Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 13.0 -1.4%
- DJIA Intraday % Swing .43 +41.9%
- Bloomberg Global Risk On/Risk Off Index 64.5 +.3%
- Euro/Yen Carry Return Index 182.3 +.5%
- Emerging Markets Currency Volatility(VXY) 6.92 +.44%
- CBOE S&P 500 Implied Correlation Index 16.5 -2.3%
- ISE Sentiment Index 133.0 +4.0
- Total Put/Call .93 -6.1%
- NYSE Arms .84 -42.5%
- NYSE Non-Block Money Flow -$183.9M
Credit Investor Angst:
- North American Investment Grade CDS Index 50.5 +.6%
- US Energy High-Yield OAS 257.4 +1.6%
- Bloomberg TRACE # Distressed Bonds Traded 279 +6
- European Financial Sector CDS Index 59.48 -.18%
- Deutsche Bank Subordinated 5Y Credit Default Swap 182.5 -.21%
- Italian/German 10Y Yld Spread 134.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 102.7 +1.8%
- Emerging Market CDS Index 162.5 +.72%
- Israel Sovereign CDS 123.3 -5.6%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.6 unch.
- 2-Year SOFR Swap Spread -8.5 basis points +.25 basis points
- Treasury Repo 3M T-Bill Spread 8.5 basis points +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -4.0 -.25 basis point
- MBS 5/10 Treasury Spread 144.0 +1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 758.0 -2.0 basis points
- Avg. Auto ABS OAS 57.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.6 -.08%
- 3-Month T-Bill Yield 5.39% unch.
- China Iron Ore Spot 116.7 USD/Metric Tonne +1.7%
- Dutch TTF Nat Gas(European benchmark) 30.6 euros/megawatt-hour -1.5%
- Citi US Economic Surprise Index -7.4 +.1
- Citi Eurozone Economic Surprise Index 25.7 -.1 point
- Citi Emerging Markets Economic Surprise Index 27.8 -1.9 points
- S&P 500 Current Quarter EPS Growth Rate YoY(439 of 500 reporting) +5.4% -.2 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 254.93 +.11: Growth Rate +14.3% +.1 percentage point, P/E 20.3 -.1
- S&P 500 Current Year Estimated Profit Margin 12.89% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +37.2% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 325.49 +.01: Growth Rate +35.5% unch., P/E 31.3 unch.
- Bloomberg US Financial Conditions Index 1.13 unch.
- Bloomberg Euro-Zone Financial Conditions Index 1.07 +7.0 basis points
- US Yield Curve -35.0 basis points (2s/10s) +2.0 basis points
- US Atlanta Fed 2Q GDPNow Forecast +4.2% +90.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 47.0% -.8 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.50% unch.
- 10-Year TIPS Spread 2.33 +1.0 basis points
- Highest target rate probability for July 31st FOMC meeting: 68.6%(+.1 percentage point) chance of 5.25%-5.5%. Highest target rate probability for Sept. 18th meeting: 48.9%(+.1 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +223 open in Japan
- China A50 Futures: Indicating +21 open in China
- DAX Futures: Indicating +154 open in Germany
Portfolio:
- Slightly Higher: On gains in my financial/tech sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 100% Net Long
No comments:
Post a Comment