Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 15.6-.19%
- DJIA Intraday % Swing .48 -52.4%
- Bloomberg Global Risk On/Risk Off Index 63.3 -6.4%
- Euro/Yen Carry Return Index 183.4 unch.
- Emerging Markets Currency Volatility(VXY) 7.07 +.43%
- CBOE S&P 500 Implied Correlation Index 19.7 +9.1%
- ISE Sentiment Index 138.0 +24.0
- Total Put/Call .98 +4.3%
- NYSE Arms .92 -43.6%
- NYSE Non-Block Money Flow -$107.7M
Credit Investor Angst:
- North American Investment Grade CDS Index 52.5 -1.9%
- US Energy High-Yield OAS 264.2 +1.5%
- Bloomberg TRACE # Distressed Bonds Traded 291 +6
- European Financial Sector CDS Index 64.7 +2.0%
- Deutsche Bank Subordinated 5Y Credit Default Swap 192.0 +1.6%
- Italian/German 10Y Yld Spread 133.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 113.7 +1.7%
- Emerging Market CDS Index 172.3 -3.1%
- Israel Sovereign CDS 131.9 -.9%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.4 +.1%
- 2-Year SOFR Swap Spread -6.25 basis points +1.0 basis point
- Treasury Repo 3M T-Bill Spread 9.75 basis points +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -3.75 unch.
- MBS 5/10 Treasury Spread 149.0 -2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 771.0 -2.0 basis points
- Avg. Auto ABS OAS 58.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.3 +.08%
- 3-Month T-Bill Yield 5.41% +1.0 basis point
- China Iron Ore Spot 116.2 USD/Metric Tonne +.6%
- Dutch TTF Nat Gas(European benchmark) 28.7 euros/megawatt-hour -1.3%
- Citi US Economic Surprise Index 2.0 -5.6 points
- Citi Eurozone Economic Surprise Index 28.7 -1.2 points
- Citi Emerging Markets Economic Surprise Index 32.7 -1.4 points
- S&P 500 Current Quarter EPS Growth Rate YoY(309 of 500 reporting) +5.2% +1.6 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 254.20 +.52: Growth Rate +13.9% +.2 percentage point, P/E 19.7 -.3
- S&P 500 Current Year Estimated Profit Margin 12.88% +3.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(6 of 10 reporting) +57.2% +14.8 percentage points
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 319.89 +.73: Growth Rate +33.1% +.3 percentage point, P/E 30.2 -.7
- Bloomberg US Financial Conditions Index 1.02 +6.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .94 -1.0 basis point
- US Yield Curve -33.75 basis points (2s/10s) +2.0 basis points
- US Atlanta Fed 2Q GDPNow Forecast +3.9% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 39.5% -1.1 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +3.50% unch.
- 10-Year TIPS Spread 2.37 -3.0 basis points
- Highest target rate probability for June 12th FOMC meeting: 82.5%(-7.8 percentage points) chance of 5.25%-5.5%. Highest target rate probability for July 31st meeting: 69.7%(-7.5 percentage points) chance of 5.25%-5.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +212 open in Japan
- China A50 Futures: Indicating +6 open in China
- DAX Futures: Indicating +163 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/financial/consumer discretionary sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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