Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 19.8 -11.4%
- DJIA Intraday % Swing 1.20 -25.9%
- Bloomberg Global Risk On/Risk Off Index 49.0 +5.8%
- Euro/Yen Carry Return Index 174.1 +.04%
- Emerging Markets Currency Volatility(VXY) 8.7 -1.0%
- CBOE S&P 500 Implied Correlation Index 22.4 -9.9%
- ISE Sentiment Index 111.0 -10.0 points
- Total Put/Call 1.10 -3.5%
- NYSE Arms .84 -32.3%
- NYSE Non-Block Money Flow +$204.7M
Credit Investor Angst:
- North American Investment Grade CDS Index 51.9 -3.8%
- US Energy High-Yield OAS 332.60 +.71%
- Bloomberg TRACE # Distressed Bonds Traded 259 -3
- European Financial Sector CDS Index 63.3 -1.4%
- Deutsche Bank Subordinated 5Y Credit Default Swap 166.9 +.05%
- Italian/German 10Y Yld Spread 145.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 97.6 +2.1%
- Emerging Market CDS Index 167.0 -.71%
- Israel Sovereign CDS 133.95 -.43%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.74 -.12%
- 2-Year SOFR Swap Spread -21.25 basis points -1.0 basis point
- Treasury Repo 3M T-Bill Spread -30.0 basis points -2.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -2.25 +.25 basis point
- MBS 5/10 Treasury Spread 130.0 +1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 704.0 -1.0 basis point
- Avg. Auto ABS OAS 66.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 38.7 -.30%
- 3-Month T-Bill Yield 5.02% -3.0 basis points
- China Iron Ore Spot 92.65 USD/Metric Tonne +.96%
- Dutch TTF Nat Gas(European benchmark) 37.3 euros/megawatt-hour +2.3%
- Citi US Economic Surprise Index -26.8 +3.3 points
- Citi Eurozone Economic Surprise Index -41.9 +1.7 points
- Citi Emerging Markets Economic Surprise Index -7.8 +1.0
- S&P 500 Current Quarter EPS Growth Rate YoY(498 of 500 reporting) +11.6% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 266.42 +.23: Growth Rate +14.0% +.1 percentage point, P/E 20.5 +.2
- S&P 500 Current Year Estimated Profit Margin 12.68% +3.0 basis points
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +36.3% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 348.58 +.70: Growth Rate +22.4% +.2 percentage point, P/E 30.2 +.1
- Bloomberg US Financial Conditions Index .44 -8.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .50 -11.0 basis points
- US Yield Curve 2.25 basis point (2s/10s) -2.25 basis points
- US Atlanta Fed 3Q GDPNow Forecast +2.47% +38.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 73.7% +.6 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +2.56% unch.
- 10-Year TIPS Spread 2.04 +1.0 basis point
- Highest target rate probability for Nov. 7th FOMC meeting: 53.2%(-.3 percentage points) chance of 4.5%-4.75%. Highest target rate probability for Dec. 18th meeting: 40.2%(+3.9 percentage points) chance of 4.0%-4.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -85 open in Japan
- China A50 Futures: Indicating -28 open in China
- DAX Futures: Indicating +41 open in Germany
Portfolio:
- Slightly Lower: On losses in my index hedges and emerging market shorts
- 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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