Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.1 -.3%
- DJIA Intraday % Swing 1.46 +171.9%
- Bloomberg Global Risk On/Risk Off Index 57.0 -.7%
- Euro/Yen Carry Return Index 189.6 +.24%
- Emerging Markets Currency Volatility(VXY) 7.07 -.7%
- CBOE S&P 500 Implied Correlation Index 9.11 +5.3%
- ISE Sentiment Index 150.0 -8.0
- Total Put/Call .81 -4.7%
- NYSE Arms .90 -10.0%
- NYSE Non-Block Money Flow +$397.0M
Credit Investor Angst:
- North American Investment Grade CDS Index 48.3 -.4%
- US Energy High-Yield OAS 266.5 -.7%
- Bloomberg TRACE # Distressed Bonds Traded 273 +3
- European Financial Sector CDS Index 59.3 +1.7%
- Deutsche Bank Subordinated 5Y Credit Default Swap 150.8 +.74%
- Italian/German 10Y Yld Spread 127.0 basis points -3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 93.0 +1.9%
- Emerging Market CDS Index 159.4 +.17%
- Israel Sovereign CDS 133.13 -.5%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.9 -.12%
- 2-Year SOFR Swap Spread -17.75 basis points -.75 basis point
- Treasury Repo 3M T-Bill Spread 0.0 basis points -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -1.25 +.75 basis point
- MBS 5/10 Treasury Spread 142.0 +4.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 705.0 -18.0 basis points
- Avg. Auto ABS OAS 62.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.3 -.04%
- 3-Month T-Bill Yield 5.33% unch.
- China Iron Ore Spot 107.9 USD/Metric Tonne +.5%
- Dutch TTF Nat Gas(European benchmark) 32.8 euros/megawatt-hour +4.6%
- Citi US Economic Surprise Index -42.7 +2.8 points
- Citi Eurozone Economic Surprise Index -25.2 +.2 point
- Citi Emerging Markets Economic Surprise Index 5.0 +.2 point
- S&P 500 Current Quarter EPS Growth Rate YoY(35 of 500 reporting) +12.2% -.7 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 261.67 +.17: Growth Rate +14.6% +.1 percentage point, P/E 21.6 unch.
- S&P 500 Current Year Estimated Profit Margin 12.82% +1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 332.48 +.20: Growth Rate +23.9% unch., P/E 35.6 -.4
- Bloomberg US Financial Conditions Index 1.01 -1.0 basis point
- Bloomberg Euro-Zone Financial Conditions Index .92 +2.0 basis points
- US Yield Curve -27.5 basis points (2s/10s) -5.0 basis points
- US Atlanta Fed 2Q GDPNow Forecast +2.02% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 61.2% +.1 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.39% unch.: CPI YoY +3.01% unch.
- 10-Year TIPS Spread 2.27 -1.0 basis point
- Highest target rate probability for Sept. 18th FOMC meeting: 93.3%(+1.4 percentage points) chance of 5.0%-5.25%. Highest target rate probability for Nov. 7th meeting: 62.2%(+.5 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +260 open in Japan
- China A50 Futures: Indicating -56 open in China
- DAX Futures: Indicating +197 open in Germany
Portfolio:
- Higher: On gains in my industrial/biotech/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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