Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Every Sector Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 13.9 +7.9%
- DJIA Intraday % Swing .78 -114.0%
- Bloomberg Global Risk On/Risk Off Index 65.9 +1.4%
- Euro/Yen Carry Return Index 186.2 -.14%
- Emerging Markets Currency Volatility(VXY) 6.9 +2.5%
- CBOE S&P 500 Implied Correlation Index 12.9 +6.8%
- ISE Sentiment Index 114.0 -24.0
- Total Put/Call .97 +10.2%
- NYSE Arms .82 +6.5%
- NYSE Non-Block Money Flow -$475.4M
Credit Investor Angst:
- North American Investment Grade CDS Index 50.6 +1.3%
- US Energy High-Yield OAS 257.3 +1.3%
- Bloomberg TRACE # Distressed Bonds Traded 263 -25
- European Financial Sector CDS Index 59.2 +1.8%
- Deutsche Bank Subordinated 5Y Credit Default Swap 165.4 +.85%
- Italian/German 10Y Yld Spread 133.0 basis points +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 93.6 +1.7%
- Emerging Market CDS Index 164.6 +.19%
- Israel Sovereign CDS 126.2 +1.1%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.8 -.22%
- 2-Year SOFR Swap Spread -9.5 basis points +1.5 basis points
- Treasury Repo 3M T-Bill Spread 9.75 basis points +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.25 -.75 basis point
- MBS 5/10 Treasury Spread 145.0 +1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 733.0 +6.0 basis points
- Avg. Auto ABS OAS 57.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.7 -.47%
- 3-Month T-Bill Yield 5.41% +1.0 basis point
- China Iron Ore Spot 118.7 USD/Metric Tonne -.22%
- Dutch TTF Nat Gas(European benchmark) 33.9 euros/megawatt-hour +1.0%
- Citi US Economic Surprise Index -3.7 +1.5 points
- Citi Eurozone Economic Surprise Index 20.3 -1.4 points
- Citi Emerging Markets Economic Surprise Index 13.3 -.5 point
- S&P 500 Current Quarter EPS Growth Rate YoY(481 of 500 reporting) +7.8% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 257.34 +.10: Growth Rate +12.9% +.1 percentage point, P/E 20.5 -.1
- S&P 500 Current Year Estimated Profit Margin 12.88% -1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +52.9% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 328.83 +.25: Growth Rate +22.6% +.1 percentage point, P/E 32.3 unch.
- Bloomberg US Financial Conditions Index 1.0 -40.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.02 +11.0 basis points
- US Yield Curve -36.25 basis points (2s/10s) +7.25 basis points
- US Atlanta Fed 2Q GDPNow Forecast +3.5% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 45.0% -2.1 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.36% -1.0 basis point
- 10-Year TIPS Spread 2.37 +3.0 basis points
- Highest target rate probability for July 31st FOMC meeting: 88.9%(unch.) chance of 5.25%-5.5%. Highest target rate probability for Sept. 18th meeting: 53.7%(unch.) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -175 open in Japan
- China A50 Futures: Indicating -16 open in China
- DAX Futures: Indicating +91 open in Germany
Portfolio:
- Lower: On losses in my financial/industrial/biotech/tech/consumer discretionary sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and my emerging market shorts
- Market Exposure: Moved to 50% Net Long
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