Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.78 +.8%
- DJIA Intraday % Swing .90 +89.2%
- Bloomberg Global Risk On/Risk Off Index 63.2 -4.2%
- Euro/Yen Carry Return Index 184.6 -.2%
- Emerging Markets Currency Volatility(VXY) 7.6 -.4%
- CBOE S&P 500 Implied Correlation Index 12.4 +.7%
- ISE Sentiment Index 143.0 +8.0
- Total Put/Call .85 -5.6%
- NYSE Arms 1.20 +29.4%
- NYSE Non-Block Money Flow -$396.3M
Credit Investor Angst:
- North American Investment Grade CDS Index 50.7 +1.3%
- US Energy High-Yield OAS 271.1 +2.6%
- Bloomberg TRACE # Distressed Bonds Traded 293 -5
- European Financial Sector CDS Index 64.1 +5.5%
- Deutsche Bank Subordinated 5Y Credit Default Swap 173.6 +3.5%
- Italian/German 10Y Yld Spread 145.0 basis points +5.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 96.1 -.2%
- Emerging Market CDS Index 166.4 +.75%
- Israel Sovereign CDS 123.4 +2.3%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.9 +.1%
- 2-Year SOFR Swap Spread -12.5 basis points +.5 basis point
- Treasury Repo 3M T-Bill Spread 4.5 basis points -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -3.25 -.75 basis point
- MBS 5/10 Treasury Spread 144.0 unch.
- Bloomberg CMBS Investment Grade Bbb Average OAS 724.0 -1.0 basis point
- Avg. Auto ABS OAS 57.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.4 -.07%
- 3-Month T-Bill Yield 5.36% -2.0 basis points
- China Iron Ore Spot 104.5 USD/Metric Tonne +.71%
- Dutch TTF Nat Gas(European benchmark) 34.3 euros/megawatt-hour +.08%
- Citi US Economic Surprise Index -6.1 +.5 point
- Citi Eurozone Economic Surprise Index 28.1 -.1 point
- Citi Emerging Markets Economic Surprise Index 6.2 +1.3 points
- S&P 500 Current Quarter EPS Growth Rate YoY(498 of 500 reporting) +7.8% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 258.73 +.22: Growth Rate +13.4% unch., P/E 20.7 unch.
- S&P 500 Current Year Estimated Profit Margin 12.85% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +52.9% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 331.74 +.83: Growth Rate +23.7% +.3 percentage point, P/E 32.1 -.1
- Bloomberg US Financial Conditions Index 1.08 -2.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.01 -5.0 basis points
- US Yield Curve -43.25 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) 48.7% +1.6 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.69% unch.: CPI YoY +3.36% unch.
- 10-Year TIPS Spread 2.29 -2.0 basis points
- Highest target rate probability for July 31st FOMC meeting: 91.1%(+1.9 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Sept. 18th meeting: 48.3%(+3.2 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -124 open in Japan
- China A50 Futures: Indicating -60 open in China
- DAX Futures: Indicating +68 open in Germany
Portfolio:
- Slightly Lower: On losses in my industrial/consumer discretionary/financial sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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