Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.9 -2.7%
- DJIA Intraday % Swing .96 +22.7%
- Bloomberg Global Risk On/Risk Off Index 66.2 -.17%
- Euro/Yen Carry Return Index 185.86 -.17%
- Emerging Markets Currency Volatility(VXY) 6.9 unch.
- CBOE S&P 500 Implied Correlation Index 13.17 -2.3%
- ISE Sentiment Index 155.0 +36.0
- Total Put/Call .85 -13.3%
- NYSE Arms 1.19 +20.20%
- NYSE Non-Block Money Flow -$18.7M
Credit Investor Angst:
- North American Investment Grade CDS Index 50.0 -1.4%
- US Energy High-Yield OAS 259.34 +.6%
- Bloomberg TRACE # Distressed Bonds Traded 262 -1
- European Financial Sector CDS Index 58.8 -.8%
- Deutsche Bank Subordinated 5Y Credit Default Swap 165.3 -.07%
- Italian/German 10Y Yld Spread 130.0 basis points -3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 96.7 +3.3%
- Emerging Market CDS Index 162.2 -1.8%
- Israel Sovereign CDS 126.6 +.29%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.6 +.31%
- 2-Year SOFR Swap Spread -9.75 basis points -.25 basis point
- Treasury Repo 3M T-Bill Spread 8.75 basis points -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -2.0 +1.25 basis points
- MBS 5/10 Treasury Spread 142.0 -3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 733.0 unch.
- Avg. Auto ABS OAS 56.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.6 -.08%
- 3-Month T-Bill Yield 5.41% unch.
- China Iron Ore Spot 115.7 USD/Metric Tonne +.02%
- Dutch TTF Nat Gas(European benchmark) 35.2 euros/megawatt-hour +3.9%
- Citi US Economic Surprise Index -4.1 -.4 point
- Citi Eurozone Economic Surprise Index 20.9 +.6 point
- Citi Emerging Markets Economic Surprise Index 14.6 +1.3 points
- S&P 500 Current Quarter EPS Growth Rate YoY(487 of 500 reporting) +7.8% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 257.48 +.14: Growth Rate +12.9% unch., P/E 20.4 -.1
- S&P 500 Current Year Estimated Profit Margin 12.88% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +52.9% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 329.28 +.45: Growth Rate +22.8% +.2 percentage point, P/E 31.8 -.5
- Bloomberg US Financial Conditions Index 1.02 +2.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .85 -17.0 basis points
- US Yield Curve -37.75 basis points (2s/10s) -1.5 basis points
- US Atlanta Fed 2Q GDPNow Forecast +3.5% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 44.5% -.5 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.36% unch.
- 10-Year TIPS Spread 2.37 unch.
- Highest target rate probability for July 31st FOMC meeting: 86.8%(unch.) chance of 5.25%-5.5%. Highest target rate probability for Sept. 18th meeting: 49.0%(-3.5 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +180 open in Japan
- China A50 Futures: Indicating -12 open in China
- DAX Futures: Indicating +53 open in Germany
Portfolio:
- Higher: On gains in my financial/industrial/biotech/consumer discretionary sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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