Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 15.0 +1.2%
- DJIA Intraday % Swing .47%
- Bloomberg Global Risk On/Risk Off Index 71.3 -.45%
- Euro/Yen Carry Return Index 167.9 +.04%
- Emerging Markets Currency Volatility(VXY) 9.2 +2.5%
- CBOE S&P 500 Implied Correlation Index 21.3 -1.4%
- ISE Sentiment Index 102.0 +2.0 points
- Total Put/Call .96 -5.0%
- NYSE Arms 1.05 +23.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.2 +.01%
- US Energy High-Yield OAS 327.8 -1.1%
- Bloomberg TRACE # Distressed Bonds Traded 342.0 -11.0
- European Financial Sector CDS Index 81.8 +.15%
- Deutsche Bank Subordinated 5Y Credit Default Swap 243.6 +2.3%
- Italian/German 10Y Yld Spread 164.0 basis points +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 104.0 +4.7%
- Emerging Market CDS Index 206.9 +2.0%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.1 -.73%
- 2-Year SOFR Swap Spread -11.5 basis points -.75 basis point
- TED Spread 20.75 basis points unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -9.75 +1.0 basis point
- MBS 5/10 Treasury Spread 178.0 +3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 746.0 unch.
- Avg. Auto ABS OAS 68.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 42.3 -.48%
- 3-Month T-Bill Yield 5.42% -1.0 basis point
- China Iron Ore Spot 99.8 USD/Metric Tonne -.69%
- Dutch TTF Nat Gas(European benchmark) 34.4 euros/megawatt-hour -2.5%
- Citi US Economic Surprise Index 70.1 -3.6 points
- Citi Eurozone Economic Surprise Index -78.3 +5.0 points
- Citi Emerging Markets Economic Surprise Index 9.2 +6.6 points
- S&P 500 Current Quarter EPS Growth Rate YoY(455 of 500 reporting) -8.3% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 234.40 +.31: Growth Rate +7.0% unch., P/E 19.1 unch.
- S&P 500 Current Year Estimated Profit Margin 12.11% -3.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(8 of 10 reporting) +17.0% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 232.14 +.60: Growth Rate +41.5% +.4 percentage point, P/E 32.8 +.3
- Bloomberg US Financial Conditions Index .39 unch.
- Bloomberg Euro-Zone Financial Conditions Index -.10 -2.0 basis points
- US Yield Curve -78.5 basis points (2s/10s) -5.75 basis points
- US Atlanta Fed 2Q GDPNow Forecast +4.12% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +4.23% unch.: CPI YoY +3.81% unch.
- 10-Year TIPS Spread 2.36 -1.0 basis point
- Highest target rate probability for Nov. 1st FOMC meeting: 61.0%(-2.1 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Dec. 13th meeting: 58.9%(-.4 percentage point) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +86 open in Japan
- China A50 Futures: Indicating -15 open in China
- DAX Futures: Indicating +52 open in Germany
Portfolio:
- Slightly Higher: On gains in my medical/tech sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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