Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 17.9 +2.4%
- DJIA Intraday % Swing .72%
- Bloomberg Global Risk On/Risk Off Index 56.5 -5.4%
- Euro/Yen Carry Return Index 157.2 -.39%
- Emerging Markets Currency Volatility(VXY) 9.8 +3.7%
- CBOE S&P 500 Implied Correlation Index 24.2 -4.3%
- ISE Sentiment Index 137.0 +11.0 points
- Total Put/Call .82 -46.8%
- NYSE Arms 1.38 +39.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 75.9 -.39%
- US Energy High-Yield OAS 389.1 +1.8%
- Bloomberg TRACE # Distressed Bonds Traded 399.0 -21.0
- European Financial Sector CDS Index 91.0 +.26%
- Deutsche Bank Subordinated 5Y Credit Default Swap 312.5 +.37%
- Italian/German 10Y Yld Spread 181.0 basis points -5.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 121.2 -4.3%
- Emerging Market CDS Index 245.33 -1.9%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.7 +.23%
- 2-Year Swap Spread 20.0 basis points +.75 basis point
- TED Spread 20.5 basis points +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -23.5 -.5 basis point
- MBS 5/10 Treasury Spread 184.0 -7.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 719.0 +1.0 basis point
- Avg. Auto ABS OAS 92.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 46.6 -.45%
- 3-Month T-Bill Yield 5.28% +4.0 basis points
- China Iron Ore Spot 96.3 USD/Metric Tonne -2.2%
- Dutch TTF Nat Gas(European benchmark) 24.7 euros/megawatt-hour +.48%
- Citi US Economic Surprise Index 25.3 +3.3 points
- Citi Eurozone Economic Surprise Index -63.5 -16.8 points
- Citi Emerging Markets Economic Surprise Index 8.4 -4.2 points
- S&P 500 Current Quarter EPS Growth Rate YoY(485 of 500 reporting) -3.0% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 229.67 +.69: Growth Rate +2.8% +.4 percentage point, P/E 18.3 unch.
- S&P 500 Current Year Estimated Profit Margin 12.26% +2.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(10 of 10 reporting) -2.7% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 205.33 +5.02: Growth Rate +34.9% +3.3 percentage points, P/E 35.4 +.9
- Bloomberg US Financial Conditions Index -.10 -4.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index -4.71 -8.0 basis points
- US Yield Curve -79.25 basis points (2s/10s) -2.75 basis points
- US Atlanta Fed 2Q GDPNow Forecast +1.90% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +4.71% +6.0 basis points: CPI YoY +4.12% unch.
- 10-Year TIPS Spread 2.23 -3.0 basis points
- Highest target rate probability for July 26th FOMC meeting: 53.9%(+1.7 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Sept. 20th meeting: 46.4%(-.3 percentage point) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -218 open in Japan
- China A50 Futures: Indicating -166 open in China
- DAX Futures: Indicating +9 open in Germany
Portfolio:
- Higher: On gains in my tech/utility sector longs and emerging market shorts
- Disclosed Trades: Added to my emerging market shorts
- Market Exposure: Moved to 50% Net Long