Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 16.4 +.06%
- DJIA Intraday % Swing .72 -51.1%
- Bloomberg Global Risk On/Risk Off Index 52.5 -.14%
- Euro/Yen Carry Return Index 183.3 -.17%
- Emerging Markets Currency Volatility(VXY) 7.52 +.67%
- CBOE S&P 500 Implied Correlation Index 14.1 -2.7%
- ISE Sentiment Index 146.0 unch.
- Total Put/Call .86 -17.3%
- NYSE Arms 1.42 +44.9%
- NYSE Non-Block Money Flow +$11.7M
Credit Investor Angst:
- North American Investment Grade CDS Index 51.6 +.9%
- US Energy High-Yield OAS 276.8 +2.7%
- Bloomberg TRACE # Distressed Bonds Traded 241 +6
- European Financial Sector CDS Index 62.6 +.74%
- Deutsche Bank Subordinated 5Y Credit Default Swap 162.2 -.9%
- Italian/German 10Y Yld Spread 135.0 basis points -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 96.0 -1.4%
- Emerging Market CDS Index 167.90 +.9%
- Israel Sovereign CDS 127.7 -.1%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.07 +.07%
- 2-Year SOFR Swap Spread -15.25 basis points +.25 basis point
- Treasury Repo 3M T-Bill Spread -5.5 basis points -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -1.5 unch.
- MBS 5/10 Treasury Spread 142.0 -1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 685.0 -2.0 basis points
- Avg. Auto ABS OAS 60.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.0 -.33%
- 3-Month T-Bill Yield 5.29% unch.
- China Iron Ore Spot 101.0 USD/Metric Tonne -.9%
- Dutch TTF Nat Gas(European benchmark) 33.9 euros/megawatt-hour +4.3%
- Citi US Economic Surprise Index -29.3 +4.7 points
- Citi Eurozone Economic Surprise Index -55.7 -2.8 points
- Citi Emerging Markets Economic Surprise Index -3.5 +2.8 points
- S&P 500 Current Quarter EPS Growth Rate YoY(210 of 500 reporting) +6.3% -.2 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 262.85 +.47: Growth Rate +15.1% +.2 percentage point, P/E 20.8 unch.
- S&P 500 Current Year Estimated Profit Margin 12.79% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(3 of 10 reporting) +19.8% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 336.14 +.85: Growth Rate +25.3% +.3 percentage point, P/E 32.8 +.2
- Bloomberg US Financial Conditions Index .78 +6.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .75 +20.0 basis points
- US Yield Curve -21.5 basis points (2s/10s) -1.5 basis points
- US Atlanta Fed 3Q GDPNow Forecast +2.83% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 60.9% -.7 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.73% unch.: CPI YoY +3.01% unch.
- 10-Year TIPS Spread 2.25 unch.
- Highest target rate probability for Sept. 18th FOMC meeting: 89.6%(+1.4 percentage points) chance of 5.0%-5.25%. Highest target rate probability for Nov. 7th meeting: 59.4%(-1.1 percentage points) chance of 4.75%-5.0%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -28 open in Japan
- China A50 Futures: Indicating -63 open in China
- DAX Futures: Indicating +146 open in Germany
Portfolio:
- Slightly Higher: On gains in my consumer discretionary sector longs, emerging market shorts and index hedges
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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