Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.7 +1.7%
- DJIA Intraday % Swing .51 -32.4%
- Bloomberg Global Risk On/Risk Off Index 66.9 +.1%
- Euro/Yen Carry Return Index 180.7 +.8%
- Emerging Markets Currency Volatility(VXY) 6.90 -2.0%
- CBOE S&P 500 Implied Correlation Index 17.2 -3.8%
- ISE Sentiment Index 141.0 +46.0
- Total Put/Call 1.36 +44.7%
- NYSE Arms 1.19 -22.2%
- NYSE Non-Block Money Flow +$296.3M
Credit Investor Angst:
- North American Investment Grade CDS Index 50.12 -.61%
- US Energy High-Yield OAS 252.0 -.49%
- Bloomberg TRACE # Distressed Bonds Traded 284 +1
- European Financial Sector CDS Index 60.9 +.28%
- Deutsche Bank Subordinated 5Y Credit Default Swap 187.3 +.48%
- Italian/German 10Y Yld Spread 134.0 basis points +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 102.21 -2.2%
- Emerging Market CDS Index 159.0 -3.4%
- Israel Sovereign CDS 130.5 -.3%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.6 -.1%
- 2-Year SOFR Swap Spread -8.5 basis points -1.75 basis points
- Treasury Repo 3M T-Bill Spread 9.25 basis points +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.5 unch.
- MBS 5/10 Treasury Spread 146.0 +1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 759.0 -10.0 basis points
- Avg. Auto ABS OAS 58.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.7 +.21%
- 3-Month T-Bill Yield 5.39% -1.0 basis point
- China Iron Ore Spot 119.2 USD/Metric Tonne -.35%
- Dutch TTF Nat Gas(European benchmark) 31.8 euros/megawatt-hour +4.2%
- Citi US Economic Surprise Index -7.5 -.2 point
- Citi Eurozone Economic Surprise Index 27.0 -.2 point
- Citi Emerging Markets Economic Surprise Index 31.3 -.7 point
- S&P 500 Current Quarter EPS Growth Rate YoY(403 of 500 reporting) +5.1% +.8 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 254.93 -.16: Growth Rate +14.3% -.1 percentage point, P/E 20.2 +.1
- S&P 500 Current Year Estimated Profit Margin 12.92% 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 325.39 +.81: Growth Rate +35.4% +.3 percentage point, P/E 31.1 +.2
- Bloomberg US Financial Conditions Index 1.09 +15.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .94 +11.0 basis points
- US Yield Curve -34.5 basis points (2s/10s) -3.5 basis points
- US Atlanta Fed 2Q GDPNow Forecast +3.3% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 48.0% +3.9 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.50% unch.
- 10-Year TIPS Spread 2.35 unch.
- Highest target rate probability for July 31st FOMC meeting: 68.6%(+3.5 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Sept. 18th meeting: 48.1%(-.7 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +609 open in Japan
- China A50 Futures: Indicating +37 open in China
- DAX Futures: Indicating +180 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/financial/consumer discretionary
- Disclosed Trades: None
- Market Exposure: 100% Net Long
No comments:
Post a Comment