Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.4 -.7%
- DJIA Intraday % Swing .30 -40.0%
- Bloomberg Global Risk On/Risk Off Index 64.8 -3.4%
- Euro/Yen Carry Return Index 181.3 +.4%
- Emerging Markets Currency Volatility(VXY) 6.87 -.43%
- CBOE S&P 500 Implied Correlation Index 17.1 +.8%
- ISE Sentiment Index 134.0 -4.0
- Total Put/Call 1.01 -22.9%
- NYSE Arms 1.63 +44.2%
- NYSE Non-Block Money Flow +$16.4M
Credit Investor Angst:
- North American Investment Grade CDS Index 50.31 +.24%
- US Energy High-Yield OAS 255.62 +1.53%
- Bloomberg TRACE # Distressed Bonds Traded 273 -11
- European Financial Sector CDS Index 59.6 -2.3%
- Deutsche Bank Subordinated 5Y Credit Default Swap 182.9 -2.4%
- Italian/German 10Y Yld Spread 134.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 100.8 -1.8%
- Emerging Market CDS Index 161.4 +.9%
- Israel Sovereign CDS 130.7 +.1%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.6 unch.
- 2-Year SOFR Swap Spread -8.75 basis points -.25 basis points
- Treasury Repo 3M T-Bill Spread 9.0 basis points +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.75 -.25 basis point
- MBS 5/10 Treasury Spread 143.0 -3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 760.0 +1.0 basis point
- Avg. Auto ABS OAS 58.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.7 -.08%
- 3-Month T-Bill Yield 5.39% unch.
- China Iron Ore Spot 118.1 USD/Metric Tonne -.09%
- Dutch TTF Nat Gas(European benchmark) 31.07 euros/megawatt-hour -2.3%
- Citi US Economic Surprise Index -7.5 unch.
- Citi Eurozone Economic Surprise Index 25.8 -1.2 points
- Citi Emerging Markets Economic Surprise Index 29.7 -1.6 points
- S&P 500 Current Quarter EPS Growth Rate YoY(425 of 500 reporting) +5.6% +.5 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 254.82 -.11: Growth Rate +14.2% -.1 percentage point, P/E 20.4 +.2
- S&P 500 Current Year Estimated Profit Margin 12.89% -3.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +37.2% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 325.48 +.09: Growth Rate +35.5% +.1 percentage point, P/E 31.3 +.2
- Bloomberg US Financial Conditions Index 1.13 +4.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.00 +6.0 basis points
- US Yield Curve -37.0 basis points (2s/10s) -2.5 basis points
- US Atlanta Fed 2Q GDPNow Forecast +3.3% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 47.8% -.2 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.50% unch.
- 10-Year TIPS Spread 2.32 -3.0 basis points
- Highest target rate probability for July 31st FOMC meeting: 70.4%(+1.8 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Sept. 18th meeting: 49.0%(+.1 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -85 open in Japan
- China A50 Futures: Indicating +21 open in China
- DAX Futures: Indicating +160 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/consumer discretionary/biotech
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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