Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 14.8 -10.2%
- DJIA Intraday % Swing .62 -38.5%
- Bloomberg Global Risk On/Risk Off Index 57.6 +4.7%
- Euro/Yen Carry Return Index 187.9 -.29%
- Emerging Markets Currency Volatility(VXY) 7.4 -.3%
- CBOE S&P 500 Implied Correlation Index 11.2 -14.7%
- ISE Sentiment Index 121.0 -21.0
- Total Put/Call .88 +8.6%
- NYSE Arms 1.35 +117.7%
- NYSE Non-Block Money Flow +$237.9M
Credit Investor Angst:
- North American Investment Grade CDS Index 49.4 -2.7%
- US Energy High-Yield OAS 261.4 -1.6%
- Bloomberg TRACE # Distressed Bonds Traded 243 -17
- European Financial Sector CDS Index 60.4 -2.1%
- Deutsche Bank Subordinated 5Y Credit Default Swap 154.4 -1.0%
- Italian/German 10Y Yld Spread 128.0 basis points -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 96.70 -1.3%
- Emerging Market CDS Index 163.26 -2.5%
- Israel Sovereign CDS 127.8 +.4%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.0 +.29%
- 2-Year SOFR Swap Spread -18.75 basis points -1.0 basis point
- Treasury Repo 3M T-Bill Spread .5 basis points +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -.75 +.75 basis point
- MBS 5/10 Treasury Spread 144.0 -1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 689.0 -3.0 basis points
- Avg. Auto ABS OAS 60.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.2 +.24%
- 3-Month T-Bill Yield 5.33% unch.
- China Iron Ore Spot 102.8 USD/Metric Tonne -.71%
- Dutch TTF Nat Gas(European benchmark) 31.8 euros/megawatt-hour -1.0%
- Citi US Economic Surprise Index -30.1 +4.9 points
- Citi Eurozone Economic Surprise Index -27.3 -1.3 points
- Citi Emerging Markets Economic Surprise Index 1.7 -3.0 points
- S&P 500 Current Quarter EPS Growth Rate YoY(73 of 500 reporting) +8.1% -.8 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 262.13 +.53: Growth Rate +14.8% +.2, P/E 21.1 unch.
- S&P 500 Current Year Estimated Profit Margin 12.80% +1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(1 of 10 reporting) +43.8%
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 334.95 +2.77: Growth Rate +24.9% +1.1 percentage point, P/E 34.1 -.1
- Bloomberg US Financial Conditions Index .86 -5.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .70 -9.0 basis points
- US Yield Curve -26.75 basis points (2s/10s) +.75 basis point
- US Atlanta Fed 2Q GDPNow Forecast +2.73% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 57.6% -2.0 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.39% unch.: CPI YoY +3.01% unch.
- 10-Year TIPS Spread 2.29 -1.0 basis point
- Highest target rate probability for Sept. 18th FOMC meeting: 91.7%(-2.3 percentage points) chance of 5.0%-5.25%. Highest target rate probability for Nov. 7th meeting: 52.0%(-5.5 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -19 open in Japan
- China A50 Futures: Indicating -32 open in China
- DAX Futures: Indicating +145 open in Germany
Portfolio:
- Higher: On gains in my biotech/tech/industrial/consumer discretionary/financial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 75% Net Long
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