Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.6 -1.6%
- DJIA Intraday % Swing .79 n/a
- Bloomberg Global Risk On/Risk Off Index 54.4 -.3%
- Euro/Yen Carry Return Index 176.9 +.33%
- Emerging Markets Currency Volatility(VXY) 8.60 unch.
- CBOE S&P 500 Implied Correlation Index 16.7 -2.8%
- ISE Sentiment Index 163.0 +13.0 points
- Total Put/Call .85 unch.
- NYSE Arms .81 -14.7%
- NYSE Non-Block Money Flow -$1.6M
Credit Investor Angst:
- North American Investment Grade CDS Index 52.7 -.5%
- US Energy High-Yield OAS 327.0 +.28%
- Bloomberg TRACE # Distressed Bonds Traded 251 +18
- European Financial Sector CDS Index 67.2 +.6%
- Deutsche Bank Subordinated 5Y Credit Default Swap 179.7 -.11%
- Italian/German 10Y Yld Spread 133.0 basis points -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 70.7 -.6%
- Emerging Market CDS Index 164.6 -1.2%
- Israel Sovereign CDS 158.2 +3.0%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.0 +.22%
- 2-Year SOFR Swap Spread -21.25 basis points -.5 basis point
- 3M T-Bill Treasury Repo Spread -20.25 basis points +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -1.25 unch.
- MBS 5/10 Treasury Spread 125.0 -2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 709.0 -1.0 basis point
- Avg. Auto ABS OAS 66.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.0 +.33%
- 3-Month T-Bill Yield 4.62% unch.
- China Iron Ore Spot 96.4 USD/Metric Tonne +1.8%
- Dutch TTF Nat Gas(European benchmark) 35.4 euros/megawatt-hour -2.2%
- Citi US Economic Surprise Index -13.8 -4.2 points
- Citi Eurozone Economic Surprise Index -58.0 -1.8 points
- Citi Emerging Markets Economic Surprise Index -7.8 -.1 point
- S&P 500 Current Quarter EPS Growth Rate YoY(8 of 500 reporting) +4.9% -.7 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 266.59 -.28: Growth Rate +14.1% -.2 percentage point, P/E 21.5 +.1
- S&P 500 Current Year Estimated Profit Margin 12.67% +1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a n/a
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 363.57 +12.49: Growth Rate +27.7% +4.4 percentage points, P/E 31.6 -1.0
- Bloomberg US Financial Conditions Index .70 +6.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .69 -1.0 basis point
- US Yield Curve 19.5 basis point (2s/10s) +3.5 basis points
- US Atlanta Fed 3Q GDPNow Forecast +2.93% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 62.9% -1.4 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.77% unch.: CPI YoY +2.25% -2.0 basis points
- 10-Year TIPS Spread 2.18 +1.0 basis point
- Highest target rate probability for Dec. 18th FOMC meeting: 48.9%(-1.1 percentage points) chance of 4.0%-4.25%. Highest target rate probability for Jan. 29th meeting: 38.9%(+3.7 percentage points) chance of 3.5%-3.75%. (current target rate is 4.75-5.0%)
Overseas Futures:
- Nikkei 225 Futures: Indicating -40 open in Japan
- China A50 Futures: Indicating +355 open in China
- DAX Futures: Indicating +170 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/consumer discretionary sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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