Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15. -4.8%
- DJIA Intraday % Swing .97 +20.0%
- Bloomberg Global Risk On/Risk Off Index 69.4 +1.7%
- Euro/Yen Carry Return Index 178.8 -.1%
- Emerging Markets Currency Volatility(VXY) 6.7 +1.2%
- CBOE S&P 500 Implied Correlation Index 16.8 -5.4%
- ISE Sentiment Index 122.0 +15.0
- Total Put/Call 1.0 -2.0%
- NYSE Arms 1.08 +42.1%
- NYSE Non-Block Money Flow +$145.9M
Credit Investor Angst:
- North American Investment Grade CDS Index 52.6 -.86%
- US Energy High-Yield OAS 263.55 +.98%
- Bloomberg TRACE # Distressed Bonds Traded 273 -11
- European Financial Sector CDS Index 63.7 +1.9%
- Deutsche Bank Subordinated 5Y Credit Default Swap 187.1 +2.1%
- Italian/German 10Y Yld Spread 141.0 basis points +4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 105.7 +2.3%
- Emerging Market CDS Index 174.0 +2.0%
- Israel Sovereign CDS 126.7 -.8%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.6 -.08%
- 2-Year SOFR Swap Spread -8.5 basis points -.25 basis point
- Treasury Repo 3M T-Bill Spread 9.5 basis points +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.5 unch.
- MBS 5/10 Treasury Spread 148.0 unch.
- Bloomberg CMBS Investment Grade Bbb Average OAS 775.0 -3.0 basis points
- Avg. Auto ABS OAS 57.0 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.6 -.01%
- 3-Month T-Bill Yield 5.40% unch.
- China Iron Ore Spot 107.9 USD/Metric Tonne -.34%
- Dutch TTF Nat Gas(European benchmark) 29.4 euros/megawatt-hour +8.4%
- Citi US Economic Surprise Index 41.1 +.2 point
- Citi Eurozone Economic Surprise Index 34.9 -.6 point
- Citi Emerging Markets Economic Surprise Index 33.8 +3.3 points
- S&P 500 Current Quarter EPS Growth Rate YoY(23 of 500 reporting) +38.0% -2.1 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 251.56 +.06: Growth Rate +12.7% unch., P/E 20.5 unch.
- S&P 500 Current Year Estimated Profit Margin 12.86% -1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) +n/a
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 313.13 +.44: Growth Rate +30.3% +.2 percentage point, P/E 32.4 +.4
- Bloomberg US Financial Conditions Index 1.11 +9.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .95 +8.0 basis points
- US Yield Curve -38.0 basis points (2s/10s) +3.5 basis points
- US Atlanta Fed 1Q GDPNow Forecast +2.4% -10.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 42.2% +.5 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.43% unch.
- 10-Year TIPS Spread 2.40 -1.0 basis point
- Highest target rate probability for June 12th FOMC meeting: 77.4%(-6.1 percentage points) chance of 5.25%-5.5%. Highest target rate probability for July 31st meeting: 51.8%(-5.8 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +233 open in Japan
- China A50 Futures: Indicating -12 open in China
- DAX Futures: Indicating +320 open in Germany
Portfolio:
- Slightly Higher: On gains in my consumer discretionary/tech/transport/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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