch.
- Avg. Auto ABS OAS 70.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 43.3 +1.8%
- 3-Month T-Bill Yield 5.47% +4.0 basis points
- China Iron Ore Spot 112.3 USD/Metric Tonne +.36%
- Dutch TTF Nat Gas(European benchmark) 31.9 euros/megawatt-hour -13.3%
- Citi US Economic Surprise Index 60.5 +.5 point
- Citi Eurozone Economic Surprise Index -64.8 +.4 point
- Citi Emerging Markets Economic Surprise Index 2.4 -.3 point
- S&P 500 Current Quarter EPS Growth Rate YoY(482 of 500 reporting) -6.2% +1.1 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 235.73 n/a: Growth Rate +7.4% n/a, P/E 18.8 n/a
- S&P 500 Current Year Estimated Profit Margin 12.18% -1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(10 of 10 reporting) +24.3% +7.3 percentage points
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 234.17 n/a: Growth Rate +42.7% n/a, P/E 32.8 n/a
- Bloomberg US Financial Conditions Index .32 +6.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index -.09 -11.0 basis points
- US Yield Curve -78.75 basis points (2s/10s) -2.25 basis points
- US Atlanta Fed 2Q GDPNow Forecast +5.91% +15.0 basis points
- Cleveland Fed Inflation Nowcast Core PCE YoY +4.23% unch.: CPI YoY +3.83% +1.0 basis point
- 10-Year TIPS Spread 2.33 -2.0 basis points
- Highest target rate probability for Nov. 1st FOMC meeting: 54.6%(-3.2 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Dec. 13th meeting: 53.7%(-1.4 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -532 open in Japan
- China A50 Futures: Indicating -57 open in China
- DAX Futures: Indicating +19 open in Germany
Portfolio:
- Lower: On losses in my tech/industrial/medical/transport sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 50% Net Long