Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.9 -2.7%
- DJIA Intraday % Swing .74 -38.7%
- Bloomberg Global Risk On/Risk Off Index 66.0 -1.1%
- Euro/Yen Carry Return Index 179.1 +.23%
- Emerging Markets Currency Volatility(VXY) 7.42 -2.6%
- CBOE S&P 500 Implied Correlation Index 21.3 -.42%
- ISE Sentiment Index 85.0 -35.0
- Total Put/Call 1.01 +21.7%
- NYSE Arms .76 -42.4%
- NYSE Non-Block Money Flow -$84.7M
Credit Investor Angst:
- North American Investment Grade CDS Index 57.8 +.01%
- US Energy High-Yield OAS 289.07 +2.7%
- Bloomberg TRACE # Distressed Bonds Traded 265 -2
- European Financial Sector CDS Index 69.8 -.8%
- Deutsche Bank Subordinated 5Y Credit Default Swap 199.8 -1.7%
- Italian/German 10Y Yld Spread 145.0 basis points -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 114.9 -.19%
- Emerging Market CDS Index 183.4 -1.7%
- Israel Sovereign CDS 145.3 +2.5%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.5 +.07%
- 2-Year SOFR Swap Spread -8.75 basis points -.25 basis point
- Treasury Repo 3M T-Bill Spread 8.75 basis points +3.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -4.5 +.75 basis point
- MBS 5/10 Treasury Spread 149.0 -3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 772.0 +2.0 basis points
- Avg. Auto ABS OAS 57.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.2 +.2%
- 3-Month T-Bill Yield 5.40% +4.0 basis points
- China Iron Ore Spot 116.4 USD/Metric Tonne +.8%
- Dutch TTF Nat Gas(European benchmark) 31.3 euros/megawatt-hour -5.6%
- Citi US Economic Surprise Index 31.6 -2.2 points
- Citi Eurozone Economic Surprise Index 33.5 -.6 point
- Citi Emerging Markets Economic Surprise Index 29.6 -1.8 points
- S&P 500 Current Quarter EPS Growth Rate YoY(47 of 500 reporting) +9.6% -1.5 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 252.24 +.17: Growth Rate +13.0% +.1 percentage point, P/E 19.9 -.2
- S&P 500 Current Year Estimated Profit Margin 12.86% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) +n/a
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 313.58 -.04: Growth Rate +30.5% unch., P/E 31.2 -.2
- Bloomberg US Financial Conditions Index .91 +2.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .57 -24.0 basis points
- US Yield Curve -34.5 basis points (2s/10s) -4.25 basis points
- US Atlanta Fed 1Q GDPNow Forecast +2.9% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 42.0% +1.3 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.46% unch.
- 10-Year TIPS Spread 2.39 -3.0 basis points
- Highest target rate probability for June 12th FOMC meeting: 83.1%(+.4 percentage point) chance of 5.25%-5.5%. Highest target rate probability for July 31st meeting: 55.6%(+.3 percentage point) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -151 open in Japan
- China A50 Futures: Indicating -17 open in China
- DAX Futures: Indicating +214 open in Germany
Portfolio:
- Slightly Higher: Index hedges and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to Market Neutral
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