Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.6 -.2%
- DJIA Intraday % Swing .71 -2.9%
- Bloomberg Global Risk On/Risk Off Index 59.7 +1.4%
- Euro/Yen Carry Return Index 185.4 +.47%
- Emerging Markets Currency Volatility(VXY) 7.6 -1.2%
- CBOE S&P 500 Implied Correlation Index 9.1 -7.3%
- ISE Sentiment Index 132.0 -7.0
- Total Put/Call .83 -9.8%
- NYSE Arms .89 -34.1%
- NYSE Non-Block Money Flow -$157.2M
Credit Investor Angst:
- North American Investment Grade CDS Index 53.3 -.9%
- US Energy High-Yield OAS 278.6 -3.8%
- Bloomberg TRACE # Distressed Bonds Traded 289 +1
- European Financial Sector CDS Index 73.0 -2.1%
- Deutsche Bank Subordinated 5Y Credit Default Swap 191.6 +2.2%
- Italian/German 10Y Yld Spread 153.0 basis points -4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 100.9 +2.6%
- Emerging Market CDS Index 170.9 -.08%
- Israel Sovereign CDS 124.8 +1.5%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.9 -.04%
- 2-Year SOFR Swap Spread -16.5 basis points -.25 basis points
- Treasury Repo 3M T-Bill Spread 8.5 basis points +1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -3.75 +2.25 basis points
- MBS 5/10 Treasury Spread 144.0 -1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 720.0 -4.0 basis points
- Avg. Auto ABS OAS 58.0 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.1 unch.
- 3-Month T-Bill Yield 5.38% unch.
- China Iron Ore Spot 107.3 USD/Metric Tonne +1.8%
- Dutch TTF Nat Gas(European benchmark) 34.2 euros/megawatt-hour -3.3%
- Citi US Economic Surprise Index -21.5 -1.6 points
- Citi Eurozone Economic Surprise Index 25.1 -.3 point
- Citi Emerging Markets Economic Surprise Index 6.9 +.7 point
- S&P 500 Current Quarter EPS Growth Rate YoY(2 of 500 reporting) +2.9% n/a
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 259.43 +.33: Growth Rate +13.8% +.2 percentage point, P/E 21.0 +.1
- S&P 500 Current Year Estimated Profit Margin 12.83% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 334.46 +.50: Growth Rate +24.7% +.2 percentage point, P/E 33.8 +.3
- Bloomberg US Financial Conditions Index 1.0 -4.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .58 -24.0 basis points
- US Yield Curve -49.0 basis points (2s/10s) -1.5 basis points
- US Atlanta Fed 2Q GDPNow Forecast +3.1% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 54.9% -.8 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.56% unch.: CPI YoY +3.15% unch.
- 10-Year TIPS Spread 2.22 +4.0 basis points
- Highest target rate probability for Sept. 18th FOMC meeting: 57.5%(-4.5 percentage points) chance of 5.0%-5.25%. Highest target rate probability for Nov. 7th meeting: 50.2%(+1.6 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +413 open in Japan
- China A50 Futures: Indicating -5 open in China
- DAX Futures: Indicating +103 open in Germany
Portfolio:
- Higher: On gains in my industrial/consumer discretionary/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved 100% Net Long
No comments:
Post a Comment