Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 19.4 -.15%
- DJIA Intraday % Swing 1.22 +2.3%
- Bloomberg Global Risk On/Risk Off Index 48.0 -2.2%
- Euro/Yen Carry Return Index 173.1 -.7%
- Emerging Markets Currency Volatility(VXY) 8.7 +.23%
- CBOE S&P 500 Implied Correlation Index 22.5 +2.2%
- ISE Sentiment Index 110.0 -4.0 points
- Total Put/Call 1.0 -9.9%
- NYSE Arms 1.75 +92.3%
- NYSE Non-Block Money Flow +$14.2M
Credit Investor Angst:
- North American Investment Grade CDS Index 52.8 +2.3%
- US Energy High-Yield OAS 354.40 +6.3%
- Bloomberg TRACE # Distressed Bonds Traded 260 +1
- European Financial Sector CDS Index 63.98 +1.2%
- Deutsche Bank Subordinated 5Y Credit Default Swap 168.3 +.85%
- Italian/German 10Y Yld Spread 145.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 98.4 +1.1%
- Emerging Market CDS Index 170.68 +2.2%
- Israel Sovereign CDS 134.1 +.12%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.65 -.52%
- 2-Year SOFR Swap Spread -21.75 basis points -.5 basis point
- 3M T-Bill Treasury Repo Spread -36.25 basis points -6.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -2.5 -.25 basis point
- MBS 5/10 Treasury Spread 126.0 -4.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 707.0 +3.0 basis points
- Avg. Auto ABS OAS 67.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 38.66 -.16%
- 3-Month T-Bill Yield 4.96% -6.0 basis points
- China Iron Ore Spot 90.07 USD/Metric Tonne +.03%
- Dutch TTF Nat Gas(European benchmark) 35.3 euros/megawatt-hour -5.5%
- Citi US Economic Surprise Index -26.8 unch.
- Citi Eurozone Economic Surprise Index -41.4 +.5 point
- Citi Emerging Markets Economic Surprise Index -6.8 +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 266.49 +.07: Growth Rate +14.0% unch., P/E 20.4 -.1
- S&P 500 Current Year Estimated Profit Margin 12.67% -1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +36.3% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 348.57 -.01: Growth Rate +22.4% unch., P/E 30.3 +.1
- Bloomberg US Financial Conditions Index .59 +15.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .71 +21.0 basis points
- US Yield Curve 3.25 basis point (2s/10s) +1.0 basis point
- US Atlanta Fed 3Q GDPNow Forecast +2.47% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 72.4% -1.3 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +2.56% unch.
- 10-Year TIPS Spread 2.02 -2.0 basis points
- Highest target rate probability for Nov. 7th FOMC meeting: 53.5%(+.8 percentage point) chance of 4.5%-4.75%. Highest target rate probability for Dec. 18th meeting: 42.1%(+3.7 percentage points) chance of 4.0%-4.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -49 open in Japan
- China A50 Futures: Indicating -58 open in China
- DAX Futures: Indicating +88 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/utility sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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