Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 20.2 +29.8%
- DJIA Intraday % Swing 1.05 +23.1%
- Bloomberg Global Risk On/Risk Off Index 52.5 -7.3%
- Euro/Yen Carry Return Index 177.5 -1.1%
- Emerging Markets Currency Volatility(VXY) 8.9 -.33%
- CBOE S&P 500 Implied Correlation Index 20.8 +43.2%
- ISE Sentiment Index 128.0 -10.0
- Total Put/Call .85 -24.1%
- NYSE Arms 1.21 +163.0%
- NYSE Non-Block Money Flow -$455.3M
Credit Investor Angst:
- North American Investment Grade CDS Index 51.7 +4.8%
- US Energy High-Yield OAS 312.2 +5.4%
- Bloomberg TRACE # Distressed Bonds Traded 270 +21
- European Financial Sector CDS Index 62.3 +3.4%
- Deutsche Bank Subordinated 5Y Credit Default Swap 166.5 +2.0%
- Italian/German 10Y Yld Spread 147.0 basis points +7.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 94.8 +2.2%
- Emerging Market CDS Index 167.2 +3.2%
- Israel Sovereign CDS 130.6 +3.0%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.8 -.8%
- 2-Year SOFR Swap Spread -19.75 basis points unch.
- Treasury Repo 3M T-Bill Spread -20.5 basis points +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -1.25 -.5 basis point
- MBS 5/10 Treasury Spread 136.0 unch.
- Bloomberg CMBS Investment Grade Bbb Average OAS 695.0 +3.0 basis points
- Avg. Auto ABS OAS 67.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 38.9 -.19%
- 3-Month T-Bill Yield 5.12% +1.0 basis point
- China Iron Ore Spot 93.9 USD/Metric Tonne +.3%
- Dutch TTF Nat Gas(European benchmark) 37.2 euros/megawatt-hour -3.6%
- Citi US Economic Surprise Index -25.1 -.9 point
- Citi Eurozone Economic Surprise Index -39.5 +11.4 points
- Citi Emerging Markets Economic Surprise Index -11.4 -.4 point
- S&P 500 Current Quarter EPS Growth Rate YoY(493 of 500 reporting) +11.4% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 265.84 +.31: Growth Rate +13.8% +.1 percentage point, P/E 21.3 +.2
- S&P 500 Current Year Estimated Profit Margin 12.69% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +36.3% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 346.40 +.65: Growth Rate +22.5% +.2 percentage point, P/E 31.2 -.6
- Bloomberg US Financial Conditions Index .85 +7.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .84 +10.0 basis points
- US Yield Curve -3.5 basis points (2s/10s) -1.5 basis points
- US Atlanta Fed 3Q GDPNow Forecast +2.04% -49.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 69.1% -.3 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +2.56% unch.
- 10-Year TIPS Spread 2.12 -4.0 basis points
- Highest target rate probability for Nov. 7th FOMC meeting: 44.7%(+2.9 percentage points) chance of 4.5%-4.75%. Highest target rate probability for Dec. 18th meeting: 44.6%(-.2 percentage point) chance of 4.25%-4.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -890 open in Japan
- China A50 Futures: Indicating -44 open in China
- DAX Futures: Indicating -36 open in Germany
Portfolio:
- Lower: On losses in my industrial/tech/biotech/consumer discretionary sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
No comments:
Post a Comment