Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.7 +.4%
- DJIA Intraday % Swing .68 +1.8%
- Bloomberg Global Risk On/Risk Off Index 62.5 -.8%
- Euro/Yen Carry Return Index 185.5 unch.
- Emerging Markets Currency Volatility(VXY) 7.2 +.1%
- CBOE S&P 500 Implied Correlation Index 11.8 unch.
- ISE Sentiment Index 148.0 +20.0
- Total Put/Call .99 +7.6%
- NYSE Arms .81 -27.2%
- NYSE Non-Block Money Flow -$194.8M
Credit Investor Angst:
- North American Investment Grade CDS Index 50.4 +1.0%
- US Energy High-Yield OAS 274.4 +1.1%
- Bloomberg TRACE # Distressed Bonds Traded 300 +7
- European Financial Sector CDS Index 58.7 +.2%
- Deutsche Bank Subordinated 5Y Credit Default Swap 163.3 unch.
- Italian/German 10Y Yld Spread 132.0 basis points +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 96.5 +.7%
- Emerging Market CDS Index 166.7 +2.1%
- Israel Sovereign CDS 121.8 -1.3%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.8 unch.
- 2-Year SOFR Swap Spread -11.75 basis points -1.0 basis point
- Treasury Repo 3M T-Bill Spread 7.0 basis points unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -1.75 unch.
- MBS 5/10 Treasury Spread 142.0 +3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 732.0 -2.0 basis points
- Avg. Auto ABS OAS 57.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.6 +.2%
- 3-Month T-Bill Yield 5.39% unch.
- China Iron Ore Spot 111.8 USD/Metric Tonne +2.8%
- Dutch TTF Nat Gas(European benchmark) 33.7 euros/megawatt-hour +1.0%
- Citi US Economic Surprise Index -9.9 -2.3 points
- Citi Eurozone Economic Surprise Index 26.1 -1.4 points
- Citi Emerging Markets Economic Surprise Index 9.4 -2.4 points
- S&P 500 Current Quarter EPS Growth Rate YoY(497 of 500 reporting) +7.8% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 258.18 +.09: Growth Rate +13.2% 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 330.29 +.12: Growth Rate +23.2% +.1 percentage point, P/E 32.2 +.2
- Bloomberg US Financial Conditions Index 1.00 +6.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .99 +5.0 basis points
- US Yield Curve -44.0 basis points (2s/10s) +.5 basis point
- US Atlanta Fed 2Q GDPNow Forecast +2.6% +80.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 53.7% +2.2 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: 79.4%(-1.1 percentage points) chance of 5.25%-5.5%. Highest target rate probability for Sept. 18th meeting: 56.9%(-.3 percentage point) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -58 open in Japan
- China A50 Futures: Indicating -29 open in China
- DAX Futures: Indicating +23 open in Germany
Portfolio:
- Slightly Lower: On losses in my industrial/tech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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